GMCDX vs. GAAVX

Last updated Jun 6, 2026

GMCDX (GMO Emerging Country Debt Fund) and GAAVX (GMO Alternative Allocation Fund) are both mutual funds - GMCDX is a Emerging Markets Bonds fund managed by GMO, while GAAVX is a Multistrategy fund managed by GMO. Over the past 5 years, GMCDX returned 9.62%/yr vs 2.64%/yr for GAAVX. At a 0.13 correlation, their price movements are largely independent. GMCDX charges 0.53%/yr vs 0.61%/yr for GAAVX.

Performance

GMCDX vs. GAAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Country Debt Fund (GMCDX) and GMO Alternative Allocation Fund (GAAVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMCDX achieves a 8.70% return, which is significantly higher than GAAVX's 2.51% return.

GMCDX

• 1D: 0.16%
• 1M: 0.66%
• YTD: 8.70%
• 6M: 9.48%
• 1Y: 26.10%
• 3Y*: 20.18%
• 5Y*: 9.62%
• 10Y*: 7.81%

GAAVX

• 1D: -0.05%
• 1M: 1.08%
• YTD: 2.51%
• 6M: 4.98%
• 1Y: 15.68%
• 3Y*: 6.19%
• 5Y*: 2.64%
• 10Y*: —

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

GMCDX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GMCDX GMO Emerging Country Debt Fund	8.70%	22.34%	13.39%	17.63%	-16.30%	6.56%	7.25%	6.94%
GAAVX GMO Alternative Allocation Fund	2.51%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%

Correlation

The correlation between GMCDX and GAAVX is 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.02
Correlation (3Y) Calculated over the trailing 3-year period	0.09
Correlation (5Y) Calculated over the trailing 5-year period	0.08
Correlation (All Time) Calculated using the full available price history since May 10, 2019	0.13

The correlation between GMCDX and GAAVX shifts across timeframes, from 0.02 (1 year) to 0.13 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GMCDX vs. GAAVX — Risk / Return Rank

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

GMCDX

GMCDX Risk / Return Rank: 98
GMCDX Sharpe Ratio Rank: 99
GMCDX Sortino Ratio Rank: 99
GMCDX Omega Ratio Rank: 98
GMCDX Calmar Ratio Rank: 97
GMCDX Martin Ratio Rank: 98

GAAVX

GAAVX Risk / Return Rank: 76
GAAVX Sharpe Ratio Rank: 68
GAAVX Sortino Ratio Rank: 83
GAAVX Omega Ratio Rank: 70
GAAVX Calmar Ratio Rank: 91
GAAVX Martin Ratio Rank: 69

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.

GMCDX vs. GAAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Emerging Country Debt Fund (GMCDX) 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.

	GMCDX	GAAVX	Difference
Sharpe ratio: Return per unit of total volatility	4.95	2.35	+2.60
Sortino ratio: Return per unit of downside risk	8.84	3.88	+4.97
Omega ratio: Gain probability vs. loss probability	2.24	1.45	+0.79
Calmar ratio: Return relative to maximum drawdown	6.78	4.59	+2.19
Martin ratio: Return relative to average drawdown	29.37	12.76	+16.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMCDX vs. GAAVX - Sharpe Ratio Comparison

The current GMCDX Sharpe Ratio is 4.95, which is higher than the GAAVX Sharpe Ratio of 2.35. The chart below compares the historical Sharpe Ratios of GMCDX and GAAVX, 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

	GMCDX	GAAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.95	2.35	+2.60
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.86	0.45	+0.41
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.84	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.44	-0.12

Drawdowns

GMCDX vs. GAAVX - Drawdown Comparison

The maximum GMCDX drawdown since its inception was -68.24%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GMCDX and GAAVX.

Drawdown Indicators

	GMCDX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-68.24%	-9.59%	-58.65%
Max Drawdown (1Y) Largest decline over 1 year	-3.85%	-3.39%	-0.46%
Max Drawdown (3Y) Largest decline over 3 years	-9.00%	-7.73%	-1.27%
Max Drawdown (5Y) Largest decline over 5 years	-26.02%	-9.45%	-16.57%
Max Drawdown (10Y) Largest decline over 10 years	-26.02%	—	—
Current Drawdown Current decline from peak	0.00%	-1.98%	+1.98%
Average Drawdown Average peak-to-trough decline	-17.65%	-3.08%	-14.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.89%	1.22%	-0.33%

Volatility

GMCDX vs. GAAVX - Volatility Comparison

The current volatility for GMO Emerging Country Debt Fund (GMCDX) is 1.52%, while GMO Alternative Allocation Fund (GAAVX) has a volatility of 2.32%. This indicates that GMCDX experiences smaller price fluctuations and is considered to be less risky than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMCDX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.52%	2.32%	-0.80%
Volatility (6M) Calculated over the trailing 6-month period	4.38%	5.08%	-0.70%
Volatility (1Y) Calculated over the trailing 1-year period	5.29%	6.63%	-1.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.20%	5.91%	+5.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.33%	5.91%	+3.42%

GMCDX vs. GAAVX - Expense Ratio Comparison

GMCDX has a 0.53% expense ratio, which is lower than GAAVX's 0.61% expense ratio.

Dividends

GMCDX vs. GAAVX - Dividend Comparison

GMCDX's dividend yield for the trailing twelve months is around 5.77%, less than GAAVX's 8.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAAVX GMO Alternative Allocation Fund	8.56%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%
GMCDX GMO Emerging Country Debt Fund	5.77%	6.27%	6.88%	10.26%	13.73%	17.75%	9.66%	6.60%	7.76%	7.06%	6.00%	2.50%

Frequently Asked Questions

Can I hold both GMCDX and GAAVX in my portfolio?

GMCDX and GAAVX have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMCDX or GAAVX?

GAAVX has higher volatility (2.32%) compared to GMCDX (1.52%). In terms of maximum drawdown, GMCDX dropped -68.24% vs GAAVX's -9.59%.

Which has better risk-adjusted returns?

GMCDX currently has the higher Sharpe Ratio (4.95 vs 2.35), 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.