EPSYX vs. GMGEX

Last updated Jun 6, 2026

EPSYX (MainStay Epoch Global Equity Yield Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, EPSYX returned 10.37%/yr vs 11.23%/yr for GMGEX. Their correlation of 0.89 suggests significant overlap in exposure. EPSYX charges 0.84%/yr vs 0.01%/yr for GMGEX.

Performance

EPSYX vs. GMGEX - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with EPSYX having a 19.18% return and GMGEX slightly higher at 19.42%. Over the past 10 years, EPSYX has underperformed GMGEX with an annualized return of 10.37%, while GMGEX has yielded a comparatively higher 11.23% annualized return.

EPSYX

• 1D: 0.17%
• 1M: 4.76%
• YTD: 19.18%
• 6M: 19.76%
• 1Y: 33.70%
• 3Y*: 22.11%
• 5Y*: 12.87%
• 10Y*: 10.37%

GMGEX

• 1D: 0.12%
• 1M: 3.34%
• YTD: 19.42%
• 6M: 21.13%
• 1Y: 41.82%
• 3Y*: 21.91%
• 5Y*: 9.87%
• 10Y*: 11.23%

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

EPSYX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EPSYX MainStay Epoch Global Equity Yield Fund	19.18%	22.09%	15.38%	12.50%	-5.37%	17.40%	-1.38%	23.19%	-9.23%	16.31%
GMGEX GMO Global Equity Allocation Fund	19.42%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between EPSYX and GMGEX is 0.87, 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	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Dec 28, 2005	0.89

The correlation between EPSYX and GMGEX has been stable across timeframes, ranging from 0.87 to 0.90 - a consistent structural relationship.

Return for Risk

EPSYX vs. GMGEX — Risk / Return Rank

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

EPSYX

EPSYX Risk / Return Rank: 91
EPSYX Sharpe Ratio Rank: 95
EPSYX Sortino Ratio Rank: 92
EPSYX Omega Ratio Rank: 87
EPSYX Calmar Ratio Rank: 91
EPSYX Martin Ratio Rank: 92

GMGEX

GMGEX Risk / Return Rank: 91
GMGEX Sharpe Ratio Rank: 95
GMGEX Sortino Ratio Rank: 92
GMGEX Omega Ratio Rank: 87
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 91

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.

EPSYX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MainStay Epoch Global Equity Yield Fund (EPSYX) 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.

	EPSYX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	3.31	3.31	-0.01
Sortino ratio: Return per unit of downside risk	4.54	4.53	+0.01
Omega ratio: Gain probability vs. loss probability	1.60	1.60	-0.01
Calmar ratio: Return relative to maximum drawdown	4.72	4.54	+0.18
Martin ratio: Return relative to average drawdown	18.69	18.01	+0.68
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EPSYX vs. GMGEX - Sharpe Ratio Comparison

The current EPSYX Sharpe Ratio is 3.31, which is comparable to the GMGEX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of EPSYX 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

	EPSYX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.31	3.31	-0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.99	0.67	+0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	0.70	0.00
Sharpe Ratio (All Time) Calculated using the full available price history	0.53	0.25	+0.28

Drawdowns

EPSYX vs. GMGEX - Drawdown Comparison

The maximum EPSYX drawdown since its inception was -48.92%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for EPSYX and GMGEX.

Drawdown Indicators

	EPSYX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-48.92%	-58.47%	+9.55%
Max Drawdown (1Y) Largest decline over 1 year	-7.22%	-9.24%	+2.02%
Max Drawdown (3Y) Largest decline over 3 years	-12.95%	-17.12%	+4.17%
Max Drawdown (5Y) Largest decline over 5 years	-18.92%	-28.58%	+9.66%
Max Drawdown (10Y) Largest decline over 10 years	-36.35%	-34.98%	-1.37%
Current Drawdown Current decline from peak	-0.51%	-0.36%	-0.15%
Average Drawdown Average peak-to-trough decline	-6.90%	-16.75%	+9.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.82%	2.32%	-0.50%

Volatility

EPSYX vs. GMGEX - Volatility Comparison

MainStay Epoch Global Equity Yield Fund (EPSYX) and GMO Global Equity Allocation Fund (GMGEX) have volatilities of 3.32% and 3.42%, 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

	EPSYX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.32%	3.42%	-0.10%
Volatility (6M) Calculated over the trailing 6-month period	7.92%	9.91%	-1.99%
Volatility (1Y) Calculated over the trailing 1-year period	10.31%	12.65%	-2.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.07%	14.80%	-1.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.88%	16.06%	-1.18%

EPSYX vs. GMGEX - Expense Ratio Comparison

EPSYX has a 0.84% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

EPSYX vs. GMGEX - Dividend Comparison

EPSYX's dividend yield for the trailing twelve months is around 6.67%, more than GMGEX's 3.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EPSYX MainStay Epoch Global Equity Yield Fund	6.67%	8.24%	10.13%	2.71%	2.64%	2.66%	2.74%	6.87%	9.87%	2.24%	3.18%	9.65%
GMGEX GMO Global Equity Allocation Fund	3.92%	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 EPSYX and GMGEX in my portfolio?

EPSYX and GMGEX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EPSYX or GMGEX?

GMGEX has higher volatility (3.42%) compared to EPSYX (3.32%). In terms of maximum drawdown, EPSYX dropped -48.92% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.31 vs 3.31), 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.