ESGYX vs. GWOAX

Last updated Jun 5, 2026

ESGYX (Mirova Global Sustainable Equity Fund) and GWOAX (GMO Global Developed Equity Allocation Fund) are both Global Equities funds. Over the past 5 years, ESGYX returned 5.92%/yr vs 10.73%/yr for GWOAX. Their correlation of 0.82 suggests significant overlap in exposure. ESGYX charges 0.95%/yr vs 0.01%/yr for GWOAX.

Performance

ESGYX vs. GWOAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Mirova Global Sustainable Equity Fund (ESGYX) 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, ESGYX achieves a 0.20% return, which is significantly lower than GWOAX's 15.86% return.

ESGYX

• 1D: -1.04%
• 1M: 2.78%
• YTD: 0.20%
• 6M: 0.95%
• 1Y: 8.25%
• 3Y*: 11.95%
• 5Y*: 5.92%
• 10Y*: —

GWOAX

• 1D: -0.44%
• 1M: 4.06%
• YTD: 15.86%
• 6M: 17.59%
• 1Y: 37.23%
• 3Y*: 21.01%
• 5Y*: 10.73%
• 10Y*: 12.12%

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

ESGYX vs. GWOAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGYX Mirova Global Sustainable Equity Fund	0.20%	15.23%	13.38%	18.63%	-22.36%	18.06%	32.43%	33.00%	-6.37%	29.83%
GWOAX GMO Global Developed Equity Allocation Fund	15.86%	28.37%	6.14%	22.49%	-14.10%	18.53%	10.53%	26.56%	-12.95%	24.83%

Correlation

The correlation between ESGYX and GWOAX is 0.62, 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	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.82

Over the past year, the correlation between ESGYX and GWOAX has dropped to 0.62 - well below their long-term average of 0.82, suggesting their price drivers have been diverging.

Return for Risk

ESGYX vs. GWOAX — Risk / Return Rank

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

ESGYX

ESGYX Risk / Return Rank: 10
ESGYX Sharpe Ratio Rank: 10
ESGYX Sortino Ratio Rank: 11
ESGYX Omega Ratio Rank: 10
ESGYX Calmar Ratio Rank: 10
ESGYX Martin Ratio Rank: 11

GWOAX

GWOAX Risk / Return Rank: 87
GWOAX Sharpe Ratio Rank: 91
GWOAX Sortino Ratio Rank: 87
GWOAX Omega Ratio Rank: 82
GWOAX Calmar Ratio Rank: 88
GWOAX Martin Ratio Rank: 89

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.

ESGYX vs. GWOAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Mirova Global Sustainable Equity Fund (ESGYX) 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.

	ESGYX	GWOAX	Difference
Sharpe ratio: Return per unit of total volatility	0.80	3.03	-2.23
Sortino ratio: Return per unit of downside risk	1.24	4.17	-2.93
Omega ratio: Gain probability vs. loss probability	1.14	1.55	-0.40
Calmar ratio: Return relative to maximum drawdown	0.90	4.27	-3.37
Martin ratio: Return relative to average drawdown	3.06	17.06	-14.00
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGYX vs. GWOAX - Sharpe Ratio Comparison

The current ESGYX Sharpe Ratio is 0.80, which is lower than the GWOAX Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of ESGYX 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

	ESGYX	GWOAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.80	3.03	-2.23
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.35	0.71	-0.36
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.74	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.73	0.47	+0.26

Drawdowns

ESGYX vs. GWOAX - Drawdown Comparison

The maximum ESGYX drawdown since its inception was -34.88%, smaller than the maximum GWOAX drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for ESGYX and GWOAX.

Drawdown Indicators

	ESGYX	GWOAX	Difference
Max Drawdown Largest peak-to-trough decline	-34.88%	-49.84%	+14.96%
Max Drawdown (1Y) Largest decline over 1 year	-11.49%	-8.78%	-2.71%
Max Drawdown (3Y) Largest decline over 3 years	-16.67%	-16.11%	-0.56%
Max Drawdown (5Y) Largest decline over 5 years	-34.88%	-26.21%	-8.67%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.28%	—
Current Drawdown Current decline from peak	-2.10%	-0.44%	-1.66%
Average Drawdown Average peak-to-trough decline	-6.45%	-9.00%	+2.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.41%	2.19%	+1.22%

Volatility

ESGYX vs. GWOAX - Volatility Comparison

Mirova Global Sustainable Equity Fund (ESGYX) and GMO Global Developed Equity Allocation Fund (GWOAX) have volatilities of 3.31% and 3.26%, 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

	ESGYX	GWOAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.31%	3.26%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	10.33%	9.47%	+0.86%
Volatility (1Y) Calculated over the trailing 1-year period	13.01%	12.40%	+0.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.64%	15.22%	+2.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.66%	16.50%	+1.16%

ESGYX vs. GWOAX - Expense Ratio Comparison

ESGYX has a 0.95% expense ratio, which is higher than GWOAX's 0.01% expense ratio.

Dividends

ESGYX vs. GWOAX - Dividend Comparison

ESGYX's dividend yield for the trailing twelve months is around 4.14%, more than GWOAX's 3.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGYX Mirova Global Sustainable Equity Fund	4.14%	4.44%	1.99%	0.61%	5.28%	12.16%	0.54%	1.84%	4.39%	1.15%	0.00%	0.00%
GWOAX GMO Global Developed Equity Allocation Fund	3.85%	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 ESGYX and GWOAX in my portfolio?

ESGYX and GWOAX have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGYX or GWOAX?

ESGYX has higher volatility (3.31%) compared to GWOAX (3.26%). In terms of maximum drawdown, ESGYX dropped -34.88% vs GWOAX's -49.84%.

Which has better risk-adjusted returns?

GWOAX currently has the higher Sharpe Ratio (3.03 vs 0.80), 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.