STEZX vs. JOHIX

Last updated Jun 26, 2026

STEZX (AB International Strategic Equities Portfolio) and JOHIX (JOHCM International Select Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, STEZX returned 11.35%/yr vs 7.90%/yr for JOHIX. Their correlation of 0.82 suggests significant overlap in exposure. STEZX charges 0.71%/yr vs 0.98%/yr for JOHIX.

Performance

STEZX vs. JOHIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AB International Strategic Equities Portfolio (STEZX) and JOHCM International Select Fund (JOHIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, STEZX achieves a 18.22% return, which is significantly higher than JOHIX's 4.06% return. Over the past 10 years, STEZX has outperformed JOHIX with an annualized return of 11.35%, while JOHIX has yielded a comparatively lower 7.90% annualized return.

STEZX

• 1D: -0.26%
• 1M: -2.30%
• YTD: 18.22%
• 6M: 18.44%
• 1Y: 39.30%
• 3Y*: 26.49%
• 5Y*: 12.43%
• 10Y*: 11.35%

JOHIX

• 1D: -1.30%
• 1M: -2.85%
• YTD: 4.06%
• 6M: 3.25%
• 1Y: 15.44%
• 3Y*: 11.36%
• 5Y*: 2.30%
• 10Y*: 7.90%

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

STEZX vs. JOHIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
STEZX AB International Strategic Equities Portfolio	18.22%	43.11%	12.75%	13.56%	-17.62%	10.32%	4.38%	19.93%	-14.94%	29.96%
JOHIX JOHCM International Select Fund	4.06%	25.70%	0.11%	18.16%	-32.38%	12.38%	29.72%	19.04%	-8.28%	22.88%

Correlation

The correlation between STEZX and JOHIX is 0.66, 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (10Y) Calculated over the trailing 10-year period	0.82
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.82

The correlation between STEZX and JOHIX shifts across timeframes, from 0.66 (1 year) to 0.82 (all time), reflecting how their relationship changes across market environments.

Return for Risk

STEZX vs. JOHIX — Risk / Return Rank

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

STEZX

STEZX Risk / Return Rank: 78
STEZX Sharpe Ratio Rank: 77
STEZX Sortino Ratio Rank: 70
STEZX Omega Ratio Rank: 77
STEZX Calmar Ratio Rank: 82
STEZX Martin Ratio Rank: 85

JOHIX

JOHIX Risk / Return Rank: 17
JOHIX Sharpe Ratio Rank: 15
JOHIX Sortino Ratio Rank: 15
JOHIX Omega Ratio Rank: 17
JOHIX Calmar Ratio Rank: 17
JOHIX Martin Ratio Rank: 19

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.

STEZX vs. JOHIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AB International Strategic Equities Portfolio (STEZX) and JOHCM International Select Fund (JOHIX). 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.

	STEZX	JOHIX	Difference
Sharpe ratio: Return per unit of total volatility	2.16	0.87	+1.29
Sortino ratio: Return per unit of downside risk	2.84	1.32	+1.52
Omega ratio: Gain probability vs. loss probability	1.41	1.18	+0.24
Calmar ratio: Return relative to maximum drawdown	3.26	1.19	+2.07
Martin ratio: Return relative to average drawdown	13.44	3.98	+9.46

STEZX vs. JOHIX - Sharpe Ratio Comparison

The current STEZX Sharpe Ratio is 2.16, which is higher than the JOHIX Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of STEZX and JOHIX, 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

STEZX vs. JOHIX - Drawdown Comparison

The maximum STEZX drawdown since its inception was -36.51%, smaller than the maximum JOHIX drawdown of -41.60%. Use the drawdown chart below to compare losses from any high point for STEZX and JOHIX.

Drawdown Indicators

	STEZX	JOHIX	Difference
Max Drawdown Largest peak-to-trough decline	-36.51%	-41.60%	+5.09%
Max Drawdown (1Y) Largest decline over 1 year	-12.02%	-14.26%	+2.24%
Max Drawdown (3Y) Largest decline over 3 years	-14.01%	-19.70%	+5.69%
Max Drawdown (5Y) Largest decline over 5 years	-29.85%	-41.60%	+11.75%
Max Drawdown (10Y) Largest decline over 10 years	-36.51%	-41.60%	+5.09%
Current Drawdown Current decline from peak	-4.17%	-6.68%	+2.51%
Average Drawdown Average peak-to-trough decline	-7.28%	-9.25%	+1.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.91%	4.07%	-1.16%

Volatility

STEZX vs. JOHIX - Volatility Comparison

AB International Strategic Equities Portfolio (STEZX) has a higher volatility of 8.44% compared to JOHCM International Select Fund (JOHIX) at 6.38%. This indicates that STEZX's price experiences larger fluctuations and is considered to be riskier than JOHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	STEZX	JOHIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.44%	6.38%	+2.06%
Volatility (6M) Calculated over the trailing 6-month period	16.03%	17.07%	-1.04%
Volatility (1Y) Calculated over the trailing 1-year period	18.13%	19.50%	-1.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.68%	18.72%	-2.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.25%	17.01%	-0.76%

STEZX vs. JOHIX - Expense Ratio Comparison

STEZX has a 0.71% expense ratio, which is lower than JOHIX's 0.98% expense ratio.

Dividends

STEZX vs. JOHIX - Dividend Comparison

STEZX's dividend yield for the trailing twelve months is around 10.62%, more than JOHIX's 3.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JOHIX JOHCM International Select Fund	3.09%	3.21%	1.71%	1.90%	1.67%	12.27%	2.88%	0.95%	1.51%	1.18%	0.71%	0.37%
STEZX AB International Strategic Equities Portfolio	10.62%	12.56%	2.45%	3.08%	4.12%	5.96%	1.29%	2.05%	3.23%	2.92%	1.72%	0.00%

Frequently Asked Questions

Can I hold both STEZX and JOHIX in my portfolio?

STEZX and JOHIX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, STEZX or JOHIX?

STEZX has higher volatility (8.44%) compared to JOHIX (6.38%). In terms of maximum drawdown, STEZX dropped -36.51% vs JOHIX's -41.60%.

Which has better risk-adjusted returns?

STEZX currently has the higher Sharpe Ratio (2.16 vs 0.87), 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.