- ISIN
- US3620071718
- Issuer
- GMO
- Inception Date
- Oct 21, 1996
- Category
- Global Allocation
- Min. Investment
- $5,000,000
- Distribution Policy
- Distributing
- Asset Class
- Multi-Asset
- Asset Class Size
- Large-Cap
- Asset Class Style
- Value
Share Price Chart
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Performance
GMWAX Performance Chart
GMO Global Asset Allocation Fund (GMWAX) is up 12.2% since the beginning of the year. GMWAX is currently trading at $42 per share. Investors who bought $1,000 worth of GMWAX shares 5 years ago would now be looking at an investment worth $1,370.
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Returns By Period
GMO Global Asset Allocation Fund (GMWAX) has returned 12.22% so far this year and 29.29% over the past 12 months. Over the last ten years, GMWAX has returned 7.57% per year, falling short of the S&P 500 Index benchmark, which averaged 13.75% annually.
GMO Global Asset Allocation Fund
- 1D
- 0.26%
- 1M
- 4.15%
- YTD
- 12.22%
- 6M
- 14.10%
- 1Y
- 29.29%
- 3Y*
- 15.27%
- 5Y*
- 6.50%
- 10Y*
- 7.57%
Benchmark (S&P 500 Index)
- 1D
- 0.13%
- 1M
- 5.25%
- YTD
- 11.16%
- 6M
- 11.43%
- 1Y
- 28.20%
- 3Y*
- 21.12%
- 5Y*
- 12.66%
- 10Y*
- 13.75%
GMWAX Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 1997, GMWAX's average daily return is +0.02%, while the average monthly return is +0.34%. At this rate, an investment would double in approximately 17.0 years.
Historically, 60% of months were positive and 40% were negative. The best month was Apr 1999 with a return of +8.7%, while the worst month was Aug 1998 at -15.9%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 9 months.
On a daily basis, GMWAX closed higher 51% of trading days. The best single day was Mar 24, 2020 with a return of +5.4%, while the worst single day was Dec 29, 1997 at -11.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.23% | 4.37% | -5.02% | 4.43% | 3.73% | 0.26% | 12.22% | ||||||
| 2025 | 2.41% | 0.92% | 0.00% | 0.55% | 2.71% | 3.29% | 0.41% | 3.68% | 1.86% | 1.23% | 2.65% | 1.57% | 23.40% |
| 2024 | -0.44% | 1.39% | 2.77% | -2.66% | 3.48% | -0.72% | 3.04% | 1.47% | 1.25% | -3.69% | 1.28% | -6.42% | 0.23% |
| 2023 | 5.80% | -2.35% | 1.27% | 0.89% | -2.09% | 3.98% | 3.13% | -2.10% | -1.63% | -2.87% | 6.37% | 5.36% | 16.17% |
| 2022 | -0.90% | -3.60% | -2.25% | -4.04% | 1.56% | -6.42% | 3.44% | -2.58% | -6.86% | 3.32% | 7.80% | -1.94% | -12.71% |
| 2021 | 0.56% | 1.69% | 2.35% | 1.87% | 2.44% | -1.18% | -1.14% | 0.97% | -2.30% | 0.56% | -2.48% | 3.68% | 7.03% |
Benchmark Metrics
GMO Global Asset Allocation Fund has an annualized alpha of -0.19%, beta of 0.43, and R2 of 0.58 versus S&P 500 Index. Calculated based on daily prices since January 03, 1997.
- This fund participated in 67.58% of S&P 500 Index downside but only 51.26% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.43 indicates this fund moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- -0.19%
- Beta
- 0.43
- R²
- 0.58
- Upside Capture
- 51.26%
- Downside Capture
- 67.58%
Expense Ratio
GMWAX has an expense ratio of 0.00%, meaning no management fees are charged.
Return for Risk
Risk / Return Rank
GMWAX ranks 91 for risk / return — in the top 91% 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 Asset Allocation Fund (GMWAX) and compare them to S&P 500 Index.
| GMWAX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.40 | 2.39 | +1.01 |
Sortino ratioReturn per unit of downside risk | 4.80 | 3.25 | +1.55 |
Omega ratioGain probability vs. loss probability | 1.65 | 1.43 | +0.22 |
Calmar ratioReturn relative to maximum drawdown | 4.35 | 3.11 | +1.23 |
Martin ratioReturn relative to average drawdown | 16.72 | 14.38 | +2.34 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Dividends
Dividend History
GMO Global Asset Allocation Fund provided a 4.34% dividend yield over the last twelve months, with an annual payout of $1.83 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.83 | $1.83 | $0.04 | $1.74 | $1.09 | $2.12 | $1.37 | $1.34 | $1.12 | $0.83 | $0.66 | $0.89 |
Dividend yield | 4.34% | 4.88% | 0.14% | 5.47% | 3.78% | 6.16% | 4.00% | 4.00% | 3.77% | 2.50% | 2.25% | 3.13% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Global Asset 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 | $0.05 | $0.00 | $0.00 | $0.00 | $0.00 | $1.79 | $1.83 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.21 | $0.00 | $0.00 | $0.00 | $0.00 | $1.53 | $1.74 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.00 | $0.00 | $0.98 | $1.09 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.25 | $0.00 | $0.00 | $0.00 | $0.00 | $1.87 | $2.12 |
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 Asset 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 Asset Allocation Fund was 41.69%, occurring on Mar 9, 2009. Recovery took 1161 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -41.69%Mar 2009 | 1y 4mo | 4y 7mo | 5y 11moNov 2007 - Oct 2013 |
Dot-com crash2000–2002 | -35.52%Sep 2001 | 3y 11mo | 3y 2mo | 7y 1moOct 1997 - Dec 2004 |
COVID crash2020 | -25.12%Mar 2020 | 2mo 2d | 7mo 28d | 10moJan 2020 - Nov 2020 |
2016 bear market2016 | -23.96%Feb 2016 | 1y 7mo | 1y 10mo | 3y 6moJul 2014 - Jan 2018 |
Bear market2022 | -22.47%Sep 2022 | 1y 3mo | 1y 5mo | 2y 9moJun 2021 - Mar 2024 |
Drawdown Indicators
| GMWAX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.69% | -56.78% | +15.09% |
Max Drawdown (1Y)Largest decline over 1 year | -6.87% | -9.10% | +2.23% |
Max Drawdown (3Y)Largest decline over 3 years | -13.17% | -18.90% | +5.73% |
Max Drawdown (5Y)Largest decline over 5 years | -22.47% | -25.43% | +2.96% |
Max Drawdown (10Y)Largest decline over 10 years | -25.12% | -33.92% | +8.80% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -11.23% | -10.72% | -0.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.78% | 1.97% | -0.19% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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