AQGRX vs. GWOAX

Last updated Jun 4, 2026

AQGRX (AQR Global Equity Fund Class R6) and GWOAX (GMO Global Developed Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, AQGRX returned 13.72%/yr vs 12.17%/yr for GWOAX. Their correlation of 0.92 suggests significant overlap in exposure. AQGRX charges 0.72%/yr vs 0.01%/yr for GWOAX.

Performance

AQGRX vs. GWOAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Global Equity Fund Class R6 (AQGRX) and GMO Global Developed Equity Allocation Fund (GWOAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQGRX achieves a 13.95% return, which is significantly lower than GWOAX's 16.38% return. Over the past 10 years, AQGRX has outperformed GWOAX with an annualized return of 13.72%, while GWOAX has yielded a comparatively lower 12.17% annualized return.

AQGRX

• 1D: 0.07%
• 1M: 7.33%
• YTD: 13.95%
• 6M: 16.07%
• 1Y: 34.17%
• 3Y*: 28.63%
• 5Y*: 15.84%
• 10Y*: 13.72%

GWOAX

• 1D: 0.59%
• 1M: 5.69%
• YTD: 16.38%
• 6M: 18.34%
• 1Y: 37.95%
• 3Y*: 21.19%
• 5Y*: 10.98%
• 10Y*: 12.17%

*Multi-year figures are annualized to reflect compound growth (CAGR)

AQGRX vs. GWOAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQGRX AQR Global Equity Fund Class R6	13.95%	31.87%	24.60%	23.14%	-14.13%	18.43%	9.47%	23.85%	-14.46%	25.57%
GWOAX GMO Global Developed Equity Allocation Fund	16.38%	28.37%	6.14%	22.49%	-14.10%	18.53%	10.53%	26.56%	-12.95%	25.63%

Correlation

The correlation between AQGRX and GWOAX is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.88
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	0.92

The correlation between AQGRX and GWOAX has been stable across timeframes, ranging from 0.85 to 0.92 - a consistent structural relationship.

Return for Risk

AQGRX vs. GWOAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AQGRX

AQGRX Risk / Return Rank: 77
AQGRX Sharpe Ratio Rank: 80
AQGRX Sortino Ratio Rank: 75
AQGRX Omega Ratio Rank: 68
AQGRX Calmar Ratio Rank: 78
AQGRX Martin Ratio Rank: 85

GWOAX

GWOAX Risk / Return Rank: 88
GWOAX Sharpe Ratio Rank: 91
GWOAX Sortino Ratio Rank: 88
GWOAX Omega Ratio Rank: 83
GWOAX Calmar Ratio Rank: 88
GWOAX Martin Ratio Rank: 88

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQGRX vs. GWOAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Global Equity Fund Class R6 (AQGRX) and GMO Global Developed Equity Allocation Fund (GWOAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	AQGRX	GWOAX	Difference
Sharpe ratio Return per unit of total volatility	2.61	3.07	-0.46
Sortino ratio Return per unit of downside risk	3.63	4.23	-0.60
Omega ratio Gain probability vs. loss probability	1.46	1.56	-0.09
Calmar ratio Return relative to maximum drawdown	3.55	4.33	-0.78
Martin ratio Return relative to average drawdown	16.20	17.30	-1.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQGRX vs. GWOAX - Sharpe Ratio Comparison

The current AQGRX Sharpe Ratio is 2.61, which is comparable to the GWOAX Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of AQGRX and GWOAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AQGRX	GWOAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.61	3.07	-0.46
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.87	0.72	+0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.77	0.74	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.67	0.47	+0.19

Drawdowns

AQGRX vs. GWOAX - Drawdown Comparison

The maximum AQGRX drawdown since its inception was -34.25%, smaller than the maximum GWOAX drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for AQGRX and GWOAX.

Drawdown Indicators

	AQGRX	GWOAX	Difference
Max Drawdown Largest peak-to-trough decline	-34.25%	-49.84%	+15.59%
Max Drawdown (1Y) Largest decline over 1 year	-9.79%	-8.78%	-1.01%
Max Drawdown (3Y) Largest decline over 3 years	-18.51%	-16.11%	-2.40%
Max Drawdown (5Y) Largest decline over 5 years	-29.59%	-26.21%	-3.38%
Max Drawdown (10Y) Largest decline over 10 years	-34.25%	-35.28%	+1.03%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.88%	-9.00%	+2.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.14%	2.19%	-0.05%

Volatility

AQGRX vs. GWOAX - Volatility Comparison

AQR Global Equity Fund Class R6 (AQGRX) and GMO Global Developed Equity Allocation Fund (GWOAX) have volatilities of 3.33% and 3.36%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQGRX	GWOAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.33%	3.36%	-0.03%
Volatility (6M) Calculated over the trailing 6-month period	10.21%	9.48%	+0.73%
Volatility (1Y) Calculated over the trailing 1-year period	13.33%	12.39%	+0.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.23%	15.22%	+3.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.83%	16.50%	+1.33%

AQGRX vs. GWOAX - Expense Ratio Comparison

AQGRX has a 0.72% expense ratio, which is higher than GWOAX's 0.01% expense ratio.

Dividends

AQGRX vs. GWOAX - Dividend Comparison

AQGRX's dividend yield for the trailing twelve months is around 11.52%, more than GWOAX's 3.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQGRX AQR Global Equity Fund Class R6	11.52%	13.12%	13.59%	6.03%	4.51%	12.19%	1.34%	2.41%	4.88%	5.03%	10.54%	0.09%
GWOAX GMO Global Developed Equity Allocation Fund	3.83%	4.46%	0.60%	6.10%	7.27%	12.75%	3.85%	4.33%	3.02%	3.05%	6.43%	12.47%

Frequently Asked Questions

Can I hold both AQGRX and GWOAX in my portfolio?

AQGRX and GWOAX have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQGRX or GWOAX?

GWOAX has higher volatility (3.36%) compared to AQGRX (3.33%). In terms of maximum drawdown, AQGRX dropped -34.25% vs GWOAX's -49.84%.

Which has better risk-adjusted returns?

GWOAX currently has the higher Sharpe Ratio (3.07 vs 2.61), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.