SSGJX vs. GTMIX

Last updated Jun 24, 2026

SSGJX (State Street Global All Cap Equity ex-U.S. Index Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, SSGJX returned 10.34%/yr vs 10.78%/yr for GTMIX. Their correlation of 0.86 suggests significant overlap in exposure. SSGJX charges 0.27%/yr vs 0.68%/yr for GTMIX.

Performance

SSGJX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SSGJX achieves a 15.59% return, which is significantly higher than GTMIX's 13.12% return. Both investments have delivered pretty close results over the past 10 years, with SSGJX having a 10.34% annualized return and GTMIX not far ahead at 10.78%.

SSGJX

• 1D: 0.18%
• 1M: 3.06%
• YTD: 15.59%
• 6M: 15.86%
• 1Y: 33.36%
• 3Y*: 19.87%
• 5Y*: 8.89%
• 10Y*: 10.34%

GTMIX

• 1D: -0.27%
• 1M: -0.80%
• YTD: 13.12%
• 6M: 12.71%
• 1Y: 38.22%
• 3Y*: 21.82%
• 5Y*: 11.38%
• 10Y*: 10.78%

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

SSGJX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SSGJX State Street Global All Cap Equity ex-U.S. Index Fund	15.59%	32.51%	4.92%	15.59%	-16.57%	8.21%	10.93%	21.27%	-14.19%	27.00%
GTMIX GMO Tax-Managed International Equities Fund	13.12%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between SSGJX and GTMIX is 0.71, 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	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.85
Correlation (All Time) Calculated using the full available price history since Sep 18, 2014	0.86

The correlation between SSGJX and GTMIX shifts across timeframes, from 0.71 (1 year) to 0.86 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SSGJX vs. GTMIX — Risk / Return Rank

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

SSGJX

SSGJX Risk / Return Rank: 70
SSGJX Sharpe Ratio Rank: 76
SSGJX Sortino Ratio Rank: 72
SSGJX Omega Ratio Rank: 76
SSGJX Calmar Ratio Rank: 67
SSGJX Martin Ratio Rank: 61

GTMIX

GTMIX Risk / Return Rank: 91
GTMIX Sharpe Ratio Rank: 94
GTMIX Sortino Ratio Rank: 91
GTMIX Omega Ratio Rank: 85
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 94

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.

SSGJX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX) 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.

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.

	SSGJX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.34	3.00	-0.66
Sortino ratio: Return per unit of downside risk	3.21	4.12	-0.91
Omega ratio: Gain probability vs. loss probability	1.45	1.54	-0.09
Calmar ratio: Return relative to maximum drawdown	2.99	4.93	-1.93
Martin ratio: Return relative to average drawdown	11.46	19.02	-7.56

SSGJX vs. GTMIX - Sharpe Ratio Comparison

The current SSGJX Sharpe Ratio is 2.34, which is comparable to the GTMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of SSGJX 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.

Drawdowns

SSGJX vs. GTMIX - Drawdown Comparison

The maximum SSGJX drawdown since its inception was -36.15%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for SSGJX and GTMIX.

Drawdown Indicators

	SSGJX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-36.15%	-58.31%	+22.16%
Max Drawdown (1Y) Largest decline over 1 year	-11.23%	-7.90%	-3.33%
Max Drawdown (3Y) Largest decline over 3 years	-13.61%	-14.11%	+0.50%
Max Drawdown (5Y) Largest decline over 5 years	-30.19%	-27.34%	-2.85%
Max Drawdown (10Y) Largest decline over 10 years	-36.15%	-40.32%	+4.17%
Current Drawdown Current decline from peak	0.00%	-1.59%	+1.59%
Average Drawdown Average peak-to-trough decline	-8.29%	-12.65%	+4.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	2.04%	+0.89%

Volatility

SSGJX vs. GTMIX - Volatility Comparison

State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX) has a higher volatility of 5.69% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.48%. This indicates that SSGJX'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

	SSGJX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.69%	3.48%	+2.21%
Volatility (6M) Calculated over the trailing 6-month period	12.38%	9.95%	+2.43%
Volatility (1Y) Calculated over the trailing 1-year period	14.40%	13.01%	+1.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.90%	14.93%	-0.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.87%	16.00%	-0.13%

SSGJX vs. GTMIX - Expense Ratio Comparison

SSGJX has a 0.27% expense ratio, which is lower than GTMIX's 0.68% expense ratio.

Dividends

SSGJX vs. GTMIX - Dividend Comparison

SSGJX's dividend yield for the trailing twelve months is around 3.76%, less than GTMIX's 19.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	19.83%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
SSGJX State Street Global All Cap Equity ex-U.S. Index Fund	3.76%	4.34%	4.43%	2.93%	2.73%	4.07%	1.57%	4.69%	8.03%	3.98%	1.52%	2.09%

Frequently Asked Questions

Can I hold both SSGJX and GTMIX in my portfolio?

SSGJX and GTMIX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SSGJX or GTMIX?

SSGJX has higher volatility (5.69%) compared to GTMIX (3.48%). In terms of maximum drawdown, SSGJX dropped -36.15% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.00 vs 2.34), 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.