CGVIX vs. GMGEX

Last updated Jun 4, 2026

CGVIX (Causeway Global Value Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, CGVIX returned 11.82%/yr vs 11.33%/yr for GMGEX. Their correlation of 0.89 suggests significant overlap in exposure. CGVIX charges 0.85%/yr vs 0.01%/yr for GMGEX.

Performance

CGVIX vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Causeway Global Value Fund (CGVIX) and GMO Global Equity Allocation Fund (GMGEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CGVIX achieves a 3.88% return, which is significantly lower than GMGEX's 19.85% return. Both investments have delivered pretty close results over the past 10 years, with CGVIX having a 11.82% annualized return and GMGEX not far behind at 11.33%.

CGVIX

• 1D: 0.64%
• 1M: 5.69%
• YTD: 3.88%
• 6M: 8.43%
• 1Y: 27.76%
• 3Y*: 20.56%
• 5Y*: 12.45%
• 10Y*: 11.82%

GMGEX

• 1D: 0.65%
• 1M: 7.86%
• YTD: 19.85%
• 6M: 21.91%
• 1Y: 42.42%
• 3Y*: 21.98%
• 5Y*: 10.11%
• 10Y*: 11.33%

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

CGVIX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CGVIX Causeway Global Value Fund	3.88%	34.03%	12.85%	29.80%	-12.06%	16.44%	7.39%	21.26%	-11.23%	20.22%
GMGEX GMO Global Equity Allocation Fund	19.85%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between CGVIX and GMGEX is 0.81, 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	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since May 2, 2008	0.89

The correlation between CGVIX and GMGEX has been stable across timeframes, ranging from 0.81 to 0.89 - a consistent structural relationship.

Return for Risk

CGVIX vs. GMGEX — Risk / Return Rank

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

CGVIX

CGVIX Risk / Return Rank: 34
CGVIX Sharpe Ratio Rank: 38
CGVIX Sortino Ratio Rank: 40
CGVIX Omega Ratio Rank: 38
CGVIX Calmar Ratio Rank: 26
CGVIX Martin Ratio Rank: 26

GMGEX

GMGEX Risk / Return Rank: 91
GMGEX Sharpe Ratio Rank: 95
GMGEX Sortino Ratio Rank: 92
GMGEX Omega Ratio Rank: 88
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 90

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.

CGVIX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Causeway Global Value Fund (CGVIX) 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.

	CGVIX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	1.81	3.37	-1.56
Sortino ratio: Return per unit of downside risk	2.65	4.59	-1.95
Omega ratio: Gain probability vs. loss probability	1.33	1.62	-0.29
Calmar ratio: Return relative to maximum drawdown	1.89	4.61	-2.72
Martin ratio: Return relative to average drawdown	6.45	18.29	-11.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CGVIX vs. GMGEX - Sharpe Ratio Comparison

The current CGVIX Sharpe Ratio is 1.81, which is lower than the GMGEX Sharpe Ratio of 3.37. The chart below compares the historical Sharpe Ratios of CGVIX and GMGEX, 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

	CGVIX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.81	3.37	-1.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.56	0.69	-0.13
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.54	0.71	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.25	+0.10

Drawdowns

CGVIX vs. GMGEX - Drawdown Comparison

The maximum CGVIX drawdown since its inception was -62.29%, which is greater than GMGEX's maximum drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for CGVIX and GMGEX.

Drawdown Indicators

	CGVIX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-62.29%	-58.47%	-3.82%
Max Drawdown (1Y) Largest decline over 1 year	-15.00%	-9.24%	-5.76%
Max Drawdown (3Y) Largest decline over 3 years	-26.84%	-17.12%	-9.72%
Max Drawdown (5Y) Largest decline over 5 years	-29.26%	-28.58%	-0.68%
Max Drawdown (10Y) Largest decline over 10 years	-44.30%	-34.98%	-9.32%
Current Drawdown Current decline from peak	-3.01%	0.00%	-3.01%
Average Drawdown Average peak-to-trough decline	-10.17%	-16.75%	+6.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.37%	2.32%	+2.05%

Volatility

CGVIX vs. GMGEX - Volatility Comparison

Causeway Global Value Fund (CGVIX) has a higher volatility of 5.15% compared to GMO Global Equity Allocation Fund (GMGEX) at 4.04%. This indicates that CGVIX'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.

Volatility by Period

	CGVIX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.15%	4.04%	+1.11%
Volatility (6M) Calculated over the trailing 6-month period	12.91%	9.91%	+3.00%
Volatility (1Y) Calculated over the trailing 1-year period	15.66%	12.65%	+3.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.33%	14.81%	+7.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.05%	16.06%	+5.99%

CGVIX vs. GMGEX - Expense Ratio Comparison

CGVIX has a 0.85% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

CGVIX vs. GMGEX - Dividend Comparison

CGVIX's dividend yield for the trailing twelve months is around 9.49%, more than GMGEX's 3.91% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CGVIX Causeway Global Value Fund	9.49%	9.86%	24.61%	2.36%	0.88%	3.30%	1.36%	4.77%	18.28%	8.49%	1.37%	3.26%
GMGEX GMO Global Equity Allocation Fund	3.91%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%

Frequently Asked Questions

Can I hold both CGVIX and GMGEX in my portfolio?

CGVIX and GMGEX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CGVIX or GMGEX?

CGVIX has higher volatility (5.15%) compared to GMGEX (4.04%). In terms of maximum drawdown, CGVIX dropped -62.29% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.37 vs 1.81), 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.