GCCHX vs. GIOTX

Last updated Jun 5, 2026

GCCHX (GMO Climate Change Fund) and GIOTX (GMO International Developed Equity Allocation Fund) are both mutual funds - GCCHX is a Global Equities fund managed by GMO, while GIOTX is a Foreign Large Cap Equities fund managed by GMO. Over the past 5 years, GCCHX returned 3.71%/yr vs 13.79%/yr for GIOTX. A 0.73 correlation means they provide meaningful diversification when combined. GCCHX charges 0.77%/yr vs 0.00%/yr for GIOTX.

Performance

GCCHX vs. GIOTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Climate Change Fund (GCCHX) 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, GCCHX achieves a 27.68% return, which is significantly higher than GIOTX's 18.54% return.

GCCHX

• 1D: -0.90%
• 1M: 4.26%
• YTD: 27.68%
• 6M: 28.65%
• 1Y: 80.76%
• 3Y*: 5.87%
• 5Y*: 3.71%
• 10Y*: —

GIOTX

• 1D: -0.26%
• 1M: 4.51%
• YTD: 18.54%
• 6M: 21.26%
• 1Y: 41.73%
• 3Y*: 28.31%
• 5Y*: 13.79%
• 10Y*: 11.92%

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

GCCHX vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GCCHX GMO Climate Change Fund	27.68%	39.25%	-25.63%	-6.85%	-10.39%	21.84%	42.82%	27.36%	-16.35%	26.15%
GIOTX GMO International Developed Equity Allocation Fund	18.54%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-19.66%	18.88%

Correlation

The correlation between GCCHX and GIOTX is 0.65, 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	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.67
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (All Time) Calculated using the full available price history since Apr 19, 2017	0.73

The correlation between GCCHX and GIOTX has been stable across timeframes, ranging from 0.65 to 0.73 - a consistent structural relationship.

Return for Risk

GCCHX vs. GIOTX — Risk / Return Rank

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

GCCHX

GCCHX Risk / Return Rank: 91
GCCHX Sharpe Ratio Rank: 96
GCCHX Sortino Ratio Rank: 86
GCCHX Omega Ratio Rank: 81
GCCHX Calmar Ratio Rank: 97
GCCHX Martin Ratio Rank: 95

GIOTX

GIOTX Risk / Return Rank: 82
GIOTX Sharpe Ratio Rank: 86
GIOTX Sortino Ratio Rank: 80
GIOTX Omega Ratio Rank: 78
GIOTX Calmar Ratio Rank: 85
GIOTX Martin Ratio Rank: 85

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.

GCCHX vs. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Climate Change Fund (GCCHX) 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.

	GCCHX	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	3.47	2.78	+0.68
Sortino ratio: Return per unit of downside risk	4.16	3.83	+0.32
Omega ratio: Gain probability vs. loss probability	1.54	1.51	+0.03
Calmar ratio: Return relative to maximum drawdown	6.93	3.97	+2.96
Martin ratio: Return relative to average drawdown	22.54	15.62	+6.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GCCHX vs. GIOTX - Sharpe Ratio Comparison

The current GCCHX Sharpe Ratio is 3.47, which is comparable to the GIOTX Sharpe Ratio of 2.78. The chart below compares the historical Sharpe Ratios of GCCHX 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.

Sharpe Ratios by Period

	GCCHX	GIOTX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.47	2.78	+0.68
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.14	0.90	-0.76
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.73	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.44	0.34	+0.10

Drawdowns

GCCHX vs. GIOTX - Drawdown Comparison

The maximum GCCHX drawdown since its inception was -54.32%, roughly equal to the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for GCCHX and GIOTX.

Drawdown Indicators

	GCCHX	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-54.32%	-56.51%	+2.19%
Max Drawdown (1Y) Largest decline over 1 year	-11.76%	-10.66%	-1.10%
Max Drawdown (3Y) Largest decline over 3 years	-52.03%	-13.40%	-38.63%
Max Drawdown (5Y) Largest decline over 5 years	-54.32%	-29.68%	-24.64%
Max Drawdown (10Y) Largest decline over 10 years	—	-39.29%	—
Current Drawdown Current decline from peak	-0.90%	-0.26%	-0.64%
Average Drawdown Average peak-to-trough decline	-13.91%	-14.24%	+0.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.61%	2.70%	+0.91%

Volatility

GCCHX vs. GIOTX - Volatility Comparison

GMO Climate Change Fund (GCCHX) has a higher volatility of 6.54% compared to GMO International Developed Equity Allocation Fund (GIOTX) at 4.40%. This indicates that GCCHX's price experiences larger fluctuations and is considered to be riskier than GIOTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GCCHX	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.54%	4.40%	+2.14%
Volatility (6M) Calculated over the trailing 6-month period	16.28%	11.99%	+4.29%
Volatility (1Y) Calculated over the trailing 1-year period	23.58%	15.22%	+8.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	26.96%	15.39%	+11.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.15%	16.34%	+8.81%

GCCHX vs. GIOTX - Expense Ratio Comparison

GCCHX has a 0.77% expense ratio, which is higher than GIOTX's 0.00% expense ratio.

Dividends

GCCHX vs. GIOTX - Dividend Comparison

GCCHX's dividend yield for the trailing twelve months is around 1.18%, less than GIOTX's 6.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GCCHX GMO Climate Change Fund	1.18%	1.51%	0.66%	0.96%	2.24%	25.43%	5.42%	4.03%	2.62%	3.43%	0.00%	0.00%
GIOTX GMO International Developed Equity Allocation Fund	6.78%	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 GCCHX and GIOTX in my portfolio?

GCCHX and GIOTX have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GCCHX or GIOTX?

GCCHX has higher volatility (6.54%) compared to GIOTX (4.40%). In terms of maximum drawdown, GCCHX dropped -54.32% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GCCHX currently has the higher Sharpe Ratio (3.47 vs 2.78), 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.