SSGJX vs. SSEYX
SSGJX (State Street Global All Cap Equity ex-U.S. Index Fund) and SSEYX (State Street Equity 500 Index II Portfolio) are both mutual funds - SSGJX is a Foreign Large Cap Equities fund managed by State Street, while SSEYX is a Large Cap Blend Equities fund managed by State Street. Over the past 10 years, SSGJX returned 9.21%/yr vs 14.91%/yr for SSEYX. Their 0.70 correlation means they have sometimes moved together and sometimes differently. SSGJX charges 0.27%/yr vs 0.02%/yr for SSEYX.
Performance
SSGJX vs. SSEYX - Performance Comparison
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Returns By Period
In the year-to-date period, SSGJX achieves a 12.75% return, which is significantly higher than SSEYX's 9.35% return. Over the past 10 years, SSGJX has underperformed SSEYX with an annualized return of 9.21%, while SSEYX has yielded a comparatively higher 14.91% annualized return.
SSGJX
- 1D
- 3.00%
- 1M
- -0.40%
- 6M
- 6.29%
- YTD
- 12.75%
- 1Y
- 27.91%
- 3Y*
- 16.77%
- 5Y*
- 8.65%
- 10Y*
- 9.21%
- ALL TIME*
- 6.80%
SSEYX
- 1D
- 1.66%
- 1M
- -0.56%
- 6M
- 7.79%
- YTD
- 9.35%
- 1Y
- 20.31%
- 3Y*
- 18.92%
- 5Y*
- 12.61%
- 10Y*
- 14.91%
- ALL TIME*
- 13.55%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
SSGJX vs. SSEYX - 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 | 12.75% | 32.51% | 4.92% | 15.59% | -16.57% | 8.21% | 10.93% | 21.27% | -14.19% | 27.00% |
SSEYX State Street Equity 500 Index II Portfolio | 9.35% | 17.52% | 25.01% | 26.29% | -18.18% | 28.58% | 18.28% | 31.42% | -4.54% | 21.72% |
Correlation
The correlation between SSGJX and SSEYX is 0.70, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.70 |
Correlation (3Y) Balances recent behavior with more history. | 0.64 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.69 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.70 |
Correlation (All Time) Calculated using the full available price history since Sep 18, 2014 | 0.70 |
The correlation between SSGJX and SSEYX has been stable across timeframes, ranging from 0.64 to 0.70 - a consistent structural relationship.
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Return for Risk
SSGJX vs. SSEYX — Risk / Return Rank
SSGJX
SSEYX
SSGJX vs. SSEYX - 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 State Street Equity 500 Index II Portfolio (SSEYX). 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 | SSEYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.29 | ||
| Sortino ratioReturn per unit of downside risk | +0.41 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.25 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.29 | 2.03 | +0.26 |
| Martin ratioReturn relative to average drawdown | 8.41 | 8.72 | -0.31 |
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Drawdowns
SSGJX vs. SSEYX - Drawdown Comparison
The maximum SSGJX drawdown since its inception was -36.15%, which is greater than SSEYX's maximum drawdown of -33.75%. Use the drawdown chart below to compare losses from any high point for SSGJX and SSEYX.
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Drawdown Indicators
| SSGJX | SSEYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.15% | -33.75% | -2.40% |
Max Drawdown (1Y)Largest decline over 1 year | -11.23% | -8.88% | -2.35% |
Max Drawdown (3Y)Largest decline over 3 years | -13.61% | -18.74% | +5.13% |
Max Drawdown (5Y)Largest decline over 5 years | -30.19% | -24.52% | -5.67% |
Max Drawdown (10Y)Largest decline over 10 years | -36.15% | -33.75% | -2.40% |
Current DrawdownCurrent decline from peak | -2.46% | -2.11% | -0.35% |
Average DrawdownAverage peak-to-trough decline | -8.25% | -4.06% | -4.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.05% | 2.07% | +0.98% |
Volatility
SSGJX vs. SSEYX - Volatility Comparison
State Street Global All Cap Equity ex-U.S. Index Fund (SSGJX) has a higher volatility of 4.87% compared to State Street Equity 500 Index II Portfolio (SSEYX) at 3.45%. This indicates that SSGJX's price experiences larger fluctuations and is considered to be riskier than SSEYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SSGJX | SSEYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.87% | 3.45% | +1.42% |
Volatility (6M)Calculated over the trailing 6-month period | 13.31% | 10.09% | +3.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.18% | 12.84% | +2.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.01% | 17.02% | -2.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.74% | 18.07% | -2.33% |
SSGJX vs. SSEYX - Expense Ratio Comparison
SSGJX has a 0.27% expense ratio, which is higher than SSEYX's 0.02% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
SSGJX vs. SSEYX - Dividend Comparison
SSGJX's dividend yield for the trailing twelve months is around 3.85%, more than SSEYX's 1.27% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SSEYX State Street Equity 500 Index II Portfolio | 1.27% | 1.38% | 1.93% | 1.46% | 1.57% | 2.48% | 3.63% | 2.36% | 5.91% | 5.37% | 2.29% | 3.47% |
SSGJX State Street Global All Cap Equity ex-U.S. Index Fund | 3.85% | 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
SSGJX and SSEYX have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SSGJX has higher volatility (4.87%) compared to SSEYX (3.45%). In terms of maximum drawdown, SSGJX dropped -36.15% vs SSEYX's -33.75%.
SSGJX currently has the higher Sharpe Ratio (1.69 vs 1.41), 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.
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