GAAVX vs. GMUEX

Last updated Jun 5, 2026

GAAVX (GMO Alternative Allocation Fund) and GMUEX (GMO U.S. Equity Fund) are both mutual funds - GAAVX is a Multistrategy fund managed by GMO, while GMUEX is a Large Cap Value Equities fund managed by GMO. Over the past 5 years, GAAVX returned 2.65%/yr vs 13.46%/yr for GMUEX. At a 0.33 correlation, their price movements are largely independent. GAAVX charges 0.61%/yr vs 0.47%/yr for GMUEX.

Performance

GAAVX vs. GMUEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Alternative Allocation Fund (GAAVX) and GMO U.S. Equity Fund (GMUEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GAAVX achieves a 2.57% return, which is significantly lower than GMUEX's 16.08% return.

GAAVX

• 1D: 1.29%
• 1M: 0.91%
• YTD: 2.57%
• 6M: 4.81%
• 1Y: 15.55%
• 3Y*: 6.13%
• 5Y*: 2.65%
• 10Y*: —

GMUEX

• 1D: -0.71%
• 1M: 7.17%
• YTD: 16.08%
• 6M: 17.21%
• 1Y: 42.86%
• 3Y*: 24.61%
• 5Y*: 13.46%
• 10Y*: 14.44%

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

GAAVX vs. GMUEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GAAVX GMO Alternative Allocation Fund	2.57%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%
GMUEX GMO U.S. Equity Fund	16.08%	22.24%	20.97%	22.02%	-12.66%	24.28%	13.56%	13.15%

Correlation

The correlation between GAAVX and GMUEX is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.18
Correlation (3Y) Calculated over the trailing 3-year period	0.26
Correlation (5Y) Calculated over the trailing 5-year period	0.28
Correlation (All Time) Calculated using the full available price history since May 10, 2019	0.33

The correlation between GAAVX and GMUEX shifts across timeframes, from 0.18 (1 year) to 0.33 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GAAVX vs. GMUEX — Risk / Return Rank

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

GAAVX

GAAVX Risk / Return Rank: 73
GAAVX Sharpe Ratio Rank: 64
GAAVX Sortino Ratio Rank: 81
GAAVX Omega Ratio Rank: 66
GAAVX Calmar Ratio Rank: 90
GAAVX Martin Ratio Rank: 66

GMUEX

GMUEX Risk / Return Rank: 90
GMUEX Sharpe Ratio Rank: 93
GMUEX Sortino Ratio Rank: 88
GMUEX Omega Ratio Rank: 83
GMUEX Calmar Ratio Rank: 91
GMUEX Martin Ratio Rank: 93

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. GMUEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Alternative Allocation Fund (GAAVX) and GMO U.S. Equity Fund (GMUEX). 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.

	GAAVX	GMUEX	Difference
Sharpe ratio: Return per unit of total volatility	2.34	3.15	-0.81
Sortino ratio: Return per unit of downside risk	3.86	4.25	-0.39
Omega ratio: Gain probability vs. loss probability	1.45	1.55	-0.10
Calmar ratio: Return relative to maximum drawdown	4.57	4.66	-0.10
Martin ratio: Return relative to average drawdown	12.78	19.82	-7.05
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GAAVX vs. GMUEX - Sharpe Ratio Comparison

The current GAAVX Sharpe Ratio is 2.34, which is comparable to the GMUEX Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of GAAVX and GMUEX, 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

	GAAVX	GMUEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.34	3.15	-0.81
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	0.68	-0.23
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.74	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.44	0.30	+0.14

Drawdowns

GAAVX vs. GMUEX - Drawdown Comparison

The maximum GAAVX drawdown since its inception was -9.59%, smaller than the maximum GMUEX drawdown of -60.66%. Use the drawdown chart below to compare losses from any high point for GAAVX and GMUEX.

Drawdown Indicators

	GAAVX	GMUEX	Difference
Max Drawdown Largest peak-to-trough decline	-9.59%	-60.66%	+51.07%
Max Drawdown (1Y) Largest decline over 1 year	-3.39%	-9.19%	+5.80%
Max Drawdown (3Y) Largest decline over 3 years	-7.73%	-20.85%	+13.12%
Max Drawdown (5Y) Largest decline over 5 years	-9.59%	-28.95%	+19.36%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.90%	—
Current Drawdown Current decline from peak	-1.93%	-0.71%	-1.22%
Average Drawdown Average peak-to-trough decline	-3.08%	-17.25%	+14.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.21%	2.16%	-0.95%

Volatility

GAAVX vs. GMUEX - Volatility Comparison

The current volatility for GMO Alternative Allocation Fund (GAAVX) is 2.32%, while GMO U.S. Equity Fund (GMUEX) has a volatility of 3.92%. This indicates that GAAVX experiences smaller price fluctuations and is considered to be less risky than GMUEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GAAVX	GMUEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.32%	3.92%	-1.60%
Volatility (6M) Calculated over the trailing 6-month period	5.08%	10.47%	-5.39%
Volatility (1Y) Calculated over the trailing 1-year period	6.63%	13.62%	-6.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.91%	19.82%	-13.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.92%	19.49%	-13.57%

GAAVX vs. GMUEX - Expense Ratio Comparison

GAAVX has a 0.61% expense ratio, which is higher than GMUEX's 0.47% expense ratio.

Dividends

GAAVX vs. GMUEX - Dividend Comparison

GAAVX's dividend yield for the trailing twelve months is around 8.56%, less than GMUEX's 10.07% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAAVX GMO Alternative Allocation Fund	8.56%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%
GMUEX GMO U.S. Equity Fund	10.07%	11.68%	17.31%	12.10%	6.99%	14.17%	9.16%	12.24%	21.90%	11.22%	11.27%	12.88%

Frequently Asked Questions

Can I hold both GAAVX and GMUEX in my portfolio?

GAAVX and GMUEX have a correlation of 0.18, 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 GMUEX?

GMUEX has higher volatility (3.92%) compared to GAAVX (2.32%). In terms of maximum drawdown, GAAVX dropped -9.59% vs GMUEX's -60.66%.

Which has better risk-adjusted returns?

GMUEX currently has the higher Sharpe Ratio (3.15 vs 2.34), 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.