GIMFX vs. GMWAX

Last updated Jun 4, 2026

GIMFX (GMO Implementation Fund) and GMWAX (GMO Global Asset Allocation Fund) are both Global Allocation funds from GMO. Over the past 10 years, GIMFX returned 7.26%/yr vs 7.62%/yr for GMWAX. Their correlation of 0.90 suggests significant overlap in exposure. GIMFX charges 0.02%/yr vs 0.00%/yr for GMWAX.

Performance

GIMFX vs. GMWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Implementation Fund (GIMFX) and GMO Global Asset Allocation Fund (GMWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GIMFX achieves a 14.16% return, which is significantly higher than GMWAX's 12.73% return. Both investments have delivered pretty close results over the past 10 years, with GIMFX having a 7.26% annualized return and GMWAX not far ahead at 7.62%.

GIMFX

• 1D: 0.40%
• 1M: 5.11%
• YTD: 14.16%
• 6M: 16.37%
• 1Y: 32.72%
• 3Y*: 17.75%
• 5Y*: 9.54%
• 10Y*: 7.26%

GMWAX

• 1D: 0.45%
• 1M: 5.25%
• YTD: 12.73%
• 6M: 14.26%
• 1Y: 29.87%
• 3Y*: 15.44%
• 5Y*: 6.65%
• 10Y*: 7.62%

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

GIMFX vs. GMWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GIMFX GMO Implementation Fund	14.16%	25.37%	2.67%	14.75%	-1.24%	4.05%	-7.25%	13.24%	-5.58%	14.09%
GMWAX GMO Global Asset Allocation Fund	12.73%	23.40%	0.23%	16.17%	-12.71%	7.03%	6.15%	17.70%	-7.21%	15.73%

Correlation

The correlation between GIMFX and GMWAX is 0.94, 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	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.90

The correlation between GIMFX and GMWAX has been stable across timeframes, ranging from 0.87 to 0.94 - a consistent structural relationship.

Return for Risk

GIMFX vs. GMWAX — Risk / Return Rank

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

GIMFX

GIMFX Risk / Return Rank: 95
GIMFX Sharpe Ratio Rank: 98
GIMFX Sortino Ratio Rank: 97
GIMFX Omega Ratio Rank: 96
GIMFX Calmar Ratio Rank: 92
GIMFX Martin Ratio Rank: 92

GMWAX

GMWAX Risk / Return Rank: 91
GMWAX Sharpe Ratio Rank: 95
GMWAX Sortino Ratio Rank: 94
GMWAX Omega Ratio Rank: 90
GMWAX Calmar Ratio Rank: 88
GMWAX Martin Ratio Rank: 87

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.

GIMFX vs. GMWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Implementation Fund (GIMFX) and GMO Global Asset Allocation Fund (GMWAX). 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.

	GIMFX	GMWAX	Difference
Sharpe ratio: Return per unit of total volatility	4.13	3.41	+0.71
Sortino ratio: Return per unit of downside risk	5.83	4.82	+1.01
Omega ratio: Gain probability vs. loss probability	1.83	1.65	+0.18
Calmar ratio: Return relative to maximum drawdown	5.00	4.37	+0.64
Martin ratio: Return relative to average drawdown	19.42	16.79	+2.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GIMFX vs. GMWAX - Sharpe Ratio Comparison

The current GIMFX Sharpe Ratio is 4.13, which is comparable to the GMWAX Sharpe Ratio of 3.41. The chart below compares the historical Sharpe Ratios of GIMFX and GMWAX, 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

	GIMFX	GMWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.13	3.41	+0.71
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.12	0.67	+0.45
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.81	0.74	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.71	0.32	+0.38

Drawdowns

GIMFX vs. GMWAX - Drawdown Comparison

The maximum GIMFX drawdown since its inception was -25.87%, smaller than the maximum GMWAX drawdown of -41.69%. Use the drawdown chart below to compare losses from any high point for GIMFX and GMWAX.

Drawdown Indicators

	GIMFX	GMWAX	Difference
Max Drawdown Largest peak-to-trough decline	-25.87%	-41.69%	+15.82%
Max Drawdown (1Y) Largest decline over 1 year	-6.53%	-6.87%	+0.34%
Max Drawdown (3Y) Largest decline over 3 years	-8.02%	-13.17%	+5.15%
Max Drawdown (5Y) Largest decline over 5 years	-14.02%	-22.47%	+8.45%
Max Drawdown (10Y) Largest decline over 10 years	-25.87%	-25.12%	-0.75%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-4.29%	-11.23%	+6.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.68%	1.78%	-0.10%

Volatility

GIMFX vs. GMWAX - Volatility Comparison

The current volatility for GMO Implementation Fund (GIMFX) is 2.84%, while GMO Global Asset Allocation Fund (GMWAX) has a volatility of 3.04%. This indicates that GIMFX experiences smaller price fluctuations and is considered to be less risky than GMWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GIMFX	GMWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.84%	3.04%	-0.20%
Volatility (6M) Calculated over the trailing 6-month period	6.22%	6.92%	-0.70%
Volatility (1Y) Calculated over the trailing 1-year period	7.93%	8.80%	-0.87%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.58%	10.02%	-1.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.98%	10.35%	-1.37%

GIMFX vs. GMWAX - Expense Ratio Comparison

GIMFX has a 0.02% expense ratio, which is higher than GMWAX'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

GIMFX vs. GMWAX - Dividend Comparison

GIMFX's dividend yield for the trailing twelve months is around 3.75%, less than GMWAX's 4.33% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GIMFX GMO Implementation Fund	3.75%	4.28%	3.39%	5.93%	3.59%	3.28%	2.25%	3.99%	4.59%	2.95%	1.98%	0.00%
GMWAX GMO Global Asset Allocation Fund	4.33%	4.88%	0.14%	5.47%	3.78%	6.16%	4.00%	4.00%	3.77%	2.50%	2.25%	3.13%

Frequently Asked Questions

Can I hold both GIMFX and GMWAX in my portfolio?

With a correlation of 0.94, GIMFX and GMWAX 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, GIMFX or GMWAX?

GMWAX has higher volatility (3.04%) compared to GIMFX (2.84%). In terms of maximum drawdown, GIMFX dropped -25.87% vs GMWAX's -41.69%.

Which has better risk-adjusted returns?

GIMFX currently has the higher Sharpe Ratio (4.13 vs 3.41), 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.