STITX vs. GTMIX

Last updated Jun 24, 2026

STITX (Virtus SGA International Growth Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, STITX returned 10.54%/yr vs 10.78%/yr for GTMIX. Their correlation of 0.87 suggests significant overlap in exposure. STITX charges 1.08%/yr vs 0.68%/yr for GTMIX.

Performance

STITX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus SGA International Growth Fund (STITX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, STITX achieves a -5.34% return, which is significantly lower than GTMIX's 13.12% return. Both investments have delivered pretty close results over the past 10 years, with STITX having a 10.54% annualized return and GTMIX not far ahead at 10.78%.

STITX

• 1D: -1.10%
• 1M: -1.46%
• YTD: -5.34%
• 6M: -5.96%
• 1Y: -4.43%
• 3Y*: 12.32%
• 5Y*: 5.50%
• 10Y*: 10.54%

GTMIX

• 1D: -0.27%
• 1M: -0.80%
• YTD: 13.12%
• 6M: 12.71%
• 1Y: 38.22%
• 3Y*: 21.82%
• 5Y*: 11.38%
• 10Y*: 10.78%

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

STITX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
STITX Virtus SGA International Growth Fund	-5.34%	9.66%	29.27%	17.26%	-18.17%	8.67%	23.31%	29.06%	-7.69%	31.58%
GTMIX GMO Tax-Managed International Equities Fund	13.12%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between STITX and GTMIX is 0.62, 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	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.73
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999	0.87

Over the past year, the correlation between STITX and GTMIX has dropped to 0.62 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.

Return for Risk

STITX vs. GTMIX — Risk / Return Rank

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

STITX

STITX Risk / Return Rank: 2
STITX Sharpe Ratio Rank: 2
STITX Sortino Ratio Rank: 2
STITX Omega Ratio Rank: 2
STITX Calmar Ratio Rank: 2
STITX Martin Ratio Rank: 1

GTMIX

GTMIX Risk / Return Rank: 91
GTMIX Sharpe Ratio Rank: 94
GTMIX Sortino Ratio Rank: 91
GTMIX Omega Ratio Rank: 85
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 94

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.

STITX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus SGA International Growth Fund (STITX) 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.

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.

	STITX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	-0.28	3.00	-3.28
Sortino ratio: Return per unit of downside risk	-0.30	4.12	-4.42
Omega ratio: Gain probability vs. loss probability	0.96	1.54	-0.57
Calmar ratio: Return relative to maximum drawdown	-0.26	4.93	-5.18
Martin ratio: Return relative to average drawdown	-0.71	19.02	-19.73

STITX vs. GTMIX - Sharpe Ratio Comparison

The current STITX Sharpe Ratio is -0.28, which is lower than the GTMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of STITX and GTMIX, 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

STITX vs. GTMIX - Drawdown Comparison

The maximum STITX drawdown since its inception was -65.63%, which is greater than GTMIX's maximum drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for STITX and GTMIX.

Drawdown Indicators

	STITX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-65.63%	-58.31%	-7.32%
Max Drawdown (1Y) Largest decline over 1 year	-14.76%	-7.90%	-6.86%
Max Drawdown (3Y) Largest decline over 3 years	-31.36%	-14.11%	-17.25%
Max Drawdown (5Y) Largest decline over 5 years	-31.89%	-27.34%	-4.55%
Max Drawdown (10Y) Largest decline over 10 years	-31.89%	-40.32%	+8.43%
Current Drawdown Current decline from peak	-22.70%	-1.59%	-21.11%
Average Drawdown Average peak-to-trough decline	-14.04%	-12.65%	-1.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.33%	2.04%	+3.29%

Volatility

STITX vs. GTMIX - Volatility Comparison

Virtus SGA International Growth Fund (STITX) has a higher volatility of 4.87% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.48%. This indicates that STITX'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.

Volatility by Period

	STITX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.87%	3.48%	+1.39%
Volatility (6M) Calculated over the trailing 6-month period	11.34%	9.95%	+1.39%
Volatility (1Y) Calculated over the trailing 1-year period	13.51%	13.01%	+0.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	40.78%	14.93%	+25.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	31.05%	16.00%	+15.05%

STITX vs. GTMIX - Expense Ratio Comparison

STITX has a 1.08% expense ratio, which is higher than GTMIX's 0.68% expense ratio.

Dividends

STITX vs. GTMIX - Dividend Comparison

STITX's dividend yield for the trailing twelve months is around 0.36%, less than GTMIX's 19.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	19.83%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
STITX Virtus SGA International Growth Fund	0.36%	1.17%	59.54%	0.33%	5.28%	7.65%	19.31%	31.59%	0.30%	0.12%	0.47%	10.60%

Frequently Asked Questions

Can I hold both STITX and GTMIX in my portfolio?

STITX and GTMIX have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, STITX or GTMIX?

STITX has higher volatility (4.87%) compared to GTMIX (3.48%). In terms of maximum drawdown, STITX dropped -65.63% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.00 vs -0.28), 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.