GMGEX vs. ATWYX

Last updated Jun 5, 2026

GMGEX (GMO Global Equity Allocation Fund) and ATWYX (AB Tax-Managed Wealth Appreciation Strategy) are both Global Equities funds. Over the past 10 years, GMGEX returned 11.28%/yr vs 11.97%/yr for ATWYX. Their correlation of 0.94 suggests significant overlap in exposure. GMGEX charges 0.01%/yr vs 0.38%/yr for ATWYX.

Performance

GMGEX vs. ATWYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Equity Allocation Fund (GMGEX) and AB Tax-Managed Wealth Appreciation Strategy (ATWYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMGEX achieves a 19.27% return, which is significantly higher than ATWYX's 11.47% return. Over the past 10 years, GMGEX has underperformed ATWYX with an annualized return of 11.28%, while ATWYX has yielded a comparatively higher 11.97% annualized return.

GMGEX

• 1D: -0.48%
• 1M: 4.86%
• YTD: 19.27%
• 6M: 21.08%
• 1Y: 41.55%
• 3Y*: 21.78%
• 5Y*: 9.85%
• 10Y*: 11.28%

ATWYX

• 1D: -0.69%
• 1M: 2.21%
• YTD: 11.47%
• 6M: 12.19%
• 1Y: 28.18%
• 3Y*: 20.86%
• 5Y*: 10.91%
• 10Y*: 11.97%

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

GMGEX vs. ATWYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMGEX GMO Global Equity Allocation Fund	19.27%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%
ATWYX AB Tax-Managed Wealth Appreciation Strategy	11.47%	21.44%	18.72%	20.55%	-18.58%	20.45%	12.70%	25.56%	-9.76%	23.04%

Correlation

The correlation between GMGEX and ATWYX is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Sep 4, 2003	0.94

The correlation between GMGEX and ATWYX has been stable across timeframes, ranging from 0.90 to 0.94 - a consistent structural relationship.

Return for Risk

GMGEX vs. ATWYX — Risk / Return Rank

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

GMGEX

GMGEX Risk / Return Rank: 90
GMGEX Sharpe Ratio Rank: 94
GMGEX Sortino Ratio Rank: 91
GMGEX Omega Ratio Rank: 86
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 90

ATWYX

ATWYX Risk / Return Rank: 61
ATWYX Sharpe Ratio Rank: 60
ATWYX Sortino Ratio Rank: 55
ATWYX Omega Ratio Rank: 57
ATWYX Calmar Ratio Rank: 61
ATWYX Martin Ratio Rank: 70

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.

GMGEX vs. ATWYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and AB Tax-Managed Wealth Appreciation Strategy (ATWYX). 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.

	GMGEX	ATWYX	Difference
Sharpe ratio: Return per unit of total volatility	3.31	2.26	+1.06
Sortino ratio: Return per unit of downside risk	4.53	3.11	+1.42
Omega ratio: Gain probability vs. loss probability	1.60	1.41	+0.19
Calmar ratio: Return relative to maximum drawdown	4.54	2.95	+1.59
Martin ratio: Return relative to average drawdown	18.01	13.19	+4.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMGEX vs. ATWYX - Sharpe Ratio Comparison

The current GMGEX Sharpe Ratio is 3.31, which is higher than the ATWYX Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of GMGEX and ATWYX, 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

	GMGEX	ATWYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.31	2.26	+1.06
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.67	0.68	-0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	0.72	-0.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.25	0.44	-0.19

Drawdowns

GMGEX vs. ATWYX - Drawdown Comparison

The maximum GMGEX drawdown since its inception was -58.47%, roughly equal to the maximum ATWYX drawdown of -59.14%. Use the drawdown chart below to compare losses from any high point for GMGEX and ATWYX.

Drawdown Indicators

	GMGEX	ATWYX	Difference
Max Drawdown Largest peak-to-trough decline	-58.47%	-59.14%	+0.67%
Max Drawdown (1Y) Largest decline over 1 year	-9.24%	-9.75%	+0.51%
Max Drawdown (3Y) Largest decline over 3 years	-17.12%	-17.58%	+0.46%
Max Drawdown (5Y) Largest decline over 5 years	-28.58%	-26.21%	-2.37%
Max Drawdown (10Y) Largest decline over 10 years	-34.98%	-34.33%	-0.65%
Current Drawdown Current decline from peak	-0.48%	-0.69%	+0.21%
Average Drawdown Average peak-to-trough decline	-16.75%	-9.98%	-6.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	2.18%	+0.14%

Volatility

GMGEX vs. ATWYX - Volatility Comparison

GMO Global Equity Allocation Fund (GMGEX) has a higher volatility of 4.01% compared to AB Tax-Managed Wealth Appreciation Strategy (ATWYX) at 3.66%. This indicates that GMGEX's price experiences larger fluctuations and is considered to be riskier than ATWYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMGEX	ATWYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.01%	3.66%	+0.35%
Volatility (6M) Calculated over the trailing 6-month period	9.91%	10.10%	-0.19%
Volatility (1Y) Calculated over the trailing 1-year period	12.66%	12.74%	-0.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.81%	16.01%	-1.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.06%	16.75%	-0.69%

GMGEX vs. ATWYX - Expense Ratio Comparison

GMGEX has a 0.01% expense ratio, which is lower than ATWYX's 0.38% expense ratio.

Dividends

GMGEX vs. ATWYX - Dividend Comparison

GMGEX's dividend yield for the trailing twelve months is around 3.93%, which matches ATWYX's 3.96% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ATWYX AB Tax-Managed Wealth Appreciation Strategy	3.96%	4.41%	2.49%	1.84%	5.88%	5.81%	1.23%	4.93%	5.57%	12.93%	3.16%	7.84%
GMGEX GMO Global Equity Allocation Fund	3.93%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%

Frequently Asked Questions

Can I hold both GMGEX and ATWYX in my portfolio?

With a correlation of 0.90, GMGEX and ATWYX 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, GMGEX or ATWYX?

GMGEX has higher volatility (4.01%) compared to ATWYX (3.66%). In terms of maximum drawdown, GMGEX dropped -58.47% vs ATWYX's -59.14%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.31 vs 2.26), 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.