FMIEX vs. GWOAX
Compare and contrast key facts about Wasatch Global Value Fund Investor Class Shares (FMIEX) and GMO Global Developed Equity Allocation Fund (GWOAX).
FMIEX is managed by Wasatch. It was launched on Sep 25, 1996. GWOAX is managed by GMO. It was launched on Jun 15, 2005.
Performance
FMIEX vs. GWOAX - Performance Comparison
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FMIEX vs. GWOAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMIEX Wasatch Global Value Fund Investor Class Shares | 7.66% | 30.93% | 8.66% | 5.67% | -0.12% | 25.11% | 2.04% | 17.27% | -5.67% | 11.21% |
GWOAX GMO Global Developed Equity Allocation Fund | 3.10% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
Returns By Period
In the year-to-date period, FMIEX achieves a 7.66% return, which is significantly higher than GWOAX's 3.10% return. Both investments have delivered pretty close results over the past 10 years, with FMIEX having a 11.20% annualized return and GWOAX not far behind at 11.04%.
FMIEX
- 1D
- 1.53%
- 1M
- -3.71%
- YTD
- 7.66%
- 6M
- 12.40%
- 1Y
- 26.75%
- 3Y*
- 17.27%
- 5Y*
- 11.77%
- 10Y*
- 11.20%
GWOAX
- 1D
- 2.74%
- 1M
- -5.28%
- YTD
- 3.10%
- 6M
- 9.71%
- 1Y
- 28.87%
- 3Y*
- 17.19%
- 5Y*
- 9.50%
- 10Y*
- 11.04%
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FMIEX vs. GWOAX - Expense Ratio Comparison
FMIEX has a 1.10% expense ratio, which is higher than GWOAX's 0.01% expense ratio.
Return for Risk
FMIEX vs. GWOAX — Risk / Return Rank
FMIEX
GWOAX
FMIEX vs. GWOAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Wasatch Global Value Fund Investor Class Shares (FMIEX) 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.
| FMIEX | GWOAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.22 | 1.83 | +0.39 |
Sortino ratioReturn per unit of downside risk | 2.97 | 2.51 | +0.46 |
Omega ratioGain probability vs. loss probability | 1.44 | 1.37 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 2.83 | 2.52 | +0.32 |
Martin ratioReturn relative to average drawdown | 13.12 | 11.23 | +1.88 |
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
| FMIEX | GWOAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.22 | 1.83 | +0.39 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.93 | 0.63 | +0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.71 | 0.67 | +0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.59 | 0.44 | +0.15 |
Correlation
The correlation between FMIEX and GWOAX is 0.87, 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
FMIEX vs. GWOAX - Dividend Comparison
FMIEX's dividend yield for the trailing twelve months is around 4.88%, more than GWOAX's 4.33% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMIEX Wasatch Global Value Fund Investor Class Shares | 4.88% | 5.76% | 9.02% | 3.27% | 8.54% | 4.34% | 1.74% | 3.82% | 18.46% | 16.45% | 5.16% | 11.75% |
GWOAX GMO Global Developed Equity Allocation Fund | 4.33% | 4.46% | 0.60% | 6.10% | 7.27% | 12.75% | 3.85% | 4.33% | 3.02% | 3.05% | 6.43% | 12.47% |
Drawdowns
FMIEX vs. GWOAX - Drawdown Comparison
The maximum FMIEX drawdown since its inception was -49.85%, roughly equal to the maximum GWOAX drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for FMIEX and GWOAX.
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Drawdown Indicators
| FMIEX | GWOAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.85% | -49.84% | -0.01% |
Max Drawdown (1Y)Largest decline over 1 year | -9.34% | -11.43% | +2.09% |
Max Drawdown (5Y)Largest decline over 5 years | -18.63% | -26.21% | +7.58% |
Max Drawdown (10Y)Largest decline over 10 years | -39.33% | -35.28% | -4.05% |
Current DrawdownCurrent decline from peak | -4.40% | -6.28% | +1.88% |
Average DrawdownAverage peak-to-trough decline | -6.61% | -9.06% | +2.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.06% | 2.56% | -0.50% |
Volatility
FMIEX vs. GWOAX - Volatility Comparison
The current volatility for Wasatch Global Value Fund Investor Class Shares (FMIEX) is 3.91%, while GMO Global Developed Equity Allocation Fund (GWOAX) has a volatility of 5.89%. This indicates that FMIEX experiences smaller price fluctuations and is considered to be less risky than GWOAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMIEX | GWOAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.91% | 5.89% | -1.98% |
Volatility (6M)Calculated over the trailing 6-month period | 6.85% | 9.70% | -2.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.87% | 15.92% | -4.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.77% | 15.21% | -2.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.73% | 16.48% | -0.75% |