CWS vs. GMGEX

Last updated Jul 14, 2026

CWS (AdvisorShares Focused Equity ETF) and GMGEX (GMO Global Equity Allocation Fund) are both funds - CWS is a Large Cap Growth Equities fund actively managed by AdvisorShares, while GMGEX is a Global Equities fund managed by GMO. Over the past 5 years, CWS returned 8.08%/yr vs 10.26%/yr for GMGEX. A 0.67 correlation means they provide meaningful diversification when combined. CWS charges 0.77%/yr vs 0.01%/yr for GMGEX.

Performance

CWS vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AdvisorShares Focused Equity ETF (CWS) 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, CWS achieves a -0.26% return, which is significantly lower than GMGEX's 18.48% return.

CWS

• 1D: 0.58%
• 1M: -0.56%
• 6M: -3.64%
• YTD: -0.26%
• 1Y: -1.11%
• 3Y*: 8.36%
• 5Y*: 8.08%
• 10Y*: —

GMGEX

• 1D: 0.66%
• 1M: 0.03%
• 6M: 14.07%
• YTD: 18.48%
• 1Y: 35.22%
• 3Y*: 20.17%
• 5Y*: 10.26%
• 10Y*: 11.09%

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

CWS vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CWS AdvisorShares Focused Equity ETF	-0.26%	6.43%	9.82%	25.06%	-10.42%	22.20%	17.12%	30.97%	-6.46%	20.92%
GMGEX GMO Global Equity Allocation Fund	18.48%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between CWS and GMGEX is 0.63, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.63
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (All Time) Calculated using the full available price history since Sep 21, 2016	0.67

The correlation between CWS and GMGEX has been stable across timeframes, ranging from 0.63 to 0.71 - a consistent structural relationship.

Return for Risk

CWS vs. GMGEX — Risk / Return Rank

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

CWS

CWS Risk / Return Rank: 8
CWS Sharpe Ratio Rank: 8
CWS Sortino Ratio Rank: 8
CWS Omega Ratio Rank: 8
CWS Calmar Ratio Rank: 8
CWS Martin Ratio Rank: 8

GMGEX

GMGEX Risk / Return Rank: 90
GMGEX Sharpe Ratio Rank: 93
GMGEX Sortino Ratio Rank: 88
GMGEX Omega Ratio Rank: 86
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 92

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.

CWS vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AdvisorShares Focused Equity ETF (CWS) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CWS	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	-0.08	2.58	-2.66
Sortino ratio: Return per unit of downside risk	-0.02	3.53	-3.55
Omega ratio: Gain probability vs. loss probability	1.00	1.47	-0.47
Calmar ratio: Return relative to maximum drawdown	-0.09	3.73	-3.82
Martin ratio: Return relative to average drawdown	-0.23	14.31	-14.54

CWS vs. GMGEX - Sharpe Ratio Comparison

The current CWS Sharpe Ratio is -0.08, which is lower than the GMGEX Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of CWS 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.

Drawdowns

CWS vs. GMGEX - Drawdown Comparison

The maximum CWS drawdown since its inception was -33.82%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for CWS and GMGEX.

Drawdown Indicators

	CWS	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-33.82%	-58.47%	+24.65%
Max Drawdown (1Y) Largest decline over 1 year	-11.92%	-9.24%	-2.68%
Max Drawdown (3Y) Largest decline over 3 years	-16.56%	-17.12%	+0.56%
Max Drawdown (5Y) Largest decline over 5 years	-24.87%	-28.58%	+3.71%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.98%	—
Current Drawdown Current decline from peak	-4.75%	-1.15%	-3.60%
Average Drawdown Average peak-to-trough decline	-4.55%	-16.70%	+12.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.80%	2.41%	+2.39%

Volatility

CWS vs. GMGEX - Volatility Comparison

The current volatility for AdvisorShares Focused Equity ETF (CWS) is 3.55%, while GMO Global Equity Allocation Fund (GMGEX) has a volatility of 4.58%. This indicates that CWS experiences smaller price fluctuations and is considered to be less risky than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CWS	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.55%	4.58%	-1.03%
Volatility (6M) Calculated over the trailing 6-month period	10.41%	10.90%	-0.49%
Volatility (1Y) Calculated over the trailing 1-year period	13.48%	13.35%	+0.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.69%	14.89%	+0.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.87%	15.96%	+0.91%

CWS vs. GMGEX - Expense Ratio Comparison

CWS has a 0.77% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

CWS vs. GMGEX - Dividend Comparison

CWS's dividend yield for the trailing twelve months is around 0.31%, less than GMGEX's 3.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CWS AdvisorShares Focused Equity ETF	0.31%	0.31%	0.59%	0.25%	0.50%	0.16%	0.27%	0.39%	2.07%	0.29%	0.03%	0.00%
GMGEX GMO Global Equity Allocation Fund	3.99%	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 CWS and GMGEX in my portfolio?

CWS and GMGEX have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CWS or GMGEX?

GMGEX has higher volatility (4.58%) compared to CWS (3.55%). In terms of maximum drawdown, CWS dropped -33.82% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (2.58 vs -0.08), 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.