SSGVX vs. GIOTX
SSGVX (State Street Global All Cap Equity ex-U.S.Index Portfolio) and GIOTX (GMO International Developed Equity Allocation Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, SSGVX returned 37.71%/yr vs 12.16%/yr for GIOTX. Their correlation of 0.87 means they have usually moved in the same direction. SSGVX charges 0.05%/yr vs 0.00%/yr for GIOTX.
Performance
SSGVX vs. GIOTX - Performance Comparison
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Returns By Period
In the year-to-date period, SSGVX achieves a 12.83% return, which is significantly lower than GIOTX's 21.36% return. Over the past 10 years, SSGVX has outperformed GIOTX with an annualized return of 37.71%, while GIOTX has yielded a comparatively lower 12.16% annualized return.
SSGVX
- 1D
- 2.99%
- 1M
- -0.39%
- 6M
- 6.34%
- YTD
- 12.83%
- 1Y
- 28.10%
- 3Y*
- 16.90%
- 5Y*
- 8.80%
- 10Y*
- 37.71%
- ALL TIME*
- 29.80%
GIOTX
- 1D
- 3.10%
- 1M
- 3.56%
- 6M
- 14.12%
- YTD
- 21.36%
- 1Y
- 41.77%
- 3Y*
- 26.17%
- 5Y*
- 15.33%
- 10Y*
- 12.16%
- ALL TIME*
- 6.53%
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 |
SSGVX vs. GIOTX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SSGVX State Street Global All Cap Equity ex-U.S.Index Portfolio | 12.83% | 32.69% | 5.01% | 15.71% | -16.42% | 8.42% | 1,010.40% | 21.71% | -14.01% | 27.18% |
GIOTX GMO International Developed Equity Allocation Fund | 21.36% | 43.70% | 10.66% | 21.03% | -12.41% | 11.14% | 7.43% | 24.45% | -19.66% | 26.38% |
Correlation
The correlation between SSGVX and GIOTX is 0.80, 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. | 0.80 |
Correlation (3Y) Balances recent behavior with more history. | 0.81 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.84 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.85 |
Correlation (All Time) Calculated using the full available price history since Sep 18, 2014 | 0.87 |
The correlation between SSGVX and GIOTX has been stable across timeframes, ranging from 0.80 to 0.87 - a consistent structural relationship.
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Return for Risk
SSGVX vs. GIOTX — Risk / Return Rank
SSGVX
GIOTX
SSGVX vs. GIOTX - 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 Portfolio (SSGVX) and GMO International Developed Equity Allocation Fund (GIOTX). 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.
| SSGVX | GIOTX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.83 | ||
| Sortino ratioReturn per unit of downside risk | -1.09 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.46 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.31 | 3.85 | -1.55 |
| Martin ratioReturn relative to average drawdown | 8.49 | 14.97 | -6.48 |
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Drawdowns
SSGVX vs. GIOTX - Drawdown Comparison
The maximum SSGVX drawdown since its inception was -35.79%, smaller than the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for SSGVX and GIOTX.
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Drawdown Indicators
| SSGVX | GIOTX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.79% | -56.51% | +20.72% |
Max Drawdown (1Y)Largest decline over 1 year | -11.22% | -10.66% | -0.56% |
Max Drawdown (3Y)Largest decline over 3 years | -13.54% | -13.40% | -0.14% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -28.34% | -1.69% |
Max Drawdown (10Y)Largest decline over 10 years | -35.79% | -39.29% | +3.50% |
Current DrawdownCurrent decline from peak | -2.45% | 0.00% | -2.45% |
Average DrawdownAverage peak-to-trough decline | -7.68% | -14.13% | +6.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 2.74% | +0.30% |
Volatility
SSGVX vs. GIOTX - Volatility Comparison
The current volatility for State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) is 4.87%, while GMO International Developed Equity Allocation Fund (GIOTX) has a volatility of 5.21%. This indicates that SSGVX experiences smaller price fluctuations and is considered to be less risky than GIOTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SSGVX | GIOTX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.87% | 5.21% | -0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 13.31% | 13.48% | -0.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.17% | 16.22% | -1.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.07% | 15.55% | -0.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 282.23% | 16.17% | +266.06% |
SSGVX vs. GIOTX - Expense Ratio Comparison
SSGVX has a 0.05% expense ratio, which is higher than GIOTX's 0.00% 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
SSGVX vs. GIOTX - Dividend Comparison
SSGVX's dividend yield for the trailing twelve months is around 2.95%, less than GIOTX's 8.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GIOTX GMO International Developed Equity Allocation Fund | 8.39% | 8.04% | 5.07% | 6.54% | 4.45% | 6.67% | 4.48% | 3.74% | 3.90% | 3.15% | 4.04% | 3.39% |
SSGVX State Street Global All Cap Equity ex-U.S.Index Portfolio | 2.95% | 3.33% | 3.09% | 2.96% | 2.35% | 2.58% | 1.66% | 2.96% | 3.02% | 2.77% | 1.56% | 2.16% |
Frequently Asked Questions
SSGVX and GIOTX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GIOTX has higher volatility (5.21%) compared to SSGVX (4.87%). In terms of maximum drawdown, SSGVX dropped -35.79% vs GIOTX's -56.51%.
GIOTX currently has the higher Sharpe Ratio (2.54 vs 1.70), 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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