GAAVX vs. GMAQX

Last updated Jun 23, 2026

GAAVX (GMO Alternative Allocation Fund) and GMAQX (GMO Emerging Markets ex-China Fund) are both mutual funds - GAAVX is a Multistrategy fund managed by GMO, while GMAQX is a Emerging Markets Diversified fund managed by GMO. Over the past 3 years, GAAVX returned 5.21%/yr vs 31.69%/yr for GMAQX. At a 0.20 correlation, their price movements are largely independent. GAAVX charges 0.61%/yr vs 0.67%/yr for GMAQX.

Performance

GAAVX vs. GMAQX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Alternative Allocation Fund (GAAVX) and GMO Emerging Markets ex-China Fund (GMAQX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GAAVX achieves a 1.09% return, which is significantly lower than GMAQX's 53.53% return.

GAAVX

• 1D: -0.27%
• 1M: -1.59%
• YTD: 1.09%
• 6M: 1.85%
• 1Y: 13.63%
• 3Y*: 5.21%
• 5Y*: 2.87%
• 10Y*: —

GMAQX

• 1D: 3.12%
• 1M: 6.96%
• YTD: 53.53%
• 6M: 58.63%
• 1Y: 84.30%
• 3Y*: 31.69%
• 5Y*: —
• 10Y*: —

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

GAAVX vs. GMAQX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
GAAVX GMO Alternative Allocation Fund	1.09%	15.19%	-5.70%	6.07%	3.63%	-0.88%
GMAQX GMO Emerging Markets ex-China Fund	53.53%	32.09%	0.62%	27.41%	-32.38%	0.47%

Correlation

The correlation between GAAVX and GMAQX is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.09
Correlation (3Y) Calculated over the trailing 3-year period	0.15
Correlation (All Time) Calculated using the full available price history since Oct 18, 2021	0.20

The correlation between GAAVX and GMAQX shifts across timeframes, from -0.09 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GAAVX vs. GMAQX — Risk / Return Rank

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

GAAVX

GAAVX Risk / Return Rank: 66
GAAVX Sharpe Ratio Rank: 55
GAAVX Sortino Ratio Rank: 75
GAAVX Omega Ratio Rank: 57
GAAVX Calmar Ratio Rank: 87
GAAVX Martin Ratio Rank: 55

GMAQX

GMAQX Risk / Return Rank: 96
GMAQX Sharpe Ratio Rank: 98
GMAQX Sortino Ratio Rank: 95
GMAQX Omega Ratio Rank: 95
GMAQX Calmar Ratio Rank: 96
GMAQX Martin Ratio Rank: 96

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.

GAAVX vs. GMAQX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Alternative Allocation Fund (GAAVX) and GMO Emerging Markets ex-China Fund (GMAQX). 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	GMAQX	Difference
Sharpe ratio: Return per unit of total volatility	2.02	3.58	-1.56
Sortino ratio: Return per unit of downside risk	3.29	4.63	-1.33
Omega ratio: Gain probability vs. loss probability	1.38	1.73	-0.35
Calmar ratio: Return relative to maximum drawdown	3.98	5.97	-1.99
Martin ratio: Return relative to average drawdown	10.48	21.26	-10.78

GAAVX vs. GMAQX - Sharpe Ratio Comparison

The current GAAVX Sharpe Ratio is 2.02, which is lower than the GMAQX Sharpe Ratio of 3.58. The chart below compares the historical Sharpe Ratios of GAAVX and GMAQX, 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

GAAVX vs. GMAQX - Drawdown Comparison

The maximum GAAVX drawdown since its inception was -9.59%, smaller than the maximum GMAQX drawdown of -41.97%. Use the drawdown chart below to compare losses from any high point for GAAVX and GMAQX.

Drawdown Indicators

	GAAVX	GMAQX	Difference
Max Drawdown Largest peak-to-trough decline	-9.59%	-41.97%	+32.38%
Max Drawdown (1Y) Largest decline over 1 year	-3.39%	-13.77%	+10.38%
Max Drawdown (3Y) Largest decline over 3 years	-7.73%	-19.64%	+11.91%
Max Drawdown (5Y) Largest decline over 5 years	-7.73%	—	—
Current Drawdown Current decline from peak	-3.34%	-2.80%	-0.54%
Average Drawdown Average peak-to-trough decline	-3.07%	-16.62%	+13.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.29%	3.86%	-2.57%

Volatility

GAAVX vs. GMAQX - Volatility Comparison

The current volatility for GMO Alternative Allocation Fund (GAAVX) is 2.22%, while GMO Emerging Markets ex-China Fund (GMAQX) has a volatility of 11.50%. This indicates that GAAVX experiences smaller price fluctuations and is considered to be less risky than GMAQX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GAAVX	GMAQX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.22%	11.50%	-9.28%
Volatility (6M) Calculated over the trailing 6-month period	5.10%	20.96%	-15.86%
Volatility (1Y) Calculated over the trailing 1-year period	6.69%	22.98%	-16.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.91%	17.71%	-11.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.92%	17.71%	-11.79%

GAAVX vs. GMAQX - Expense Ratio Comparison

GAAVX has a 0.61% expense ratio, which is lower than GMAQX's 0.67% expense ratio.

Dividends

GAAVX vs. GMAQX - Dividend Comparison

GAAVX's dividend yield for the trailing twelve months is around 8.68%, more than GMAQX's 6.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
GAAVX GMO Alternative Allocation Fund	8.68%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%
GMAQX GMO Emerging Markets ex-China Fund	6.14%	9.43%	32.28%	6.76%	4.94%	0.66%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GAAVX and GMAQX in my portfolio?

GAAVX and GMAQX have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GAAVX or GMAQX?

GMAQX has higher volatility (11.50%) compared to GAAVX (2.22%). In terms of maximum drawdown, GAAVX dropped -9.59% vs GMAQX's -41.97%.

Which has better risk-adjusted returns?

GMAQX currently has the higher Sharpe Ratio (3.58 vs 2.02), 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.