XETOX vs. SSGLX
XETOX (Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund) and SSGLX (State Street Global All Cap Equity ex-U.S. Index Fund Class K) are both Global Equities funds - XETOX tracks the MSCI World Index while SSGLX tracks the MSCI ACWI ex USA Investable Market Index. Both are passively managed. Over the past 10 years, XETOX returned 9.57%/yr vs 9.82%/yr for SSGLX. A 0.79 correlation means they provide meaningful diversification when combined. XETOX charges 1.74%/yr vs 0.07%/yr for SSGLX.
Performance
XETOX vs. SSGLX - Performance Comparison
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Returns By Period
In the year-to-date period, XETOX achieves a 8.92% return, which is significantly lower than SSGLX's 14.98% return. Both investments have delivered pretty close results over the past 10 years, with XETOX having a 9.57% annualized return and SSGLX not far ahead at 9.82%.
XETOX
- 1D
- -0.12%
- 1M
- 5.26%
- YTD
- 8.92%
- 6M
- 10.24%
- 1Y
- 23.35%
- 3Y*
- 17.93%
- 5Y*
- 9.32%
- 10Y*
- 9.57%
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%
XETOX vs. SSGLX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
XETOX Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 8.92% | 21.76% | 10.32% | 24.83% | -22.82% | 26.65% | 15.25% | 36.66% | -19.00% | 13.99% |
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 XETOX and SSGLX is 0.63, 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 | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Sep 19, 2014 | 0.79 |
The correlation between XETOX and SSGLX shifts across timeframes, from 0.63 (1 year) to 0.79 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
XETOX vs. SSGLX — Risk / Return Rank
XETOX
SSGLX
XETOX vs. SSGLX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund (XETOX) 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.
| XETOX | SSGLX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.50 | ||
| Sortino ratioReturn per unit of downside risk | -0.62 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.46 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 2.19 | 2.89 | -0.70 |
| Martin ratioReturn relative to average drawdown | 9.54 | 11.22 | -1.68 |
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
| XETOX | SSGLX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.90 | 2.40 | -0.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.53 | 0.59 | -0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | 0.61 | -0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.23 | 0.45 | -0.22 |
Drawdowns
XETOX vs. SSGLX - Drawdown Comparison
The maximum XETOX drawdown since its inception was -68.63%, which is greater than SSGLX's maximum drawdown of -35.88%. Use the drawdown chart below to compare losses from any high point for XETOX and SSGLX.
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Drawdown Indicators
| XETOX | SSGLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -68.63% | -35.88% | -32.75% |
Max Drawdown (1Y)Largest decline over 1 year | -12.44% | -11.22% | -1.22% |
Max Drawdown (3Y)Largest decline over 3 years | -16.69% | -13.56% | -3.13% |
Max Drawdown (5Y)Largest decline over 5 years | -31.51% | -30.08% | -1.43% |
Max Drawdown (10Y)Largest decline over 10 years | -44.35% | -35.88% | -8.47% |
Current DrawdownCurrent decline from peak | -0.12% | 0.00% | -0.12% |
Average DrawdownAverage peak-to-trough decline | -24.62% | -8.23% | -16.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.68% | 2.88% | -0.20% |
Volatility
XETOX vs. SSGLX - Volatility Comparison
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund (XETOX) and State Street Global All Cap Equity ex-U.S. Index Fund Class K (SSGLX) have volatilities of 4.37% and 4.55%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XETOX | SSGLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.37% | 4.55% | -0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 11.56% | 11.38% | +0.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.35% | 13.56% | +0.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.24% | 14.74% | +3.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.94% | 16.24% | +3.70% |
XETOX vs. SSGLX - Expense Ratio Comparison
XETOX has a 1.74% expense ratio, which is higher than SSGLX's 0.07% expense ratio.
Dividends
XETOX vs. SSGLX - Dividend Comparison
XETOX's dividend yield for the trailing twelve months is around 1.51%, less 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% |
XETOX Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 1.51% | 3.82% | 6.59% | 6.25% | 9.14% | 6.43% | 6.91% | 6.17% | 1.74% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
XETOX and SSGLX have a correlation of 0.63, 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 XETOX (4.37%). In terms of maximum drawdown, XETOX dropped -68.63% vs SSGLX's -35.88%.
SSGLX currently has the higher Sharpe Ratio (2.40 vs 1.90), 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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