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SSGVX vs. MDIJX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SSGVX and MDIJX is 0.71, 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.


Performance

SSGVX vs. MDIJX - 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 Portfolio (SSGVX) and MFS International Diversification Fund (MDIJX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SSGVX:

0.80

MDIJX:

0.96

Sortino Ratio

SSGVX:

1.07

MDIJX:

1.25

Omega Ratio

SSGVX:

1.15

MDIJX:

1.17

Calmar Ratio

SSGVX:

0.80

MDIJX:

0.99

Martin Ratio

SSGVX:

2.39

MDIJX:

2.98

Ulcer Index

SSGVX:

4.54%

MDIJX:

4.17%

Daily Std Dev

SSGVX:

15.49%

MDIJX:

14.33%

Max Drawdown

SSGVX:

-35.80%

MDIJX:

-55.98%

Current Drawdown

SSGVX:

-0.33%

MDIJX:

-0.27%

Returns By Period

The year-to-date returns for both investments are quite close, with SSGVX having a 13.37% return and MDIJX slightly higher at 13.75%. Over the past 10 years, SSGVX has underperformed MDIJX with an annualized return of 5.32%, while MDIJX has yielded a comparatively higher 6.97% annualized return.


SSGVX

YTD

13.37%

1M

5.22%

6M

12.05%

1Y

11.83%

3Y*

10.13%

5Y*

11.15%

10Y*

5.32%

MDIJX

YTD

13.75%

1M

5.82%

6M

12.11%

1Y

13.10%

3Y*

10.94%

5Y*

10.41%

10Y*

6.97%

*Annualized

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SSGVX vs. MDIJX - Expense Ratio Comparison

SSGVX has a 0.05% expense ratio, which is lower than MDIJX's 0.82% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

SSGVX vs. MDIJX — Risk-Adjusted Performance Rank

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

SSGVX
The Risk-Adjusted Performance Rank of SSGVX is 7070
Overall Rank
The Sharpe Ratio Rank of SSGVX is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of SSGVX is 6969
Sortino Ratio Rank
The Omega Ratio Rank of SSGVX is 7171
Omega Ratio Rank
The Calmar Ratio Rank of SSGVX is 7777
Calmar Ratio Rank
The Martin Ratio Rank of SSGVX is 6464
Martin Ratio Rank

MDIJX
The Risk-Adjusted Performance Rank of MDIJX is 7878
Overall Rank
The Sharpe Ratio Rank of MDIJX is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of MDIJX is 7777
Sortino Ratio Rank
The Omega Ratio Rank of MDIJX is 7878
Omega Ratio Rank
The Calmar Ratio Rank of MDIJX is 8383
Calmar Ratio Rank
The Martin Ratio Rank of MDIJX is 7474
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SSGVX vs. MDIJX - Risk-Adjusted Performance 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 MFS International Diversification Fund (MDIJX). 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.


The current SSGVX Sharpe Ratio is 0.80, which is comparable to the MDIJX Sharpe Ratio of 0.96. The chart below compares the historical Sharpe Ratios of SSGVX and MDIJX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

SSGVX vs. MDIJX - Dividend Comparison

SSGVX's dividend yield for the trailing twelve months is around 2.72%, less than MDIJX's 3.08% yield.


TTM20242023202220212020201920182017201620152014
SSGVX
State Street Global All Cap Equity ex-U.S.Index Portfolio
2.72%3.09%2.96%2.35%2.58%1.66%0.30%0.30%0.28%0.16%0.22%0.64%
MDIJX
MFS International Diversification Fund
3.08%3.50%4.14%2.64%2.70%1.64%2.50%3.14%1.63%2.19%1.69%1.48%

Drawdowns

SSGVX vs. MDIJX - Drawdown Comparison

The maximum SSGVX drawdown since its inception was -35.80%, smaller than the maximum MDIJX drawdown of -55.98%. Use the drawdown chart below to compare losses from any high point for SSGVX and MDIJX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

SSGVX vs. MDIJX - Volatility Comparison

State Street Global All Cap Equity ex-U.S.Index Portfolio (SSGVX) has a higher volatility of 2.96% compared to MFS International Diversification Fund (MDIJX) at 1.89%. This indicates that SSGVX's price experiences larger fluctuations and is considered to be riskier than MDIJX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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