GCAVX vs. GIOTX

Last updated Jun 24, 2026

GCAVX (GMO U.S. Small Cap Value Fund) and GIOTX (GMO International Developed Equity Allocation Fund) are both mutual funds - GCAVX is a Small Cap Value Equities fund managed by GMO, while GIOTX is a Foreign Large Cap Equities fund managed by GMO. Over the past 5 years, GCAVX returned 11.21%/yr vs 14.80%/yr for GIOTX. A 0.68 correlation means they provide meaningful diversification when combined. GCAVX charges 0.42%/yr vs 0.00%/yr for GIOTX.

Performance

GCAVX vs. GIOTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Small Cap Value Fund (GCAVX) and GMO International Developed Equity Allocation Fund (GIOTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GCAVX achieves a 18.63% return, which is significantly lower than GIOTX's 19.59% return.

GCAVX

• 1D: 0.11%
• 1M: 2.78%
• YTD: 18.63%
• 6M: 16.53%
• 1Y: 42.41%
• 3Y*: 21.27%
• 5Y*: 11.21%
• 10Y*: —

GIOTX

• 1D: 0.33%
• 1M: 2.51%
• YTD: 19.59%
• 6M: 18.89%
• 1Y: 43.89%
• 3Y*: 28.00%
• 5Y*: 14.80%
• 10Y*: 12.73%

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

GCAVX vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GCAVX GMO U.S. Small Cap Value Fund	18.63%	15.27%	11.16%	22.72%	-14.22%	35.66%	2.38%	7.27%
GIOTX GMO International Developed Equity Allocation Fund	19.59%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	8.30%

Correlation

The correlation between GCAVX and GIOTX is 0.66, 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (All Time) Calculated using the full available price history since Jul 5, 2019	0.68

The correlation between GCAVX and GIOTX has been stable across timeframes, ranging from 0.64 to 0.68 - a consistent structural relationship.

Return for Risk

GCAVX vs. GIOTX — Risk / Return Rank

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

GCAVX

GCAVX Risk / Return Rank: 77
GCAVX Sharpe Ratio Rank: 77
GCAVX Sortino Ratio Rank: 76
GCAVX Omega Ratio Rank: 61
GCAVX Calmar Ratio Rank: 89
GCAVX Martin Ratio Rank: 84

GIOTX

GIOTX Risk / Return Rank: 89
GIOTX Sharpe Ratio Rank: 92
GIOTX Sortino Ratio Rank: 88
GIOTX Omega Ratio Rank: 84
GIOTX Calmar Ratio Rank: 89
GIOTX 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.

GCAVX vs. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Small Cap Value Fund (GCAVX) and GMO International Developed Equity Allocation Fund (GIOTX). 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.

	GCAVX	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	2.36	2.86	-0.50
Sortino ratio: Return per unit of downside risk	3.33	3.91	-0.58
Omega ratio: Gain probability vs. loss probability	1.40	1.52	-0.13
Calmar ratio: Return relative to maximum drawdown	4.19	4.22	-0.02
Martin ratio: Return relative to average drawdown	14.69	16.54	-1.85

GCAVX vs. GIOTX - Sharpe Ratio Comparison

The current GCAVX Sharpe Ratio is 2.36, which is comparable to the GIOTX Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of GCAVX and GIOTX, 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

GCAVX vs. GIOTX - Drawdown Comparison

The maximum GCAVX drawdown since its inception was -48.22%, smaller than the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for GCAVX and GIOTX.

Drawdown Indicators

	GCAVX	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-48.22%	-56.51%	+8.29%
Max Drawdown (1Y) Largest decline over 1 year	-10.64%	-10.66%	+0.02%
Max Drawdown (3Y) Largest decline over 3 years	-26.15%	-13.40%	-12.75%
Max Drawdown (5Y) Largest decline over 5 years	-26.15%	-28.34%	+2.19%
Max Drawdown (10Y) Largest decline over 10 years	—	-39.29%	—
Current Drawdown Current decline from peak	-1.21%	0.00%	-1.21%
Average Drawdown Average peak-to-trough decline	-8.49%	-14.20%	+5.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	2.71%	+0.32%

Volatility

GCAVX vs. GIOTX - Volatility Comparison

GMO U.S. Small Cap Value Fund (GCAVX) and GMO International Developed Equity Allocation Fund (GIOTX) have volatilities of 5.16% and 5.16%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GCAVX	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.16%	5.16%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	12.90%	12.66%	+0.24%
Volatility (1Y) Calculated over the trailing 1-year period	18.92%	15.73%	+3.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.85%	15.48%	+6.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.58%	16.33%	+10.25%

GCAVX vs. GIOTX - Expense Ratio Comparison

GCAVX has a 0.42% expense ratio, which is higher than GIOTX's 0.00% expense ratio.

Dividends

GCAVX vs. GIOTX - Dividend Comparison

GCAVX's dividend yield for the trailing twelve months is around 2.48%, less than GIOTX's 6.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GCAVX GMO U.S. Small Cap Value Fund	2.48%	2.94%	1.68%	1.85%	10.92%	41.19%	1.54%	0.83%	0.00%	0.00%	0.00%	0.00%
GIOTX GMO International Developed Equity Allocation Fund	6.72%	8.04%	5.07%	6.54%	4.45%	6.67%	4.48%	3.74%	3.90%	3.15%	4.04%	3.39%

Frequently Asked Questions

Can I hold both GCAVX and GIOTX in my portfolio?

GCAVX and GIOTX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GCAVX or GIOTX?

GIOTX has higher volatility (5.16%) compared to GCAVX (5.16%). In terms of maximum drawdown, GCAVX dropped -48.22% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.86 vs 2.36), 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.