GBATX vs. GAAVX

Last updated Jun 23, 2026

GBATX (GMO Strategic Opportunities Allocation Fund) and GAAVX (GMO Alternative Allocation Fund) are both mutual funds - GBATX is a Global Allocation fund managed by GMO, while GAAVX is a Multistrategy fund managed by GMO. Over the past 5 years, GBATX returned 9.39%/yr vs 2.87%/yr for GAAVX. A 0.50 correlation means they provide meaningful diversification when combined. GBATX charges 0.32%/yr vs 0.61%/yr for GAAVX.

Performance

GBATX vs. GAAVX - Performance Comparison

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

Returns By Period

In the year-to-date period, GBATX achieves a 12.85% return, which is significantly higher than GAAVX's 1.09% return.

GBATX

• 1D: 0.50%
• 1M: 0.95%
• YTD: 12.85%
• 6M: 13.13%
• 1Y: 30.59%
• 3Y*: 17.28%
• 5Y*: 9.39%
• 10Y*: 9.33%

GAAVX

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

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

GBATX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GBATX GMO Strategic Opportunities Allocation Fund	12.85%	24.71%	5.50%	17.36%	-11.27%	12.12%	4.83%	10.33%
GAAVX GMO Alternative Allocation Fund	1.09%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%

Correlation

The correlation between GBATX and GAAVX is 0.31, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.31
Correlation (3Y) Calculated over the trailing 3-year period	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.47
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.50

The correlation between GBATX and GAAVX shifts across timeframes, from 0.31 (1 year) to 0.50 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GBATX vs. GAAVX — Risk / Return Rank

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

GBATX

GBATX Risk / Return Rank: 91
GBATX Sharpe Ratio Rank: 96
GBATX Sortino Ratio Rank: 93
GBATX Omega Ratio Rank: 89
GBATX Calmar Ratio Rank: 89
GBATX Martin Ratio Rank: 90

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

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.

GBATX vs. GAAVX - Risk-Adjusted Trends Comparison

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

	GBATX	GAAVX	Difference
Sharpe ratio: Return per unit of total volatility	3.13	2.02	+1.11
Sortino ratio: Return per unit of downside risk	4.39	3.29	+1.09
Omega ratio: Gain probability vs. loss probability	1.60	1.38	+0.21
Calmar ratio: Return relative to maximum drawdown	4.27	3.98	+0.29
Martin ratio: Return relative to average drawdown	16.25	10.48	+5.77

GBATX vs. GAAVX - Sharpe Ratio Comparison

The current GBATX Sharpe Ratio is 3.13, which is higher than the GAAVX Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of GBATX and GAAVX, 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

GBATX vs. GAAVX - Drawdown Comparison

The maximum GBATX drawdown since its inception was -35.37%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GBATX and GAAVX.

Drawdown Indicators

	GBATX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-35.37%	-9.59%	-25.78%
Max Drawdown (1Y) Largest decline over 1 year	-7.06%	-3.39%	-3.67%
Max Drawdown (3Y) Largest decline over 3 years	-9.98%	-7.73%	-2.25%
Max Drawdown (5Y) Largest decline over 5 years	-22.58%	-7.73%	-14.85%
Max Drawdown (10Y) Largest decline over 10 years	-29.68%	—	—
Current Drawdown Current decline from peak	-0.78%	-3.34%	+2.56%
Average Drawdown Average peak-to-trough decline	-5.56%	-3.07%	-2.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.85%	1.29%	+0.56%

Volatility

GBATX vs. GAAVX - Volatility Comparison

GMO Strategic Opportunities Allocation Fund (GBATX) has a higher volatility of 3.29% compared to GMO Alternative Allocation Fund (GAAVX) at 2.22%. This indicates that GBATX's price experiences larger fluctuations and is considered to be riskier than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBATX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.29%	2.22%	+1.07%
Volatility (6M) Calculated over the trailing 6-month period	7.65%	5.10%	+2.55%
Volatility (1Y) Calculated over the trailing 1-year period	9.62%	6.69%	+2.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.10%	5.91%	+5.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.09%	5.92%	+6.17%

GBATX vs. GAAVX - Expense Ratio Comparison

GBATX has a 0.32% expense ratio, which is lower than GAAVX's 0.61% expense ratio.

Dividends

GBATX vs. GAAVX - Dividend Comparison

GBATX's dividend yield for the trailing twelve months is around 12.09%, more than GAAVX's 8.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAAVX GMO Alternative Allocation Fund	8.68%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%
GBATX GMO Strategic Opportunities Allocation Fund	12.09%	13.65%	5.97%	6.04%	10.08%	24.22%	4.29%	5.17%	9.77%	2.98%	2.84%	9.67%

Frequently Asked Questions

Can I hold both GBATX and GAAVX in my portfolio?

GBATX and GAAVX have a correlation of 0.31, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GBATX or GAAVX?

GBATX has higher volatility (3.29%) compared to GAAVX (2.22%). In terms of maximum drawdown, GBATX dropped -35.37% vs GAAVX's -9.59%.

Which has better risk-adjusted returns?

GBATX currently has the higher Sharpe Ratio (3.13 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.