GAOSX vs. GIMFX
GAOSX (JPMorgan Global Allocation Fund) and GIMFX (GMO Implementation Fund) are both Global Allocation funds. Over the past 10 years, GAOSX returned 7.54%/yr vs 7.33%/yr for GIMFX. A 0.77 correlation means they provide meaningful diversification when combined. GAOSX charges 0.77%/yr vs 0.02%/yr for GIMFX.
Performance
GAOSX vs. GIMFX - Performance Comparison
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Returns By Period
In the year-to-date period, GAOSX achieves a 5.01% return, which is significantly lower than GIMFX's 12.47% return. Both investments have delivered pretty close results over the past 10 years, with GAOSX having a 7.54% annualized return and GIMFX not far behind at 7.33%.
GAOSX
- 1D
- -0.27%
- 1M
- 0.69%
- YTD
- 5.01%
- 6M
- 4.64%
- 1Y
- 14.17%
- 3Y*
- 11.76%
- 5Y*
- 4.46%
- 10Y*
- 7.54%
GIMFX
- 1D
- 0.06%
- 1M
- 0.53%
- YTD
- 12.47%
- 6M
- 12.76%
- 1Y
- 29.80%
- 3Y*
- 16.81%
- 5Y*
- 9.89%
- 10Y*
- 7.33%
GAOSX vs. GIMFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GAOSX JPMorgan Global Allocation Fund | 5.01% | 14.96% | 8.21% | 13.02% | -18.59% | 9.54% | 15.55% | 16.27% | -5.81% | 17.12% |
GIMFX GMO Implementation Fund | 12.47% | 25.37% | 2.67% | 14.75% | -1.24% | 4.05% | -7.25% | 13.24% | -5.58% | 14.09% |
Correlation
The correlation between GAOSX and GIMFX is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.73 |
Correlation (All Time) Calculated using the full available price history since Jul 1, 2013 | 0.77 |
The correlation between GAOSX and GIMFX has been stable across timeframes, ranging from 0.68 to 0.78 - a consistent structural relationship.
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Return for Risk
GAOSX vs. GIMFX — Risk / Return Rank
GAOSX
GIMFX
GAOSX vs. GIMFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Global Allocation Fund (GAOSX) and GMO Implementation Fund (GIMFX). 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.
| GAOSX | GIMFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.24 | ||
| Sortino ratioReturn per unit of downside risk | -3.13 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.74 | -0.47 |
| Calmar ratioReturn relative to maximum drawdown | 1.68 | 4.63 | -2.94 |
| Martin ratioReturn relative to average drawdown | 6.85 | 17.63 | -10.78 |
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Drawdowns
GAOSX vs. GIMFX - Drawdown Comparison
The maximum GAOSX drawdown since its inception was -24.98%, roughly equal to the maximum GIMFX drawdown of -25.87%. Use the drawdown chart below to compare losses from any high point for GAOSX and GIMFX.
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Drawdown Indicators
| GAOSX | GIMFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.98% | -25.87% | +0.89% |
Max Drawdown (1Y)Largest decline over 1 year | -8.93% | -6.53% | -2.40% |
Max Drawdown (3Y)Largest decline over 3 years | -10.84% | -8.02% | -2.82% |
Max Drawdown (5Y)Largest decline over 5 years | -24.98% | -13.20% | -11.78% |
Max Drawdown (10Y)Largest decline over 10 years | -24.98% | -25.87% | +0.89% |
Current DrawdownCurrent decline from peak | -1.12% | -1.49% | +0.37% |
Average DrawdownAverage peak-to-trough decline | -4.68% | -4.28% | -0.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.19% | 1.71% | +0.48% |
Volatility
GAOSX vs. GIMFX - Volatility Comparison
JPMorgan Global Allocation Fund (GAOSX) has a higher volatility of 3.99% compared to GMO Implementation Fund (GIMFX) at 2.68%. This indicates that GAOSX's price experiences larger fluctuations and is considered to be riskier than GIMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GAOSX | GIMFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.99% | 2.68% | +1.31% |
Volatility (6M)Calculated over the trailing 6-month period | 8.85% | 6.57% | +2.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.41% | 8.22% | +2.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.04% | 8.62% | +2.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.83% | 8.99% | +1.84% |
GAOSX vs. GIMFX - Expense Ratio Comparison
GAOSX has a 0.77% expense ratio, which is higher than GIMFX's 0.02% expense ratio.
Dividends
GAOSX vs. GIMFX - Dividend Comparison
GAOSX's dividend yield for the trailing twelve months is around 9.88%, more than GIMFX's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GAOSX JPMorgan Global Allocation Fund | 9.88% | 10.23% | 2.52% | 0.00% | 4.86% | 10.17% | 1.67% | 2.65% | 2.71% | 3.18% | 2.76% | 1.16% |
GIMFX GMO Implementation Fund | 3.80% | 4.28% | 3.39% | 5.93% | 3.59% | 3.28% | 2.25% | 3.99% | 4.59% | 2.95% | 1.98% | 0.00% |
Frequently Asked Questions
GAOSX and GIMFX have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GAOSX has higher volatility (3.99%) compared to GIMFX (2.68%). In terms of maximum drawdown, GAOSX dropped -24.98% vs GIMFX's -25.87%.
GIMFX currently has the higher Sharpe Ratio (3.69 vs 1.45), 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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