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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in GMO Global Equity 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.
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Returns By Period
GMO Global Equity Allocation Fund (GMGEX) has returned 1.01% so far this year and 26.97% over the past 12 months. Over the last ten years, GMGEX has returned 9.64% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
GMO Global Equity Allocation Fund
- 1D
- -0.23%
- 1M
- -8.94%
- YTD
- 1.01%
- 6M
- 7.79%
- 1Y
- 26.97%
- 3Y*
- 15.95%
- 5Y*
- 7.75%
- 10Y*
- 9.64%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 2, 1997, GMGEX's average daily return is +0.02%, while the average monthly return is +0.38%. At this rate, your investment would double in approximately 15.2 years.
Historically, 59% of months were positive and 41% were negative. The best month was Nov 2020 with a return of +12.5%, while the worst month was Mar 2020 at -15.7%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 9 months.
On a daily basis, GMGEX closed higher 52% of trading days. The best single day was Oct 13, 2008 with a return of +10.3%, while the worst single day was Dec 29, 1997 at -13.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.88% | 4.76% | -8.94% | 1.01% | |||||||||
| 2025 | 3.77% | -0.03% | -0.96% | 0.55% | 4.61% | 4.11% | 0.41% | 4.76% | 2.25% | 1.44% | 2.93% | 2.20% | 29.14% |
| 2024 | -0.44% | 3.04% | 3.71% | -2.64% | 4.31% | -1.30% | 3.47% | 1.95% | 1.55% | -3.95% | 2.13% | -7.07% | 4.12% |
| 2023 | 8.07% | -2.92% | 1.55% | 1.28% | -2.26% | 6.07% | 4.37% | -3.10% | -2.32% | -3.35% | 8.15% | 5.85% | 22.27% |
| 2022 | -2.13% | -4.59% | -1.97% | -5.87% | 2.09% | -8.80% | 4.25% | -3.66% | -9.32% | 6.05% | 10.71% | -3.32% | -17.07% |
| 2021 | 0.45% | 4.18% | 4.21% | 2.53% | 3.38% | -1.39% | -0.95% | 1.49% | -3.45% | 2.63% | -3.98% | 5.48% | 14.99% |
Benchmark Metrics
GMO Global Equity Allocation Fund has an annualized alpha of -1.88%, beta of 0.73, and R² of 0.73 versus S&P 500 Index. Calculated based on daily prices since January 03, 1997.
- This fund participated in 92.74% of S&P 500 Index downside but only 74.49% of its upside — more exposed to losses than it benefited from rallies.
- Alpha
- -1.88%
- Beta
- 0.73
- R²
- 0.73
- Upside Capture
- 74.49%
- Downside Capture
- 92.74%
Expense Ratio
GMGEX has an expense ratio of 0.01%, which is considered low.
Return for Risk
Risk / Return Rank
GMGEX ranks 86 for risk / return — in the top 86% 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.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and compare them to a chosen benchmark (S&P 500 Index).
| GMGEX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.73 | 0.90 | +0.83 |
Sortino ratioReturn per unit of downside risk | 2.35 | 1.39 | +0.97 |
Omega ratioGain probability vs. loss probability | 1.35 | 1.21 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | 2.15 | 1.40 | +0.75 |
Martin ratioReturn relative to average drawdown | 9.50 | 6.61 | +2.89 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore GMGEX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
GMO Global Equity Allocation Fund provided a 4.64% dividend yield over the last twelve months, with an annual payout of $1.63 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.63 | $1.63 | $0.08 | $1.52 | $1.83 | $2.37 | $1.09 | $0.85 | $0.70 | $0.77 | $0.80 | $0.88 |
Dividend yield | 4.64% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Global Equity 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 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.00 | $0.00 | $1.60 | $1.63 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.08 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.24 | $0.00 | $0.00 | $0.00 | $0.00 | $1.28 | $1.52 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.85 | $0.00 | $0.00 | $0.00 | $0.00 | $0.98 | $1.83 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.00 | $0.00 | $2.33 | $2.37 |
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 Global Equity 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 Global Equity Allocation Fund was 58.47%, occurring on Mar 9, 2009. Recovery took 2724 trading sessions.
The current GMO Global Equity Allocation Fund drawdown is 9.24%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -58.47% | Nov 1, 2007 | 339 | Mar 9, 2009 | 2724 | Jan 2, 2020 | 3063 |
| -39.34% | Oct 8, 1997 | 1258 | Oct 9, 2002 | 528 | Nov 12, 2004 | 1786 |
| -34.98% | Jan 21, 2020 | 44 | Mar 23, 2020 | 166 | Nov 16, 2020 | 210 |
| -28.58% | Jan 13, 2022 | 180 | Sep 30, 2022 | 342 | Feb 12, 2024 | 522 |
| -17.12% | Sep 27, 2024 | 132 | Apr 8, 2025 | 43 | Jun 10, 2025 | 175 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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