GAAVX vs. EGRAX
GAAVX (GMO Alternative Allocation Fund) and EGRAX (Eaton Vance Global Macro Absolute Return Advantage Fund Class A) are both Multistrategy funds. Over the past 5 years, GAAVX returned 4.33%/yr vs 8.74%/yr for EGRAX. Their 0.09 correlation means their historical movements had little consistent relationship. GAAVX charges 0.61%/yr vs 2.22%/yr for EGRAX.
Performance
GAAVX vs. EGRAX - Performance Comparison
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Returns By Period
In the year-to-date period, GAAVX achieves a 4.73% return, which is significantly lower than EGRAX's 8.54% return.
GAAVX
- 1D
- -0.54%
- 1M
- 4.16%
- 6M
- 3.16%
- YTD
- 4.73%
- 1Y
- 15.26%
- 3Y*
- 5.62%
- 5Y*
- 4.33%
- 10Y*
- —
- ALL TIME*
- 2.84%
EGRAX
- 1D
- 0.16%
- 1M
- 0.16%
- 6M
- 4.10%
- YTD
- 8.54%
- 1Y
- 18.58%
- 3Y*
- 13.01%
- 5Y*
- 8.74%
- 10Y*
- 6.26%
- ALL TIME*
- 4.99%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GAAVX vs. EGRAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GAAVX GMO Alternative Allocation Fund | 4.73% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 8.54% | 20.06% | 9.19% | 8.10% | -2.30% | 3.35% | 4.49% | 11.58% |
Correlation
The correlation between GAAVX and EGRAX is -0.13, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.13 |
Correlation (3Y) Balances recent behavior with more history. | 0.00 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.04 |
Correlation (All Time) Calculated using the full available price history since May 9, 2019 | 0.09 |
The correlation between GAAVX and EGRAX shifts across timeframes, from -0.13 (1 year) to 0.09 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
GAAVX vs. EGRAX — Risk / Return Rank
GAAVX
EGRAX
GAAVX vs. EGRAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Alternative Allocation Fund (GAAVX) and Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX). 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.
| GAAVX | EGRAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.93 | ||
| Sortino ratioReturn per unit of downside risk | -3.82 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 2.34 | -0.90 |
| Calmar ratioReturn relative to maximum drawdown | 3.66 | 5.67 | -2.01 |
| Martin ratioReturn relative to average drawdown | 10.35 | 19.83 | -9.47 |
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Drawdowns
GAAVX vs. EGRAX - Drawdown Comparison
The maximum GAAVX drawdown since its inception was -9.59%, smaller than the maximum EGRAX drawdown of -14.15%. Use the drawdown chart below to compare losses from any high point for GAAVX and EGRAX.
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Drawdown Indicators
| GAAVX | EGRAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -9.59% | -14.15% | +4.56% |
Max Drawdown (1Y)Largest decline over 1 year | -4.29% | -3.35% | -0.94% |
Max Drawdown (3Y)Largest decline over 3 years | -7.73% | -3.35% | -4.38% |
Max Drawdown (5Y)Largest decline over 5 years | -7.73% | -10.31% | +2.58% |
Max Drawdown (10Y)Largest decline over 10 years | — | -14.15% | — |
Current DrawdownCurrent decline from peak | -0.54% | -0.08% | -0.46% |
Average DrawdownAverage peak-to-trough decline | -3.06% | -1.92% | -1.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.52% | 0.96% | +0.56% |
Volatility
GAAVX vs. EGRAX - Volatility Comparison
GMO Alternative Allocation Fund (GAAVX) has a higher volatility of 2.07% compared to Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) at 0.88%. This indicates that GAAVX's price experiences larger fluctuations and is considered to be riskier than EGRAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GAAVX | EGRAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.07% | 0.88% | +1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 5.41% | 3.10% | +2.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.80% | 3.62% | +3.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.93% | 4.02% | +1.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.95% | 3.94% | +2.01% |
GAAVX vs. EGRAX - Expense Ratio Comparison
GAAVX has a 0.61% expense ratio, which is lower than EGRAX's 2.22% expense ratio.
Dividends
GAAVX vs. EGRAX - Dividend Comparison
GAAVX's dividend yield for the trailing twelve months is around 8.83%, more than EGRAX's 6.23% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 6.23% | 6.76% | 5.86% | 3.18% | 4.53% | 4.58% | 5.61% | 4.02% | 0.00% | 2.82% | 1.47% | 6.42% |
GAAVX GMO Alternative Allocation Fund | 8.83% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GAAVX and EGRAX have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GAAVX has higher volatility (2.07%) compared to EGRAX (0.88%). In terms of maximum drawdown, GAAVX dropped -9.59% vs EGRAX's -14.15%.
EGRAX currently has the higher Sharpe Ratio (5.24 vs 2.31), 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.
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