SIEPX vs. GTMIX

Last updated Jun 5, 2026

SIEPX (Saratoga International Equity Portfolio) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, SIEPX returned 7.07%/yr vs 10.11%/yr for GTMIX. Their correlation of 0.86 suggests significant overlap in exposure. SIEPX charges 2.47%/yr vs 0.68%/yr for GTMIX.

Performance

SIEPX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Saratoga International Equity Portfolio (SIEPX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with SIEPX having a 13.97% return and GTMIX slightly lower at 13.73%. Over the past 10 years, SIEPX has underperformed GTMIX with an annualized return of 7.07%, while GTMIX has yielded a comparatively higher 10.11% annualized return.

SIEPX

• 1D: -0.59%
• 1M: 3.67%
• YTD: 13.97%
• 6M: 16.23%
• 1Y: 24.60%
• 3Y*: 19.66%
• 5Y*: 7.33%
• 10Y*: 7.07%

GTMIX

• 1D: -0.53%
• 1M: 1.64%
• YTD: 13.73%
• 6M: 17.66%
• 1Y: 38.38%
• 3Y*: 22.26%
• 5Y*: 10.75%
• 10Y*: 10.11%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SIEPX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SIEPX Saratoga International Equity Portfolio	13.97%	31.89%	5.25%	14.80%	-21.85%	19.33%	5.87%	19.77%	-23.89%	18.63%
GTMIX GMO Tax-Managed International Equities Fund	13.73%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between SIEPX and GTMIX is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.89
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jan 5, 1999	0.86

The correlation between SIEPX and GTMIX has been stable across timeframes, ranging from 0.86 to 0.89 - a consistent structural relationship.

Return for Risk

SIEPX vs. GTMIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SIEPX

SIEPX Risk / Return Rank: 37
SIEPX Sharpe Ratio Rank: 37
SIEPX Sortino Ratio Rank: 35
SIEPX Omega Ratio Rank: 38
SIEPX Calmar Ratio Rank: 37
SIEPX Martin Ratio Rank: 39

GTMIX

GTMIX Risk / Return Rank: 88
GTMIX Sharpe Ratio Rank: 90
GTMIX Sortino Ratio Rank: 86
GTMIX Omega Ratio Rank: 81
GTMIX Calmar Ratio Rank: 92
GTMIX Martin Ratio Rank: 92

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SIEPX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Saratoga International Equity Portfolio (SIEPX) and GMO Tax-Managed International Equities Fund (GTMIX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	SIEPX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.72	3.00	-1.29
Sortino ratio: Return per unit of downside risk	2.41	4.11	-1.70
Omega ratio: Gain probability vs. loss probability	1.32	1.54	-0.22
Calmar ratio: Return relative to maximum drawdown	2.23	4.87	-2.64
Martin ratio: Return relative to average drawdown	8.35	18.77	-10.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SIEPX vs. GTMIX - Sharpe Ratio Comparison

The current SIEPX Sharpe Ratio is 1.72, which is lower than the GTMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of SIEPX and GTMIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SIEPX	GTMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.72	3.00	-1.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.72	-0.28
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.40	0.63	-0.23
Sharpe Ratio (All Time) Calculated using the full available price history	0.16	0.41	-0.25

Drawdowns

SIEPX vs. GTMIX - Drawdown Comparison

The maximum SIEPX drawdown since its inception was -62.81%, which is greater than GTMIX's maximum drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for SIEPX and GTMIX.

Drawdown Indicators

	SIEPX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-62.81%	-58.31%	-4.50%
Max Drawdown (1Y) Largest decline over 1 year	-11.41%	-7.90%	-3.51%
Max Drawdown (3Y) Largest decline over 3 years	-15.63%	-14.11%	-1.52%
Max Drawdown (5Y) Largest decline over 5 years	-35.31%	-28.81%	-6.50%
Max Drawdown (10Y) Largest decline over 10 years	-46.47%	-40.32%	-6.15%
Current Drawdown Current decline from peak	-0.59%	-0.80%	+0.21%
Average Drawdown Average peak-to-trough decline	-24.04%	-12.68%	-11.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.04%	2.05%	+0.99%

Volatility

SIEPX vs. GTMIX - Volatility Comparison

Saratoga International Equity Portfolio (SIEPX) has a higher volatility of 4.85% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.31%. This indicates that SIEPX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SIEPX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.85%	3.31%	+1.54%
Volatility (6M) Calculated over the trailing 6-month period	12.18%	9.69%	+2.49%
Volatility (1Y) Calculated over the trailing 1-year period	14.84%	12.85%	+1.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.45%	14.93%	+1.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.65%	16.05%	+1.60%

SIEPX vs. GTMIX - Expense Ratio Comparison

SIEPX has a 2.47% expense ratio, which is higher than GTMIX's 0.68% expense ratio.

Dividends

SIEPX vs. GTMIX - Dividend Comparison

SIEPX has not paid dividends to shareholders, while GTMIX's dividend yield for the trailing twelve months is around 19.73%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	19.73%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
SIEPX Saratoga International Equity Portfolio	0.00%	0.00%	0.71%	0.83%	0.31%	0.41%	1.79%	1.97%	0.58%	0.03%	0.63%	0.15%

Frequently Asked Questions

Can I hold both SIEPX and GTMIX in my portfolio?

SIEPX and GTMIX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SIEPX or GTMIX?

SIEPX has higher volatility (4.85%) compared to GTMIX (3.31%). In terms of maximum drawdown, SIEPX dropped -62.81% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.00 vs 1.72), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.