GMGEX vs. GMWAX
GMGEX (GMO Global Equity Allocation Fund) and GMWAX (GMO Global Asset Allocation Fund) are both mutual funds - GMGEX is a Global Equities fund managed by GMO, while GMWAX is a Global Allocation fund managed by GMO. Over the past 10 years, GMGEX returned 11.15%/yr vs 7.39%/yr for GMWAX. Their 0.96 correlation means they have historically moved very closely together. GMGEX charges 0.01%/yr vs 0.00%/yr for GMWAX.
Performance
GMGEX vs. GMWAX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, GMGEX achieves a 19.52% return, which is significantly higher than GMWAX's 12.58% return. Over the past 10 years, GMGEX has outperformed GMWAX with an annualized return of 11.15%, while GMWAX has yielded a comparatively lower 7.39% annualized return.
GMGEX
- 1D
- 1.87%
- 1M
- 1.85%
- 6M
- 12.88%
- YTD
- 19.52%
- 1Y
- 37.44%
- 3Y*
- 18.95%
- 5Y*
- 10.66%
- 10Y*
- 11.15%
- ALL TIME*
- 4.09%
GMWAX
- 1D
- 1.08%
- 1M
- 1.64%
- 6M
- 8.00%
- YTD
- 12.58%
- 1Y
- 25.52%
- 3Y*
- 13.43%
- 5Y*
- 7.21%
- 10Y*
- 7.39%
- ALL TIME*
- 3.47%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GMGEX vs. GMWAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMGEX GMO Global Equity Allocation Fund | 19.52% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 26.39% |
GMWAX GMO Global Asset Allocation Fund | 12.58% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 17.70% | -7.21% | 15.73% |
Correlation
The correlation between GMGEX and GMWAX is 0.98 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.98 |
Correlation (3Y) Balances recent behavior with more history. | 0.98 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.98 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.98 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1997 | 0.96 |
The correlation between GMGEX and GMWAX has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
GMGEX vs. GMWAX — Risk / Return Rank
GMGEX
GMWAX
GMGEX vs. GMWAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and GMO Global Asset Allocation Fund (GMWAX). 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.
| GMGEX | GMWAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.05 | ||
| Sortino ratioReturn per unit of downside risk | -0.18 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.52 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.87 | 3.65 | +0.22 |
| Martin ratioReturn relative to average drawdown | 14.86 | 13.64 | +1.22 |
Loading charts...
Drawdowns
GMGEX vs. GMWAX - Drawdown Comparison
The maximum GMGEX drawdown since its inception was -58.47%, which is greater than GMWAX's maximum drawdown of -41.69%. Use the drawdown chart below to compare losses from any high point for GMGEX and GMWAX.
Loading charts...
Drawdown Indicators
| GMGEX | GMWAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.47% | -41.69% | -16.78% |
Max Drawdown (1Y)Largest decline over 1 year | -9.24% | -6.87% | -2.37% |
Max Drawdown (3Y)Largest decline over 3 years | -17.12% | -13.17% | -3.95% |
Max Drawdown (5Y)Largest decline over 5 years | -28.58% | -21.47% | -7.11% |
Max Drawdown (10Y)Largest decline over 10 years | -34.98% | -25.12% | -9.86% |
Current DrawdownCurrent decline from peak | -0.28% | -0.14% | -0.14% |
Average DrawdownAverage peak-to-trough decline | -16.67% | -11.18% | -5.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.41% | 1.84% | +0.57% |
Volatility
GMGEX vs. GMWAX - Volatility Comparison
GMO Global Equity Allocation Fund (GMGEX) has a higher volatility of 3.63% compared to GMO Global Asset Allocation Fund (GMWAX) at 2.44%. This indicates that GMGEX's price experiences larger fluctuations and is considered to be riskier than GMWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| GMGEX | GMWAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.63% | 2.44% | +1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 11.04% | 7.59% | +3.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.46% | 9.25% | +4.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.89% | 10.08% | +4.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.97% | 10.33% | +5.64% |
GMGEX vs. GMWAX - Expense Ratio Comparison
GMGEX has a 0.01% expense ratio, which is higher than GMWAX's 0.00% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GMGEX vs. GMWAX - Dividend Comparison
GMGEX's dividend yield for the trailing twelve months is around 3.95%, less than GMWAX's 4.42% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMGEX GMO Global Equity Allocation Fund | 3.95% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
GMWAX GMO Global Asset Allocation Fund | 4.42% | 4.88% | 0.14% | 5.47% | 3.78% | 6.16% | 4.00% | 4.00% | 3.77% | 2.50% | 2.25% | 3.13% |
Frequently Asked Questions
With a correlation of 0.98, GMGEX and GMWAX 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.
GMGEX has higher volatility (3.63%) compared to GMWAX (2.44%). In terms of maximum drawdown, GMGEX dropped -58.47% vs GMWAX's -41.69%.
GMWAX currently has the higher Sharpe Ratio (2.72 vs 2.66), 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.
Find the right allocation for GMGEX and GMWAX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer