GAAVX vs. SHRIX
GAAVX (GMO Alternative Allocation Fund) and SHRIX (Stone Ridge High Yield Reinsurance Risk Premium Fund Class I) are both Multistrategy funds. Over the past 5 years, GAAVX returned 2.85%/yr vs 9.10%/yr for SHRIX. At a correlation of -0.03, they often move in opposite directions. GAAVX charges 0.61%/yr vs 1.76%/yr for SHRIX.
Performance
GAAVX vs. SHRIX - Performance Comparison
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Returns By Period
In the year-to-date period, GAAVX achieves a 1.26% return, which is significantly lower than SHRIX's 1.91% return.
GAAVX
- 1D
- -0.11%
- 1M
- -1.07%
- YTD
- 1.26%
- 6M
- 1.33%
- 1Y
- 13.31%
- 3Y*
- 5.31%
- 5Y*
- 2.85%
- 10Y*
- —
SHRIX
- 1D
- 0.00%
- 1M
- 0.55%
- YTD
- 1.91%
- 6M
- 2.14%
- 1Y
- 12.16%
- 3Y*
- 13.08%
- 5Y*
- 9.10%
- 10Y*
- —
GAAVX vs. SHRIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GAAVX GMO Alternative Allocation Fund | 1.26% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I | 1.91% | 10.70% | 16.73% | 21.07% | -3.37% | 1.88% | 6.86% | 3.52% |
Correlation
The correlation between GAAVX and SHRIX is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.03 |
Correlation (All Time) Calculated using the full available price history since May 9, 2019 | -0.03 |
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Return for Risk
GAAVX vs. SHRIX — Risk / Return Rank
GAAVX
SHRIX
GAAVX vs. SHRIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Alternative Allocation Fund (GAAVX) and Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX). 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 | SHRIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.13 | ||
| Sortino ratioReturn per unit of downside risk | -2.65 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 4.96 | -3.57 |
| Calmar ratioReturn relative to maximum drawdown | 4.03 | 6.52 | -2.49 |
| Martin ratioReturn relative to average drawdown | 10.27 | 22.65 | -12.39 |
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Drawdowns
GAAVX vs. SHRIX - Drawdown Comparison
The maximum GAAVX drawdown since its inception was -9.59%, smaller than the maximum SHRIX drawdown of -14.34%. Use the drawdown chart below to compare losses from any high point for GAAVX and SHRIX.
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Drawdown Indicators
| GAAVX | SHRIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -9.59% | -14.34% | +4.75% |
Max Drawdown (1Y)Largest decline over 1 year | -3.39% | -1.87% | -1.52% |
Max Drawdown (3Y)Largest decline over 3 years | -7.73% | -6.91% | -0.82% |
Max Drawdown (5Y)Largest decline over 5 years | -7.73% | -12.69% | +4.96% |
Current DrawdownCurrent decline from peak | -3.18% | 0.00% | -3.18% |
Average DrawdownAverage peak-to-trough decline | -3.07% | -2.05% | -1.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.33% | 0.54% | +0.79% |
Volatility
GAAVX vs. SHRIX - Volatility Comparison
GMO Alternative Allocation Fund (GAAVX) has a higher volatility of 2.22% compared to Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX) at 0.23%. This indicates that GAAVX's price experiences larger fluctuations and is considered to be riskier than SHRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GAAVX | SHRIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.22% | 0.23% | +1.99% |
Volatility (6M)Calculated over the trailing 6-month period | 5.08% | 2.02% | +3.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.69% | 2.36% | +4.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.91% | 6.27% | -0.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.92% | 6.27% | -0.35% |
GAAVX vs. SHRIX - Expense Ratio Comparison
GAAVX has a 0.61% expense ratio, which is lower than SHRIX's 1.76% expense ratio.
Dividends
GAAVX vs. SHRIX - Dividend Comparison
GAAVX's dividend yield for the trailing twelve months is around 8.67%, more than SHRIX's 8.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
GAAVX GMO Alternative Allocation Fund | 8.67% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% |
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I | 8.39% | 10.92% | 14.34% | 12.34% | 3.89% | 4.61% | 6.34% | 5.06% | 5.09% | 0.35% |
Frequently Asked Questions
GAAVX and SHRIX have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GAAVX has higher volatility (2.22%) compared to SHRIX (0.23%). In terms of maximum drawdown, GAAVX dropped -9.59% vs SHRIX's -14.34%.
SHRIX currently has the higher Sharpe Ratio (5.18 vs 2.05), 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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