GMO Alternative Allocation Fund (GAAVX)

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The chart shows the growth of an initial investment of $10,000 in GMO Alternative Allocation Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.

GMO Alternative Allocation Fund (GAAVX) has returned 3.33% so far this year and 13.22% over the past 12 months.

Based on dividend-adjusted daily data since May 9, 2019, GAAVX's average daily return is +0.01%, while the average monthly return is +0.24%. At this rate, your investment would double in approximately 24.1 years.

Historically, 58% of months were positive and 42% were negative. The best month was Nov 2025 with a return of +4.8%, while the worst month was Mar 2020 at -4.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 6 months.

On a daily basis, GAAVX closed higher 49% of trading days. The best single day was Mar 10, 2020 with a return of +1.8%, while the worst single day was Mar 16, 2020 at -3.7%.

GMO Alternative Allocation Fund has an annualized alpha of 1.41%, beta of 0.11, and R² of 0.15 versus S&P 500 Index. Calculated based on daily prices since May 10, 2019.

• This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (9.56%) than losses (5.18%) — typical of diversified or defensive assets.
• Beta of 0.11 may look defensive, but with R² of 0.15 this fund is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
• R² of 0.15 means this fund moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

GAAVX has an expense ratio of 0.61%, placing it in the medium range.

GAAVX ranks 92 for risk / return — in the top 92% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

The table below present risk-adjusted performance metrics for GMO Alternative Allocation Fund (GAAVX) and compare them to a chosen benchmark (S&P 500 Index).

GMO Alternative Allocation Fund provided a 8.49% dividend yield over the last twelve months, with an annual payout of $1.61 per share.

The table displays the monthly dividend distributions for GMO Alternative Allocation Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the GMO Alternative Allocation Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the GMO Alternative Allocation Fund was 9.59%, occurring on Nov 30, 2021. Recovery took 446 trading sessions.

The current GMO Alternative Allocation Fund drawdown is 1.20%.

The chart below shows the rolling one-month volatility.