CAEIX vs. GMGEX
Compare and contrast key facts about Calvert Global Energy Solutions Fund (CAEIX) and GMO Global Equity Allocation Fund (GMGEX).
CAEIX is managed by Calvert Research and Management. It was launched on May 30, 2007. GMGEX is managed by GMO. It was launched on Nov 25, 1996.
Performance
CAEIX vs. GMGEX - Performance Comparison
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CAEIX vs. GMGEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CAEIX Calvert Global Energy Solutions Fund | 7.51% | 32.61% | -7.13% | 5.67% | -17.43% | 6.73% | 61.52% | 33.48% | -19.26% | 29.65% |
GMGEX GMO Global Equity Allocation Fund | 3.72% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 26.39% |
Returns By Period
In the year-to-date period, CAEIX achieves a 7.51% return, which is significantly higher than GMGEX's 3.72% return. Both investments have delivered pretty close results over the past 10 years, with CAEIX having a 10.27% annualized return and GMGEX not far behind at 9.93%.
CAEIX
- 1D
- 3.16%
- 1M
- -3.78%
- YTD
- 7.51%
- 6M
- 10.19%
- 1Y
- 45.58%
- 3Y*
- 8.82%
- 5Y*
- 3.73%
- 10Y*
- 10.27%
GMGEX
- 1D
- 2.68%
- 1M
- -5.76%
- YTD
- 3.72%
- 6M
- 10.13%
- 1Y
- 30.15%
- 3Y*
- 16.98%
- 5Y*
- 8.06%
- 10Y*
- 9.93%
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CAEIX vs. GMGEX - Expense Ratio Comparison
CAEIX has a 0.99% expense ratio, which is higher than GMGEX's 0.01% expense ratio.
Return for Risk
CAEIX vs. GMGEX — Risk / Return Rank
CAEIX
GMGEX
CAEIX vs. GMGEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Global Energy Solutions Fund (CAEIX) and GMO Global Equity Allocation Fund (GMGEX). 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.
| CAEIX | GMGEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.50 | 1.94 | +0.56 |
Sortino ratioReturn per unit of downside risk | 3.25 | 2.63 | +0.63 |
Omega ratioGain probability vs. loss probability | 1.45 | 1.39 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 4.01 | 2.59 | +1.42 |
Martin ratioReturn relative to average drawdown | 16.83 | 11.30 | +5.53 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CAEIX | GMGEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.50 | 1.94 | +0.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.20 | 0.55 | -0.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.62 | -0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.04 | 0.22 | -0.18 |
Correlation
The correlation between CAEIX and GMGEX is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
CAEIX vs. GMGEX - Dividend Comparison
CAEIX's dividend yield for the trailing twelve months is around 0.67%, less than GMGEX's 4.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAEIX Calvert Global Energy Solutions Fund | 0.67% | 0.72% | 1.17% | 1.07% | 0.86% | 0.49% | 0.82% | 1.23% | 2.00% | 1.40% | 1.79% | 0.72% |
GMGEX GMO Global Equity Allocation Fund | 4.52% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
Drawdowns
CAEIX vs. GMGEX - Drawdown Comparison
The maximum CAEIX drawdown since its inception was -75.81%, which is greater than GMGEX's maximum drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for CAEIX and GMGEX.
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Drawdown Indicators
| CAEIX | GMGEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -75.81% | -58.47% | -17.34% |
Max Drawdown (1Y)Largest decline over 1 year | -11.07% | -11.62% | +0.55% |
Max Drawdown (5Y)Largest decline over 5 years | -32.58% | -28.58% | -4.00% |
Max Drawdown (10Y)Largest decline over 10 years | -37.54% | -34.98% | -2.56% |
Current DrawdownCurrent decline from peak | -10.38% | -6.81% | -3.57% |
Average DrawdownAverage peak-to-trough decline | -49.05% | -16.84% | -32.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.63% | 2.66% | -0.03% |
Volatility
CAEIX vs. GMGEX - Volatility Comparison
Calvert Global Energy Solutions Fund (CAEIX) has a higher volatility of 7.69% compared to GMO Global Equity Allocation Fund (GMGEX) at 6.09%. This indicates that CAEIX's price experiences larger fluctuations and is considered to be riskier than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAEIX | GMGEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.69% | 6.09% | +1.60% |
Volatility (6M)Calculated over the trailing 6-month period | 12.51% | 9.78% | +2.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.49% | 15.72% | +2.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.12% | 14.74% | +4.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.63% | 16.02% | +3.61% |