GF vs. GIOTX

Last updated Jul 18, 2026

GF (The New Germany Fund) and GIOTX (GMO International Developed Equity Allocation Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, GF returned 8.35%/yr vs 11.99%/yr for GIOTX. A 0.74 correlation means they provide meaningful diversification when combined. GF charges 0.01%/yr vs 0.00%/yr for GIOTX.

Performance

GF vs. GIOTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The New Germany Fund (GF) 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, GF achieves a -0.45% return, which is significantly lower than GIOTX's 18.20% return. Over the past 10 years, GF has underperformed GIOTX with an annualized return of 8.35%, while GIOTX has yielded a comparatively higher 11.99% annualized return.

GF

• 1D: -2.09%
• 1M: -4.92%
• 6M: -4.47%
• YTD: -0.45%
• 1Y: -3.29%
• 3Y*: 7.75%
• 5Y*: -3.59%
• 10Y*: 8.35%

GIOTX

• 1D: -0.86%
• 1M: -0.40%
• 6M: 13.43%
• YTD: 18.20%
• 1Y: 38.87%
• 3Y*: 25.72%
• 5Y*: 14.84%
• 10Y*: 11.99%

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

GF vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GF The New Germany Fund	-0.45%	48.34%	-9.96%	11.66%	-42.21%	7.92%	38.43%	38.75%	-21.55%	54.50%
GIOTX GMO International Developed Equity Allocation Fund	18.20%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-19.66%	26.38%

Correlation

The correlation between GF and GIOTX is 0.52, 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	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.59
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.67
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007	0.74

Over the past year, the correlation between GF and GIOTX has dropped to 0.52 - well below their long-term average of 0.74, suggesting their price drivers have been diverging.

Return for Risk

GF vs. GIOTX — Risk / Return Rank

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

GF

GF Risk / Return Rank: 2
GF Sharpe Ratio Rank: 2
GF Sortino Ratio Rank: 2
GF Omega Ratio Rank: 2
GF Calmar Ratio Rank: 2
GF Martin Ratio Rank: 2

GIOTX

GIOTX Risk / Return Rank: 88
GIOTX Sharpe Ratio Rank: 89
GIOTX Sortino Ratio Rank: 85
GIOTX Omega Ratio Rank: 83
GIOTX Calmar Ratio Rank: 90
GIOTX Martin Ratio Rank: 91

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.

GF vs. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for The New Germany Fund (GF) 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.

	GF	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	-0.16	2.49	-2.65
Sortino ratio: Return per unit of downside risk	-0.09	3.40	-3.49
Omega ratio: Gain probability vs. loss probability	0.99	1.45	-0.46
Calmar ratio: Return relative to maximum drawdown	-0.18	3.74	-3.93
Martin ratio: Return relative to average drawdown	-0.48	14.48	-14.95

GF vs. GIOTX - Sharpe Ratio Comparison

The current GF Sharpe Ratio is -0.16, which is lower than the GIOTX Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of GF 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

GF vs. GIOTX - Drawdown Comparison

The maximum GF drawdown since its inception was -85.97%, which is greater than GIOTX's maximum drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for GF and GIOTX.

Drawdown Indicators

	GF	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-85.97%	-56.51%	-29.46%
Max Drawdown (1Y) Largest decline over 1 year	-18.07%	-10.66%	-7.41%
Max Drawdown (3Y) Largest decline over 3 years	-20.74%	-13.40%	-7.34%
Max Drawdown (5Y) Largest decline over 5 years	-53.83%	-28.34%	-25.49%
Max Drawdown (10Y) Largest decline over 10 years	-53.83%	-39.29%	-14.54%
Current Drawdown Current decline from peak	-20.96%	-1.16%	-19.80%
Average Drawdown Average peak-to-trough decline	-33.88%	-14.16%	-19.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.93%	2.75%	+4.18%

Volatility

GF vs. GIOTX - Volatility Comparison

The New Germany Fund (GF) has a higher volatility of 5.54% compared to GMO International Developed Equity Allocation Fund (GIOTX) at 4.58%. This indicates that GF'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

	GF	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.54%	4.58%	+0.96%
Volatility (6M) Calculated over the trailing 6-month period	16.40%	13.27%	+3.13%
Volatility (1Y) Calculated over the trailing 1-year period	20.06%	16.05%	+4.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.69%	15.52%	+5.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.58%	16.14%	+4.44%

GF vs. GIOTX - Expense Ratio Comparison

GF has a 0.01% expense ratio, which is higher than GIOTX's 0.00% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

GF vs. GIOTX - Dividend Comparison

GF's dividend yield for the trailing twelve months is around 2.53%, less than GIOTX's 8.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GF The New Germany Fund	2.53%	1.30%	0.92%	0.80%	9.74%	39.51%	12.92%	3.29%	31.23%	3.82%	9.05%	8.37%
GIOTX GMO International Developed Equity Allocation Fund	8.62%	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 GF and GIOTX in my portfolio?

GF and GIOTX have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GF or GIOTX?

GF has higher volatility (5.54%) compared to GIOTX (4.58%). In terms of maximum drawdown, GF dropped -85.97% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.49 vs -0.16), 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.