- ISIN
- US3620144663
- Issuer
- GMO
- Inception Date
- May 1, 2019
- Category
- Multistrategy
- Min. Investment
- $750,000,000
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Large-Cap
Share Price Chart
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Performance
GAAVX Performance Chart
GMO Alternative Allocation Fund (GAAVX) is up 1.1% since the beginning of the year. GAAVX is currently trading at $19 per share. Investors who bought $1,000 worth of GAAVX shares 5 years ago would now be looking at an investment worth $1,152.
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Returns By Period
GMO Alternative Allocation Fund (GAAVX) has returned 1.09% so far this year and 13.63% over the past 12 months.
GMO Alternative Allocation Fund
- 1D
- -0.27%
- 1M
- -1.59%
- YTD
- 1.09%
- 6M
- 1.85%
- 1Y
- 13.63%
- 3Y*
- 5.21%
- 5Y*
- 2.87%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
GAAVX Monthly Returns History
Based on dividend-adjusted daily data since May 9, 2019, GAAVX's average daily return is +0.01%, while the average monthly return is +0.21%. At this rate, an investment would double in approximately 27.5 years.
Historically, 57% of months were positive and 43% 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%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.53% | 2.47% | -0.68% | -1.06% | -1.17% | 0.05% | 1.09% | ||||||
| 2025 | -0.06% | 2.19% | 2.93% | -2.90% | 0.00% | 1.13% | 1.05% | 2.34% | 0.50% | 0.67% | 4.80% | 1.76% | 15.19% |
| 2024 | 0.49% | -0.49% | 0.38% | -0.97% | 1.75% | -0.32% | 0.32% | -1.24% | -0.98% | -1.48% | -1.73% | -1.53% | -5.70% |
| 2023 | 1.10% | 0.16% | -1.14% | 0.55% | -2.61% | 2.68% | 1.74% | 0.48% | 2.29% | -1.14% | -0.05% | 1.99% | 6.07% |
| 2022 | 3.88% | -2.16% | -1.88% | 0.85% | 1.68% | -3.41% | 1.08% | 0.34% | -1.25% | 0.63% | 2.79% | 1.28% | 3.63% |
| 2021 | -0.41% | -2.27% | 0.42% | 1.31% | 2.12% | -2.18% | -2.97% | -0.00% | -0.28% | -3.05% | -0.69% | 2.94% | -5.12% |
Benchmark Metrics
GMO Alternative Allocation Fund has an annualized alpha of 0.86%, beta of 0.11, and R2 of 0.13 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.
- This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (7.98%) than losses (5.14%) - typical of diversified or defensive assets.
- Beta of 0.11 may look defensive, but with R2 of 0.13 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 0.13 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.
- Alpha
- 0.86%
- Beta
- 0.11
- R²
- 0.13
- Upside Capture
- 7.98%
- Downside Capture
- 5.14%
Expense Ratio
GAAVX has an expense ratio of 0.61%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GAAVX ranks 66 for risk / return — better than 66% of mutual funds on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for GMO Alternative Allocation Fund (GAAVX) and compare them to S&P 500 Index.
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.
| GAAVX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.54 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.37 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.98 | 2.78 | +1.20 |
| Martin ratioReturn relative to average drawdown | 10.48 | 12.44 | -1.96 |
Dividends
Dividend History
GMO Alternative Allocation Fund provided a 8.68% dividend yield over the last twelve months, with an annual payout of $1.61 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
| Dividend | $1.61 | $1.61 | $0.00 | $0.95 | $0.17 | $0.73 | $0.47 | $0.52 |
Dividend yield | 8.68% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% |
Monthly Dividends
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.61 | $0.00 | $0.00 | $0.00 | $0.00 | $1.00 | $1.61 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.95 | $0.95 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.17 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.17 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.62 | $0.00 | $0.00 | $0.00 | $0.00 | $0.11 | $0.73 |
Drawdowns
Drawdowns Chart
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.
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Worst Drawdowns
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 3.34%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2021 pullback2021 | -9.59%Nov 2021 | 5mo 26d | 1y 9mo | 2y 3moJun 2021 - Sep 2023 |
COVID crash2020 | -9.50%Mar 2020 | 2mo 20d | 10mo 2d | 1y 17dJan 2020 - Jan 2021 |
2025 selloff2025 | -7.73%Feb 2025 | 7mo 13d | 6mo 4d | 1y 1moJul 2024 - Aug 2025 |
2021 pullback2021 | -4.05%Mar 2021 | 1mo 15d | 2mo 10d | 3mo 25dJan 2021 - May 2021 |
2026 pullback2026 | -3.39%May 2026 | 3mo 19d | — | 4mo 14dFeb 2026 - now |
Drawdown Indicators
| GAAVX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -9.59% | -56.78% | +47.19% |
Max Drawdown (1Y)Largest decline over 1 year | -3.39% | -9.10% | +5.71% |
Max Drawdown (3Y)Largest decline over 3 years | -7.73% | -18.90% | +11.17% |
Max Drawdown (5Y)Largest decline over 5 years | -7.73% | -25.43% | +17.70% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -3.34% | -1.80% | -1.54% |
Average DrawdownAverage peak-to-trough decline | -3.07% | -10.71% | +7.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.29% | 2.03% | -0.74% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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