VMVFX vs. SSGLX
VMVFX (Vanguard Global Minimum Volatility Fund Investor Shares) and SSGLX (State Street Global All Cap Equity ex-U.S. Index Fund Class K) are both Global Equities funds. Over the past 10 years, VMVFX returned 9.51%/yr vs 9.82%/yr for SSGLX. A 0.67 correlation means they provide meaningful diversification when combined. VMVFX charges 0.21%/yr vs 0.07%/yr for SSGLX.
Performance
VMVFX vs. SSGLX - Performance Comparison
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Returns By Period
In the year-to-date period, VMVFX achieves a 8.43% return, which is significantly lower than SSGLX's 14.98% return. Both investments have delivered pretty close results over the past 10 years, with VMVFX having a 9.51% annualized return and SSGLX not far ahead at 9.82%.
VMVFX
- 1D
- 0.06%
- 1M
- 2.52%
- YTD
- 8.43%
- 6M
- 8.94%
- 1Y
- 13.14%
- 3Y*
- 13.60%
- 5Y*
- 10.78%
- 10Y*
- 9.51%
SSGLX
- 1D
- 0.67%
- 1M
- 4.89%
- YTD
- 14.98%
- 6M
- 18.09%
- 1Y
- 32.74%
- 3Y*
- 19.68%
- 5Y*
- 8.65%
- 10Y*
- 9.82%
VMVFX vs. SSGLX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMVFX Vanguard Global Minimum Volatility Fund Investor Shares | 8.43% | 12.74% | 13.38% | 7.82% | -4.48% | 23.74% | -3.99% | 23.28% | -1.79% | 15.93% |
SSGLX State Street Global All Cap Equity ex-U.S. Index Fund Class K | 14.98% | 32.64% | 4.98% | 15.67% | -16.44% | 8.36% | 11.11% | 21.52% | -14.05% | 27.12% |
Correlation
The correlation between VMVFX and SSGLX is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.42 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.60 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.65 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2014 | 0.67 |
Over the past year, the correlation between VMVFX and SSGLX has dropped to 0.42 - well below their long-term average of 0.67, suggesting their price drivers have been diverging.
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Return for Risk
VMVFX vs. SSGLX — Risk / Return Rank
VMVFX
SSGLX
VMVFX vs. SSGLX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) and State Street Global All Cap Equity ex-U.S. Index Fund Class K (SSGLX). 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.
| VMVFX | SSGLX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.48 | ||
| Sortino ratioReturn per unit of downside risk | -0.61 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.46 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 2.08 | 2.89 | -0.81 |
| Martin ratioReturn relative to average drawdown | 8.13 | 11.22 | -3.10 |
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
| VMVFX | SSGLX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.92 | 2.40 | -0.48 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.01 | 0.59 | +0.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.76 | 0.61 | +0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.82 | 0.45 | +0.38 |
Drawdowns
VMVFX vs. SSGLX - Drawdown Comparison
The maximum VMVFX drawdown since its inception was -33.09%, smaller than the maximum SSGLX drawdown of -35.88%. Use the drawdown chart below to compare losses from any high point for VMVFX and SSGLX.
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Drawdown Indicators
| VMVFX | SSGLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.09% | -35.88% | +2.79% |
Max Drawdown (1Y)Largest decline over 1 year | -6.27% | -11.22% | +4.95% |
Max Drawdown (3Y)Largest decline over 3 years | -7.96% | -13.56% | +5.60% |
Max Drawdown (5Y)Largest decline over 5 years | -13.02% | -30.08% | +17.06% |
Max Drawdown (10Y)Largest decline over 10 years | -33.09% | -35.88% | +2.79% |
Current DrawdownCurrent decline from peak | -0.18% | 0.00% | -0.18% |
Average DrawdownAverage peak-to-trough decline | -2.83% | -8.23% | +5.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.60% | 2.88% | -1.28% |
Volatility
VMVFX vs. SSGLX - Volatility Comparison
The current volatility for Vanguard Global Minimum Volatility Fund Investor Shares (VMVFX) is 1.94%, while State Street Global All Cap Equity ex-U.S. Index Fund Class K (SSGLX) has a volatility of 4.55%. This indicates that VMVFX experiences smaller price fluctuations and is considered to be less risky than SSGLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMVFX | SSGLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.94% | 4.55% | -2.61% |
Volatility (6M)Calculated over the trailing 6-month period | 5.17% | 11.38% | -6.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.81% | 13.56% | -6.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.76% | 14.74% | -3.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.48% | 16.24% | -3.76% |
VMVFX vs. SSGLX - Expense Ratio Comparison
VMVFX has a 0.21% expense ratio, which is higher than SSGLX's 0.07% 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
VMVFX vs. SSGLX - Dividend Comparison
VMVFX's dividend yield for the trailing twelve months is around 9.20%, more than SSGLX's 3.84% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SSGLX State Street Global All Cap Equity ex-U.S. Index Fund Class K | 3.84% | 4.41% | 4.46% | 2.98% | 2.85% | 4.20% | 1.72% | 4.80% | 8.32% | 3.98% | 1.52% | 2.09% |
VMVFX Vanguard Global Minimum Volatility Fund Investor Shares | 9.20% | 9.98% | 3.77% | 3.05% | 4.96% | 12.73% | 2.02% | 5.12% | 7.27% | 2.30% | 2.71% | 3.22% |
Frequently Asked Questions
VMVFX and SSGLX have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SSGLX has higher volatility (4.55%) compared to VMVFX (1.94%). In terms of maximum drawdown, VMVFX dropped -33.09% vs SSGLX's -35.88%.
SSGLX currently has the higher Sharpe Ratio (2.40 vs 1.92), 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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