GBATX vs. GMGEX

Last updated Jun 5, 2026

GBATX (GMO Strategic Opportunities Allocation Fund) and GMGEX (GMO Global Equity Allocation Fund) are both mutual funds - GBATX is a Global Allocation fund managed by GMO, while GMGEX is a Global Equities fund managed by GMO. Over the past 10 years, GBATX returned 9.37%/yr vs 11.28%/yr for GMGEX. With a 0.97 correlation, they move nearly in lockstep. GBATX charges 0.32%/yr vs 0.01%/yr for GMGEX.

Performance

GBATX vs. GMGEX - Performance Comparison

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

Returns By Period

In the year-to-date period, GBATX achieves a 13.68% return, which is significantly lower than GMGEX's 19.27% return. Over the past 10 years, GBATX has underperformed GMGEX with an annualized return of 9.37%, while GMGEX has yielded a comparatively higher 11.28% annualized return.

GBATX

• 1D: -0.05%
• 1M: 3.60%
• YTD: 13.68%
• 6M: 15.34%
• 1Y: 31.63%
• 3Y*: 18.65%
• 5Y*: 8.67%
• 10Y*: 9.37%

GMGEX

• 1D: -0.48%
• 1M: 4.86%
• YTD: 19.27%
• 6M: 21.08%
• 1Y: 41.55%
• 3Y*: 21.78%
• 5Y*: 9.85%
• 10Y*: 11.28%

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

GBATX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GBATX GMO Strategic Opportunities Allocation Fund	13.68%	24.71%	5.50%	17.36%	-11.27%	12.12%	4.83%	19.59%	-9.41%	19.30%
GMGEX GMO Global Equity Allocation Fund	19.27%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between GBATX and GMGEX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.98
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (10Y) Calculated over the trailing 10-year period	0.98
Correlation (All Time) Calculated using the full available price history since Jun 1, 2005	0.97

The correlation between GBATX and GMGEX has been stable across timeframes, ranging from 0.97 to 0.98 - a consistent structural relationship.

Return for Risk

GBATX vs. GMGEX — Risk / Return Rank

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

GBATX

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

GMGEX

GMGEX Risk / Return Rank: 90
GMGEX Sharpe Ratio Rank: 94
GMGEX Sortino Ratio Rank: 91
GMGEX Omega Ratio Rank: 86
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 90

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. GMGEX - Risk-Adjusted Trends Comparison

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

	GBATX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	3.45	3.31	+0.14
Sortino ratio: Return per unit of downside risk	4.85	4.53	+0.33
Omega ratio: Gain probability vs. loss probability	1.66	1.60	+0.05
Calmar ratio: Return relative to maximum drawdown	4.53	4.54	-0.01
Martin ratio: Return relative to average drawdown	17.41	18.01	-0.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GBATX vs. GMGEX - Sharpe Ratio Comparison

The current GBATX Sharpe Ratio is 3.45, which is comparable to the GMGEX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of GBATX and GMGEX, 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

	GBATX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.45	3.31	+0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.79	0.67	+0.12
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.78	0.70	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.64	0.25	+0.39

Drawdowns

GBATX vs. GMGEX - Drawdown Comparison

The maximum GBATX drawdown since its inception was -35.37%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for GBATX and GMGEX.

Drawdown Indicators

	GBATX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-35.37%	-58.47%	+23.10%
Max Drawdown (1Y) Largest decline over 1 year	-7.06%	-9.24%	+2.18%
Max Drawdown (3Y) Largest decline over 3 years	-9.98%	-17.12%	+7.14%
Max Drawdown (5Y) Largest decline over 5 years	-22.58%	-28.58%	+6.00%
Max Drawdown (10Y) Largest decline over 10 years	-29.68%	-34.98%	+5.30%
Current Drawdown Current decline from peak	-0.05%	-0.48%	+0.43%
Average Drawdown Average peak-to-trough decline	-5.57%	-16.75%	+11.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.83%	2.32%	-0.49%

Volatility

GBATX vs. GMGEX - Volatility Comparison

The current volatility for GMO Strategic Opportunities Allocation Fund (GBATX) is 2.90%, while GMO Global Equity Allocation Fund (GMGEX) has a volatility of 4.01%. This indicates that GBATX experiences smaller price fluctuations and is considered to be less risky than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBATX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.90%	4.01%	-1.11%
Volatility (6M) Calculated over the trailing 6-month period	7.18%	9.91%	-2.73%
Volatility (1Y) Calculated over the trailing 1-year period	9.28%	12.66%	-3.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.06%	14.81%	-3.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.07%	16.06%	-3.99%

GBATX vs. GMGEX - Expense Ratio Comparison

GBATX has a 0.32% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

GBATX vs. GMGEX - Dividend Comparison

GBATX's dividend yield for the trailing twelve months is around 12.00%, more than GMGEX's 3.93% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBATX GMO Strategic Opportunities Allocation Fund	12.00%	13.65%	5.97%	6.04%	10.08%	24.22%	4.29%	5.17%	9.77%	2.98%	2.84%	9.67%
GMGEX GMO Global Equity Allocation Fund	3.93%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%

Frequently Asked Questions

Can I hold both GBATX and GMGEX in my portfolio?

With a correlation of 0.98, GBATX and GMGEX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, GBATX or GMGEX?

GMGEX has higher volatility (4.01%) compared to GBATX (2.90%). In terms of maximum drawdown, GBATX dropped -35.37% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GBATX currently has the higher Sharpe Ratio (3.45 vs 3.31), 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.