GLE vs. UGOFX

Last updated Jun 3, 2026

GLE (Global Engine Group Holding Ltd) is a stock, while UGOFX (USAA Global Managed Volatility Fund) is Global Equities fund managed by BlackRock. Over the past year, GLE returned -79.36% vs 24.31% for UGOFX. At a 0.09 correlation, their price movements are largely independent.

Performance

GLE vs. UGOFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global Engine Group Holding Ltd (GLE) and USAA Global Managed Volatility Fund (UGOFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GLE achieves a 31.51% return, which is significantly higher than UGOFX's 13.36% return.

GLE

• 1D: -11.46%
• 1M: 33.42%
• YTD: 31.51%
• 6M: 0.26%
• 1Y: -79.36%
• 3Y*: —
• 5Y*: —
• 10Y*: —

UGOFX

• 1D: 0.50%
• 1M: 5.11%
• YTD: 13.36%
• 6M: 14.10%
• 1Y: 24.31%
• 3Y*: 18.25%
• 5Y*: 10.52%
• 10Y*: 10.69%

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

GLE vs. UGOFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024
GLE Global Engine Group Holding Ltd	31.51%	-79.77%	-58.61%
UGOFX USAA Global Managed Volatility Fund	13.36%	16.72%	-1.38%

Correlation

The correlation between GLE and UGOFX is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.15
Correlation (All Time) Calculated using the full available price history since Sep 23, 2024	0.09

Return for Risk

GLE vs. UGOFX — Risk / Return Rank

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

GLE

GLE Risk / Return Rank: 19
GLE Sharpe Ratio Rank: 19
GLE Sortino Ratio Rank: 25
GLE Omega Ratio Rank: 26
GLE Calmar Ratio Rank: 6
GLE Martin Ratio Rank: 19

UGOFX

UGOFX Risk / Return Rank: 60
UGOFX Sharpe Ratio Rank: 56
UGOFX Sortino Ratio Rank: 55
UGOFX Omega Ratio Rank: 53
UGOFX Calmar Ratio Rank: 67
UGOFX Martin Ratio Rank: 71

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.

GLE vs. UGOFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global Engine Group Holding Ltd (GLE) and USAA Global Managed Volatility Fund (UGOFX). 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.

	GLE	UGOFX	Difference
Sharpe ratio Return per unit of total volatility	-0.49	2.21	-2.70
Sortino ratio Return per unit of downside risk	-0.18	3.11	-3.30
Omega ratio Gain probability vs. loss probability	0.98	1.40	-0.43
Calmar ratio Return relative to maximum drawdown	-0.89	3.16	-4.06
Martin ratio Return relative to average drawdown	-1.04	13.55	-14.59
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GLE vs. UGOFX - Sharpe Ratio Comparison

The current GLE Sharpe Ratio is -0.49, which is lower than the UGOFX Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of GLE and UGOFX, 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

	GLE	UGOFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.49	2.21	-2.70
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.53	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.58	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.49	0.43	-0.92

Drawdowns

GLE vs. UGOFX - Drawdown Comparison

The maximum GLE drawdown since its inception was -94.99%, which is greater than UGOFX's maximum drawdown of -38.00%. Use the drawdown chart below to compare losses from any high point for GLE and UGOFX.

Drawdown Indicators

	GLE	UGOFX	Difference
Max Drawdown Largest peak-to-trough decline	-94.99%	-38.00%	-56.99%
Max Drawdown (1Y) Largest decline over 1 year	-92.77%	-7.95%	-84.82%
Max Drawdown (3Y) Largest decline over 3 years	—	-14.22%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-38.00%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-38.00%	—
Current Drawdown Current decline from peak	-91.13%	0.00%	-91.13%
Average Drawdown Average peak-to-trough decline	-70.20%	-7.38%	-62.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	79.53%	1.86%	+77.67%

Volatility

GLE vs. UGOFX - Volatility Comparison

Global Engine Group Holding Ltd (GLE) has a higher volatility of 66.07% compared to USAA Global Managed Volatility Fund (UGOFX) at 3.60%. This indicates that GLE's price experiences larger fluctuations and is considered to be riskier than UGOFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GLE	UGOFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	66.07%	3.60%	+62.47%
Volatility (6M) Calculated over the trailing 6-month period	92.48%	9.30%	+83.18%
Volatility (1Y) Calculated over the trailing 1-year period	161.64%	11.47%	+150.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	148.66%	20.14%	+128.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	148.66%	18.36%	+130.30%

Dividends

GLE vs. UGOFX - Dividend Comparison

GLE has not paid dividends to shareholders, while UGOFX's dividend yield for the trailing twelve months is around 17.86%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GLE Global Engine Group Holding Ltd	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
UGOFX USAA Global Managed Volatility Fund	17.86%	20.24%	3.46%	1.77%	8.60%	24.98%	4.13%	4.16%	4.48%	1.99%	1.44%	1.05%

Frequently Asked Questions

Can I hold both GLE and UGOFX in my portfolio?

GLE and UGOFX have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GLE or UGOFX?

GLE has higher volatility (66.07%) compared to UGOFX (3.60%). In terms of maximum drawdown, GLE dropped -94.99% vs UGOFX's -38.00%.

Which has better risk-adjusted returns?

UGOFX currently has the higher Sharpe Ratio (2.21 vs -0.49), 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.