GIOTX vs. GCAVX

Last updated Jun 24, 2026

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

Performance

GIOTX vs. GCAVX - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with GIOTX having a 19.59% return and GCAVX slightly lower at 18.63%.

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%

GCAVX

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

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

GIOTX vs. GCAVX - Yearly Performance Comparison

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

Correlation

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

Return for Risk

GIOTX vs. GCAVX — Risk / Return Rank

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

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

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

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.

GIOTX vs. GCAVX - Risk-Adjusted Trends Comparison

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

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

GIOTX vs. GCAVX - Sharpe Ratio Comparison

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

GIOTX vs. GCAVX - Drawdown Comparison

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

Drawdown Indicators

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

Volatility

GIOTX vs. GCAVX - Volatility Comparison

GMO International Developed Equity Allocation Fund (GIOTX) and GMO U.S. Small Cap Value Fund (GCAVX) 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

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

GIOTX vs. GCAVX - Expense Ratio Comparison

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

Dividends

GIOTX vs. GCAVX - Dividend Comparison

GIOTX's dividend yield for the trailing twelve months is around 6.72%, more than GCAVX's 2.48% 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 GIOTX and GCAVX in my portfolio?

GIOTX and GCAVX 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, GIOTX or GCAVX?

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

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.