GAAVX vs. GWOAX

Last updated Aug 4, 2026

GAAVX (GMO Alternative Allocation Fund) and GWOAX (GMO Global Developed Equity Allocation Fund) are both mutual funds - GAAVX is a Multistrategy fund managed by GMO, while GWOAX is a Global Equities fund managed by GMO. Over the past 5 years, GAAVX returned 4.63%/yr vs 11.65%/yr for GWOAX. Their 0.43 correlation means their historical movements had little consistent relationship. GAAVX charges 0.61%/yr vs 0.01%/yr for GWOAX.

Performance

GAAVX vs. GWOAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Alternative Allocation Fund (GAAVX) 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, GAAVX achieves a 6.26% return, which is significantly lower than GWOAX's 17.69% return.

GAAVX

• 1D: 1.46%
• 1M: 5.68%
• 6M: 3.00%
• YTD: 6.26%
• 1Y: 16.94%
• 3Y*: 6.15%
• 5Y*: 4.63%
• 10Y*: —
• ALL TIME*: 3.05%

GWOAX

• 1D: 0.00%
• 1M: 2.23%
• 6M: 11.02%
• YTD: 17.69%
• 1Y: 35.41%
• 3Y*: 18.96%
• 5Y*: 11.65%
• 10Y*: 12.15%
• ALL TIME*: 8.29%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GAAVX GMO Alternative Allocation Fund	$0.00	$0.00	$0.00
GWOAX GMO Global Developed Equity Allocation Fund	$0.00	$0.00	$0.00

GAAVX vs. GWOAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GAAVX GMO Alternative Allocation Fund	6.26%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%
GWOAX GMO Global Developed Equity Allocation Fund	17.69%	28.37%	6.14%	22.49%	-14.10%	18.53%	10.53%	13.30%

Correlation

The correlation between GAAVX and GWOAX is 0.14, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.14
Correlation (3Y) Balances recent behavior with more history.	0.35
Correlation (5Y) Shows whether the relationship held over a longer period.	0.37
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.43

Over the past year, the correlation between GAAVX and GWOAX has dropped to 0.14 - well below their long-term average of 0.43, suggesting their price drivers have been diverging.

Return for Risk

GAAVX vs. GWOAX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GAAVX

GAAVX Risk / Return Rank: 92
GAAVX Sharpe Ratio Rank: 94
GAAVX Sortino Ratio Rank: 96
GAAVX Omega Ratio Rank: 90
GAAVX Calmar Ratio Rank: 94
GAAVX Martin Ratio Rank: 86

GWOAX

GWOAX Risk / Return Rank: 94
GWOAX Sharpe Ratio Rank: 96
GWOAX Sortino Ratio Rank: 93
GWOAX Omega Ratio Rank: 90
GWOAX Calmar Ratio Rank: 93
GWOAX Martin Ratio Rank: 95

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

GAAVX vs. GWOAX - Risk-Adjusted Trends Comparison

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

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	GWOAX	Difference
Sharpe ratio: Return per unit of total volatility	2.51	2.71	-0.20
Sortino ratio: Return per unit of downside risk	4.09	3.72	+0.37
Omega ratio: Gain probability vs. loss probability	1.48	1.49	-0.01
Calmar ratio: Return relative to maximum drawdown	4.06	3.96	+0.09
Martin ratio: Return relative to average drawdown	11.47	15.74	-4.27

GAAVX vs. GWOAX - Sharpe Ratio Comparison

The current GAAVX Sharpe Ratio is 2.51, which is comparable to the GWOAX Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of GAAVX 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.

Drawdowns

GAAVX vs. GWOAX - Drawdown Comparison

The maximum GAAVX drawdown since its inception was -9.59%, smaller than the maximum GWOAX drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for GAAVX and GWOAX.

Drawdown Indicators

	GAAVX	GWOAX	Difference
Max Drawdown Largest peak-to-trough decline	-9.59%	-49.84%	+40.25%
Max Drawdown (1Y) Largest decline over 1 year	-4.29%	-8.78%	+4.49%
Max Drawdown (3Y) Largest decline over 3 years	-7.73%	-16.11%	+8.38%
Max Drawdown (5Y) Largest decline over 5 years	-7.73%	-26.21%	+18.48%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.28%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-3.06%	-8.93%	+5.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.52%	2.21%	-0.69%

Volatility

GAAVX vs. GWOAX - Volatility Comparison

The current volatility for GMO Alternative Allocation Fund (GAAVX) is 2.38%, while GMO Global Developed Equity Allocation Fund (GWOAX) has a volatility of 3.20%. This indicates that GAAVX 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.

Volatility by Period

	GAAVX	GWOAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.38%	3.20%	-0.82%
Volatility (6M) Calculated over the trailing 6-month period	5.53%	10.20%	-4.67%
Volatility (1Y) Calculated over the trailing 1-year period	6.94%	12.88%	-5.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.96%	15.22%	-9.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.97%	16.39%	-10.42%

GAAVX vs. GWOAX - Expense Ratio Comparison

GAAVX has a 0.61% expense ratio, which is higher than GWOAX's 0.01% expense ratio.

Dividends

GAAVX vs. GWOAX - Dividend Comparison

GAAVX's dividend yield for the trailing twelve months is around 8.71%, more than GWOAX's 5.37% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAAVX GMO Alternative Allocation Fund	8.71%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%
GWOAX GMO Global Developed Equity Allocation Fund	5.37%	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 GAAVX and GWOAX in my portfolio?

GAAVX and GWOAX have a correlation of 0.14, 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 GWOAX?

GWOAX has higher volatility (3.20%) compared to GAAVX (2.38%). In terms of maximum drawdown, GAAVX dropped -9.59% vs GWOAX's -49.84%.

Which has better risk-adjusted returns?

GWOAX currently has the higher Sharpe Ratio (2.71 vs 2.51), 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.