GIOTX vs. GAAVX
Compare and contrast key facts about GMO International Developed Equity Allocation Fund (GIOTX) and GMO Alternative Allocation Fund (GAAVX).
GIOTX is managed by GMO. It was launched on Jun 4, 2006. GAAVX is managed by GMO. It was launched on May 1, 2019.
Performance
GIOTX vs. GAAVX - Performance Comparison
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GIOTX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GIOTX GMO International Developed Equity Allocation Fund | 6.03% | 43.70% | 10.66% | 21.03% | -12.41% | 11.14% | 7.43% | 13.87% |
GAAVX GMO Alternative Allocation Fund | 3.33% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Returns By Period
In the year-to-date period, GIOTX achieves a 6.03% return, which is significantly higher than GAAVX's 3.33% return.
GIOTX
- 1D
- 3.10%
- 1M
- -6.01%
- YTD
- 6.03%
- 6M
- 15.30%
- 1Y
- 38.36%
- 3Y*
- 23.95%
- 5Y*
- 12.82%
- 10Y*
- 11.04%
GAAVX
- 1D
- 0.00%
- 1M
- -0.37%
- YTD
- 3.33%
- 6M
- 10.87%
- 1Y
- 13.78%
- 3Y*
- 5.94%
- 5Y*
- 3.63%
- 10Y*
- —
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GIOTX vs. GAAVX - Expense Ratio Comparison
GIOTX has a 0.00% expense ratio, which is lower than GAAVX's 0.61% expense ratio.
Return for Risk
GIOTX vs. GAAVX — Risk / Return Rank
GIOTX
GAAVX
GIOTX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO International Developed Equity Allocation Fund (GIOTX) and GMO Alternative Allocation Fund (GAAVX). 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.
| GIOTX | GAAVX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.29 | 1.95 | +0.33 |
Sortino ratioReturn per unit of downside risk | 2.95 | 3.08 | -0.13 |
Omega ratioGain probability vs. loss probability | 1.44 | 1.38 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 3.48 | 3.79 | -0.31 |
Martin ratioReturn relative to average drawdown | 13.25 | 9.05 | +4.20 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GIOTX | GAAVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.29 | 1.95 | +0.33 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.85 | 0.63 | +0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.68 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.47 | -0.16 |
Correlation
The correlation between GIOTX and GAAVX is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
GIOTX vs. GAAVX - Dividend Comparison
GIOTX's dividend yield for the trailing twelve months is around 7.58%, less than GAAVX's 8.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GIOTX GMO International Developed Equity Allocation Fund | 7.58% | 8.04% | 5.07% | 6.54% | 4.45% | 6.67% | 4.48% | 3.74% | 3.90% | 3.15% | 4.04% | 3.39% |
GAAVX GMO Alternative Allocation Fund | 8.49% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
GIOTX vs. GAAVX - Drawdown Comparison
The maximum GIOTX drawdown since its inception was -56.51%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GIOTX and GAAVX.
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Drawdown Indicators
| GIOTX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.51% | -9.59% | -46.92% |
Max Drawdown (1Y)Largest decline over 1 year | -10.66% | -3.09% | -7.57% |
Max Drawdown (5Y)Largest decline over 5 years | -29.68% | -9.59% | -20.09% |
Max Drawdown (10Y)Largest decline over 10 years | -39.29% | — | — |
Current DrawdownCurrent decline from peak | -7.34% | -1.20% | -6.14% |
Average DrawdownAverage peak-to-trough decline | -14.35% | -3.11% | -11.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.80% | 1.54% | +1.26% |
Volatility
GIOTX vs. GAAVX - Volatility Comparison
GMO International Developed Equity Allocation Fund (GIOTX) has a higher volatility of 7.58% compared to GMO Alternative Allocation Fund (GAAVX) at 1.85%. This indicates that GIOTX's price experiences larger fluctuations and is considered to be riskier than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GIOTX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.58% | 1.85% | +5.73% |
Volatility (6M)Calculated over the trailing 6-month period | 11.71% | 4.81% | +6.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.91% | 6.82% | +10.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.23% | 5.81% | +9.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.27% | 5.87% | +10.40% |