SIEPX vs. LUNAX

Last updated Jun 23, 2026

SIEPX (Saratoga International Equity Portfolio) and LUNAX (Saratoga Conservative Balanced Allocation Portfolio) are both mutual funds - SIEPX is a Foreign Large Cap Equities fund managed by Saratoga, while LUNAX is a Diversified Portfolio fund managed by Saratoga. Over the past 5 years, SIEPX returned 8.51%/yr vs 5.71%/yr for LUNAX. A 0.74 correlation means they provide meaningful diversification when combined. SIEPX charges 2.47%/yr vs 0.99%/yr for LUNAX.

Performance

SIEPX vs. LUNAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Saratoga International Equity Portfolio (SIEPX) and Saratoga Conservative Balanced Allocation Portfolio (LUNAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SIEPX achieves a 15.65% return, which is significantly higher than LUNAX's 4.00% return.

SIEPX

• 1D: 1.29%
• 1M: 3.73%
• YTD: 15.65%
• 6M: 15.96%
• 1Y: 28.60%
• 3Y*: 18.73%
• 5Y*: 8.51%
• 10Y*: 7.35%

LUNAX

• 1D: 0.78%
• 1M: 2.01%
• YTD: 4.00%
• 6M: 3.45%
• 1Y: 11.38%
• 3Y*: 9.84%
• 5Y*: 5.71%
• 10Y*: —

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

SIEPX vs. LUNAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
SIEPX Saratoga International Equity Portfolio	15.65%	31.89%	5.25%	14.80%	-21.85%	19.33%	5.87%	19.77%	-26.09%
LUNAX Saratoga Conservative Balanced Allocation Portfolio	4.00%	10.95%	8.76%	9.89%	-8.78%	10.51%	7.46%	14.09%	-5.55%

Correlation

The correlation between SIEPX and LUNAX is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (All Time) Calculated using the full available price history since Jan 11, 2018	0.74

The correlation between SIEPX and LUNAX has been stable across timeframes, ranging from 0.68 to 0.75 - a consistent structural relationship.

Return for Risk

SIEPX vs. LUNAX — Risk / Return Rank

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

SIEPX

SIEPX Risk / Return Rank: 44
SIEPX Sharpe Ratio Rank: 44
SIEPX Sortino Ratio Rank: 41
SIEPX Omega Ratio Rank: 45
SIEPX Calmar Ratio Rank: 45
SIEPX Martin Ratio Rank: 46

LUNAX

LUNAX Risk / Return Rank: 39
LUNAX Sharpe Ratio Rank: 37
LUNAX Sortino Ratio Rank: 39
LUNAX Omega Ratio Rank: 37
LUNAX Calmar Ratio Rank: 36
LUNAX Martin Ratio Rank: 46

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. LUNAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Saratoga International Equity Portfolio (SIEPX) and Saratoga Conservative Balanced Allocation Portfolio (LUNAX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	SIEPX	LUNAX	Difference
Sharpe ratio: Return per unit of total volatility	1.80	1.65	+0.15
Sortino ratio: Return per unit of downside risk	2.50	2.43	+0.07
Omega ratio: Gain probability vs. loss probability	1.33	1.30	+0.04
Calmar ratio: Return relative to maximum drawdown	2.44	2.14	+0.30
Martin ratio: Return relative to average drawdown	9.06	9.08	-0.02

SIEPX vs. LUNAX - Sharpe Ratio Comparison

The current SIEPX Sharpe Ratio is 1.80, which is comparable to the LUNAX Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of SIEPX and LUNAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SIEPX vs. LUNAX - Drawdown Comparison

The maximum SIEPX drawdown since its inception was -62.81%, which is greater than LUNAX's maximum drawdown of -18.47%. Use the drawdown chart below to compare losses from any high point for SIEPX and LUNAX.

Drawdown Indicators

	SIEPX	LUNAX	Difference
Max Drawdown Largest peak-to-trough decline	-62.81%	-18.47%	-44.34%
Max Drawdown (1Y) Largest decline over 1 year	-11.41%	-5.41%	-6.00%
Max Drawdown (3Y) Largest decline over 3 years	-15.63%	-7.83%	-7.80%
Max Drawdown (5Y) Largest decline over 5 years	-35.31%	-11.78%	-23.53%
Max Drawdown (10Y) Largest decline over 10 years	-46.47%	—	—
Current Drawdown Current decline from peak	0.00%	-0.09%	+0.09%
Average Drawdown Average peak-to-trough decline	-24.01%	-2.83%	-21.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.07%	1.27%	+1.80%

Volatility

SIEPX vs. LUNAX - Volatility Comparison

Saratoga International Equity Portfolio (SIEPX) has a higher volatility of 5.70% compared to Saratoga Conservative Balanced Allocation Portfolio (LUNAX) at 2.77%. This indicates that SIEPX's price experiences larger fluctuations and is considered to be riskier than LUNAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SIEPX	LUNAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.70%	2.77%	+2.93%
Volatility (6M) Calculated over the trailing 6-month period	13.07%	5.76%	+7.31%
Volatility (1Y) Calculated over the trailing 1-year period	15.46%	7.02%	+8.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.55%	7.55%	+9.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.66%	8.76%	+8.90%

SIEPX vs. LUNAX - Expense Ratio Comparison

SIEPX has a 2.47% expense ratio, which is higher than LUNAX's 0.99% expense ratio.

Dividends

SIEPX vs. LUNAX - Dividend Comparison

SIEPX has not paid dividends to shareholders, while LUNAX's dividend yield for the trailing twelve months is around 9.00%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LUNAX Saratoga Conservative Balanced Allocation Portfolio	9.00%	9.36%	3.54%	2.54%	4.91%	7.81%	0.46%	3.57%	2.14%	0.00%	0.00%	0.00%
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 LUNAX in my portfolio?

SIEPX and LUNAX have a correlation of 0.75, 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 LUNAX?

SIEPX has higher volatility (5.70%) compared to LUNAX (2.77%). In terms of maximum drawdown, SIEPX dropped -62.81% vs LUNAX's -18.47%.

Which has better risk-adjusted returns?

SIEPX currently has the higher Sharpe Ratio (1.80 vs 1.65), 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.