SIEPX vs. STEZX

Last updated Jun 5, 2026

SIEPX (Saratoga International Equity Portfolio) and STEZX (AB International Strategic Equities Portfolio) are both Foreign Large Cap Equities funds. Over the past 10 years, SIEPX returned 7.07%/yr vs 11.00%/yr for STEZX. Their correlation of 0.90 suggests significant overlap in exposure. SIEPX charges 2.47%/yr vs 0.71%/yr for STEZX.

Performance

SIEPX vs. STEZX - Performance Comparison

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

Returns By Period

In the year-to-date period, SIEPX achieves a 13.97% return, which is significantly lower than STEZX's 20.94% return. Over the past 10 years, SIEPX has underperformed STEZX with an annualized return of 7.07%, while STEZX has yielded a comparatively higher 11.00% 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%

STEZX

• 1D: -0.61%
• 1M: 2.95%
• YTD: 20.94%
• 6M: 25.11%
• 1Y: 44.10%
• 3Y*: 27.60%
• 5Y*: 12.72%
• 10Y*: 11.00%

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

SIEPX vs. STEZX - 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%
STEZX AB International Strategic Equities Portfolio	20.94%	43.11%	12.75%	13.56%	-17.62%	10.32%	4.38%	19.93%	-14.94%	29.96%

Correlation

The correlation between SIEPX and STEZX is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016	0.90

The correlation between SIEPX and STEZX has been stable across timeframes, ranging from 0.90 to 0.93 - a consistent structural relationship.

Return for Risk

SIEPX vs. STEZX — 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

STEZX

STEZX Risk / Return Rank: 82
STEZX Sharpe Ratio Rank: 85
STEZX Sortino Ratio Rank: 75
STEZX Omega Ratio Rank: 78
STEZX Calmar Ratio Rank: 83
STEZX Martin Ratio Rank: 86

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. STEZX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Saratoga International Equity Portfolio (SIEPX) and AB International Strategic Equities Portfolio (STEZX). 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	STEZX	Difference
Sharpe ratio: Return per unit of total volatility	1.72	2.75	-1.03
Sortino ratio: Return per unit of downside risk	2.41	3.62	-1.21
Omega ratio: Gain probability vs. loss probability	1.32	1.51	-0.19
Calmar ratio: Return relative to maximum drawdown	2.23	3.77	-1.54
Martin ratio: Return relative to average drawdown	8.35	15.99	-7.64
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. STEZX - Sharpe Ratio Comparison

The current SIEPX Sharpe Ratio is 1.72, which is lower than the STEZX Sharpe Ratio of 2.75. The chart below compares the historical Sharpe Ratios of SIEPX and STEZX, 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	STEZX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.72	2.75	-1.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.78	-0.33
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.40	0.68	-0.28
Sharpe Ratio (All Time) Calculated using the full available price history	0.16	0.67	-0.51

Drawdowns

SIEPX vs. STEZX - Drawdown Comparison

The maximum SIEPX drawdown since its inception was -62.81%, which is greater than STEZX's maximum drawdown of -36.51%. Use the drawdown chart below to compare losses from any high point for SIEPX and STEZX.

Drawdown Indicators

	SIEPX	STEZX	Difference
Max Drawdown Largest peak-to-trough decline	-62.81%	-36.51%	-26.30%
Max Drawdown (1Y) Largest decline over 1 year	-11.41%	-12.02%	+0.61%
Max Drawdown (3Y) Largest decline over 3 years	-15.63%	-14.01%	-1.62%
Max Drawdown (5Y) Largest decline over 5 years	-35.31%	-29.85%	-5.46%
Max Drawdown (10Y) Largest decline over 10 years	-46.47%	-36.51%	-9.96%
Current Drawdown Current decline from peak	-0.59%	-0.61%	+0.02%
Average Drawdown Average peak-to-trough decline	-24.04%	-7.31%	-16.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.04%	2.82%	+0.22%

Volatility

SIEPX vs. STEZX - Volatility Comparison

The current volatility for Saratoga International Equity Portfolio (SIEPX) is 4.85%, while AB International Strategic Equities Portfolio (STEZX) has a volatility of 5.94%. This indicates that SIEPX experiences smaller price fluctuations and is considered to be less risky than STEZX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SIEPX	STEZX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.85%	5.94%	-1.09%
Volatility (6M) Calculated over the trailing 6-month period	12.18%	14.08%	-1.90%
Volatility (1Y) Calculated over the trailing 1-year period	14.84%	16.48%	-1.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.45%	16.34%	+0.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.65%	16.27%	+1.38%

SIEPX vs. STEZX - Expense Ratio Comparison

SIEPX has a 2.47% expense ratio, which is higher than STEZX's 0.71% expense ratio.

Dividends

SIEPX vs. STEZX - Dividend Comparison

SIEPX has not paid dividends to shareholders, while STEZX's dividend yield for the trailing twelve months is around 10.38%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
STEZX AB International Strategic Equities Portfolio	10.38%	12.56%	2.45%	3.08%	4.12%	5.96%	1.29%	2.05%	3.23%	2.92%	1.72%	0.00%

Frequently Asked Questions

Can I hold both SIEPX and STEZX in my portfolio?

With a correlation of 0.90, SIEPX and STEZX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SIEPX or STEZX?

STEZX has higher volatility (5.94%) compared to SIEPX (4.85%). In terms of maximum drawdown, SIEPX dropped -62.81% vs STEZX's -36.51%.

Which has better risk-adjusted returns?

STEZX currently has the higher Sharpe Ratio (2.75 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.