GBATX vs. SAWMX

Last updated Jun 24, 2026

GBATX (GMO Strategic Opportunities Allocation Fund) and SAWMX (SA Worldwide Moderate Growth Fund) are both Global Allocation funds. Over the past 10 years, GBATX returned 9.59%/yr vs 9.02%/yr for SAWMX. Their correlation of 0.89 suggests significant overlap in exposure. GBATX charges 0.32%/yr vs 0.00%/yr for SAWMX.

Performance

GBATX vs. SAWMX - Performance Comparison

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

Returns By Period

In the year-to-date period, GBATX achieves a 12.90% return, which is significantly higher than SAWMX's 10.67% return. Over the past 10 years, GBATX has outperformed SAWMX with an annualized return of 9.59%, while SAWMX has yielded a comparatively lower 9.02% annualized return.

GBATX

• 1D: 0.05%
• 1M: 1.00%
• YTD: 12.90%
• 6M: 12.64%
• 1Y: 30.07%
• 3Y*: 17.93%
• 5Y*: 9.29%
• 10Y*: 9.59%

SAWMX

• 1D: 0.14%
• 1M: 1.38%
• YTD: 10.67%
• 6M: 10.33%
• 1Y: 23.06%
• 3Y*: 14.55%
• 5Y*: 8.31%
• 10Y*: 9.02%

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

GBATX vs. SAWMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GBATX GMO Strategic Opportunities Allocation Fund	12.90%	24.71%	5.50%	17.36%	-11.27%	12.12%	4.83%	19.59%	-9.41%	19.30%
SAWMX SA Worldwide Moderate Growth Fund	10.67%	18.15%	6.40%	13.60%	-8.96%	16.67%	4.12%	17.03%	-7.87%	13.89%

Correlation

The correlation between GBATX and SAWMX is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.89

The correlation between GBATX and SAWMX has been stable across timeframes, ranging from 0.82 to 0.89 - a consistent structural relationship.

Return for Risk

GBATX vs. SAWMX — 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

SAWMX

SAWMX Risk / Return Rank: 93
SAWMX Sharpe Ratio Rank: 97
SAWMX Sortino Ratio Rank: 96
SAWMX Omega Ratio Rank: 92
SAWMX Calmar Ratio Rank: 91
SAWMX Martin Ratio Rank: 92

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. SAWMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Strategic Opportunities Allocation Fund (GBATX) and SA Worldwide Moderate Growth Fund (SAWMX). 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	SAWMX	Difference
Sharpe ratio: Return per unit of total volatility	3.21	3.42	-0.21
Sortino ratio: Return per unit of downside risk	4.48	4.96	-0.48
Omega ratio: Gain probability vs. loss probability	1.61	1.65	-0.04
Calmar ratio: Return relative to maximum drawdown	4.36	4.45	-0.09
Martin ratio: Return relative to average drawdown	16.60	17.63	-1.03

GBATX vs. SAWMX - Sharpe Ratio Comparison

The current GBATX Sharpe Ratio is 3.21, which is comparable to the SAWMX Sharpe Ratio of 3.42. The chart below compares the historical Sharpe Ratios of GBATX and SAWMX, 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. SAWMX - Drawdown Comparison

The maximum GBATX drawdown since its inception was -35.37%, which is greater than SAWMX's maximum drawdown of -30.56%. Use the drawdown chart below to compare losses from any high point for GBATX and SAWMX.

Drawdown Indicators

	GBATX	SAWMX	Difference
Max Drawdown Largest peak-to-trough decline	-35.37%	-30.56%	-4.81%
Max Drawdown (1Y) Largest decline over 1 year	-7.06%	-5.79%	-1.27%
Max Drawdown (3Y) Largest decline over 3 years	-9.98%	-11.86%	+1.88%
Max Drawdown (5Y) Largest decline over 5 years	-22.58%	-17.57%	-5.01%
Max Drawdown (10Y) Largest decline over 10 years	-29.68%	-30.56%	+0.88%
Current Drawdown Current decline from peak	-0.73%	-0.43%	-0.30%
Average Drawdown Average peak-to-trough decline	-5.56%	-3.68%	-1.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.85%	1.40%	+0.45%

Volatility

GBATX vs. SAWMX - Volatility Comparison

GMO Strategic Opportunities Allocation Fund (GBATX) has a higher volatility of 3.24% compared to SA Worldwide Moderate Growth Fund (SAWMX) at 2.42%. This indicates that GBATX's price experiences larger fluctuations and is considered to be riskier than SAWMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBATX	SAWMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.24%	2.42%	+0.82%
Volatility (6M) Calculated over the trailing 6-month period	7.62%	5.81%	+1.81%
Volatility (1Y) Calculated over the trailing 1-year period	9.63%	7.55%	+2.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.10%	9.91%	+1.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.08%	11.09%	+0.99%

GBATX vs. SAWMX - Expense Ratio Comparison

GBATX has a 0.32% expense ratio, which is higher than SAWMX's 0.00% expense ratio.

Dividends

GBATX vs. SAWMX - Dividend Comparison

GBATX's dividend yield for the trailing twelve months is around 12.09%, more than SAWMX's 5.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
SAWMX SA Worldwide Moderate Growth Fund	5.38%	5.95%	3.34%	4.20%	8.36%	4.52%	4.88%	5.66%	6.82%	1.28%	1.96%	0.00%

Frequently Asked Questions

Can I hold both GBATX and SAWMX in my portfolio?

GBATX and SAWMX have a correlation of 0.83, 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 SAWMX?

GBATX has higher volatility (3.24%) compared to SAWMX (2.42%). In terms of maximum drawdown, GBATX dropped -35.37% vs SAWMX's -30.56%.

Which has better risk-adjusted returns?

SAWMX currently has the higher Sharpe Ratio (3.42 vs 3.21), 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.