SSGVX vs. GTMIX
Compare and contrast key facts about State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) and GMO Tax-Managed International Equities Fund (GTMIX).
SSGVX is managed by State Street. It was launched on Sep 17, 2014. GTMIX is managed by GMO. It was launched on Jul 28, 1998.
Performance
SSGVX vs. GTMIX - Performance Comparison
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SSGVX vs. GTMIX - 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 | 1.29% | 32.69% | 5.01% | 15.71% | -16.42% | 8.42% | 1,010.40% | 21.71% | -14.01% | 27.18% |
GTMIX GMO Tax-Managed International Equities Fund | 8.42% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Returns By Period
In the year-to-date period, SSGVX achieves a 1.29% return, which is significantly lower than GTMIX's 8.42% return. Over the past 10 years, SSGVX has outperformed GTMIX with an annualized return of 37.01%, while GTMIX has yielded a comparatively lower 9.87% annualized return.
SSGVX
- 1D
- 1.93%
- 1M
- -7.37%
- YTD
- 1.29%
- 6M
- 5.30%
- 1Y
- 26.86%
- 3Y*
- 15.17%
- 5Y*
- 7.10%
- 10Y*
- 37.01%
GTMIX
- 1D
- 2.48%
- 1M
- -3.58%
- YTD
- 8.42%
- 6M
- 17.91%
- 1Y
- 41.17%
- 3Y*
- 20.26%
- 5Y*
- 11.29%
- 10Y*
- 9.87%
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SSGVX vs. GTMIX - Expense Ratio Comparison
SSGVX has a 0.05% expense ratio, which is lower than GTMIX's 0.68% expense ratio.
Return for Risk
SSGVX vs. GTMIX — Risk / Return Rank
SSGVX
GTMIX
SSGVX 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 Portfolio (SSGVX) 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.
| SSGVX | GTMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.77 | 2.67 | -0.90 |
Sortino ratioReturn per unit of downside risk | 2.38 | 3.40 | -1.02 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.52 | -0.16 |
Calmar ratioReturn relative to maximum drawdown | 2.35 | 3.54 | -1.19 |
Martin ratioReturn relative to average drawdown | 9.19 | 16.76 | -7.57 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SSGVX | GTMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.77 | 2.67 | -0.90 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.49 | 0.76 | -0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.13 | 0.62 | -0.48 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.11 | 0.40 | -0.28 |
Correlation
The correlation between SSGVX and GTMIX is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
SSGVX vs. GTMIX - Dividend Comparison
SSGVX's dividend yield for the trailing twelve months is around 3.29%, less than GTMIX's 20.69% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SSGVX State Street Global All Cap Equity ex-U.S.Index Portfolio | 3.29% | 3.33% | 3.09% | 2.96% | 2.35% | 2.58% | 1.66% | 2.96% | 3.02% | 2.77% | 1.56% | 2.16% |
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
Drawdowns
SSGVX vs. GTMIX - Drawdown Comparison
The maximum SSGVX drawdown since its inception was -35.79%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for SSGVX and GTMIX.
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Drawdown Indicators
| SSGVX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.79% | -58.31% | +22.52% |
Max Drawdown (1Y)Largest decline over 1 year | -11.22% | -11.24% | +0.02% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -28.81% | -1.22% |
Max Drawdown (10Y)Largest decline over 10 years | -35.79% | -40.32% | +4.53% |
Current DrawdownCurrent decline from peak | -9.15% | -4.51% | -4.64% |
Average DrawdownAverage peak-to-trough decline | -7.83% | -12.75% | +4.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 2.38% | +0.49% |
Volatility
SSGVX vs. GTMIX - Volatility Comparison
State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) has a higher volatility of 6.71% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 5.97%. This indicates that SSGVX'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.
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Volatility by Period
| SSGVX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.71% | 5.97% | +0.74% |
Volatility (6M)Calculated over the trailing 6-month period | 10.17% | 9.56% | +0.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.56% | 15.56% | 0.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.58% | 14.91% | -0.33% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 282.23% | 16.06% | +266.17% |