PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

JPMorgan Global Allocation Fund (GAOSX) Sharpe Ratio: 1.72

Mutual Fund · Currency in USD · Last updated Jun 3, 2026

The fund has significant flexibility to invest in a broad range of equity, fixed income and alternative asset classes in the U.S. and other markets throughout the world, both developed and emerging. The adviser uses a flexible asset allocation approach in constructing the fund's portfolio. Under normal circumstances, it will invest at least 40% of its total assets in countries other than the United States (Non-U.S. Countries) unless the adviser determines, in its sole discretion, that conditions are not favorable.

GAOSX's Sharpe Ratio of 1.72 indicates that for each unit of volatility, it generates 1.72 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

GAOSX Sharpe Ratio Rank

GAOSX Sharpe Ratio Rank: 34.635
Below Average

GAOSX ranks above 34.6% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

GAOSX Sharpe Ratio Market Positioning

The chart shows GAOSX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.42 or lower
  • Yellow zone (middle 50%): 1.42 to 2.51
  • Green zone (top 25%): 2.51 or higher
  • Top 1%: 4.65+
  • Median: 2.09 — half of all investments score higher

How it compares to other similar mutual funds

The table compares JPMorgan Global Allocation Fund's Sharpe Ratio with other mutual funds in the Global Allocation category across multiple time periods, showing how GAOSX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 3, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
TIBAXThornburg Investment Income Builder Fund4.75
GBFFXGMO Benchmark-Free Fund4.23
GIMFXGMO Implementation Fund4.13
GBMFXGMO Benchmark-Free Allocation Fund4.09
HRLYXHartford Real Asset Fund3.80
SAWMXSA Worldwide Moderate Growth Fund3.68
PGAIXPIMCO Global Core Asset Allocation Fund3.65
GBATXGMO Strategic Opportunities Allocation Fund3.44
GMWAXGMO Global Asset Allocation Fund3.40
WARAXAllspring Absolute Return Fund3.40
GAOSXJPMorgan Global Allocation Fund1.72

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows GAOSX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when GAOSX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

Loading charts...

Sharpe Ratio Calculator

How does GAOSX fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

Analyze Your Portfolio