GMGEX vs. GWOAX
Compare and contrast key facts about GMO Global Equity Allocation Fund (GMGEX) and GMO Global Developed Equity Allocation Fund (GWOAX).
GMGEX is managed by GMO. It was launched on Nov 25, 1996. GWOAX is managed by GMO. It was launched on Jun 15, 2005.
Performance
GMGEX vs. GWOAX - Performance Comparison
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GMGEX vs. GWOAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMGEX GMO Global Equity Allocation Fund | 3.72% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 26.39% |
GWOAX GMO Global Developed Equity Allocation Fund | 3.10% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
Returns By Period
In the year-to-date period, GMGEX achieves a 3.72% return, which is significantly higher than GWOAX's 3.10% return. Over the past 10 years, GMGEX has underperformed GWOAX with an annualized return of 9.93%, while GWOAX has yielded a comparatively higher 11.04% annualized return.
GMGEX
- 1D
- 2.68%
- 1M
- -5.76%
- YTD
- 3.72%
- 6M
- 10.13%
- 1Y
- 30.15%
- 3Y*
- 16.98%
- 5Y*
- 8.06%
- 10Y*
- 9.93%
GWOAX
- 1D
- 2.74%
- 1M
- -5.28%
- YTD
- 3.10%
- 6M
- 9.71%
- 1Y
- 28.87%
- 3Y*
- 17.19%
- 5Y*
- 9.50%
- 10Y*
- 11.04%
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GMGEX vs. GWOAX - Expense Ratio Comparison
Both GMGEX and GWOAX have an expense ratio of 0.01%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Return for Risk
GMGEX vs. GWOAX — Risk / Return Rank
GMGEX
GWOAX
GMGEX vs. GWOAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and GMO Global Developed Equity Allocation Fund (GWOAX). 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 | GWOAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.94 | 1.83 | +0.11 |
Sortino ratioReturn per unit of downside risk | 2.63 | 2.51 | +0.11 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.37 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 2.59 | 2.52 | +0.07 |
Martin ratioReturn relative to average drawdown | 11.30 | 11.23 | +0.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GMGEX | GWOAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.94 | 1.83 | +0.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.55 | 0.63 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.62 | 0.67 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 0.44 | -0.22 |
Correlation
The correlation between GMGEX and GWOAX is 0.98, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
GMGEX vs. GWOAX - Dividend Comparison
GMGEX's dividend yield for the trailing twelve months is around 4.52%, more than GWOAX's 4.33% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMGEX GMO Global Equity Allocation Fund | 4.52% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
GWOAX GMO Global Developed Equity Allocation Fund | 4.33% | 4.46% | 0.60% | 6.10% | 7.27% | 12.75% | 3.85% | 4.33% | 3.02% | 3.05% | 6.43% | 12.47% |
Drawdowns
GMGEX vs. GWOAX - Drawdown Comparison
The maximum GMGEX drawdown since its inception was -58.47%, which is greater than GWOAX's maximum drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for GMGEX and GWOAX.
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Drawdown Indicators
| GMGEX | GWOAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.47% | -49.84% | -8.63% |
Max Drawdown (1Y)Largest decline over 1 year | -11.62% | -11.43% | -0.19% |
Max Drawdown (5Y)Largest decline over 5 years | -28.58% | -26.21% | -2.37% |
Max Drawdown (10Y)Largest decline over 10 years | -34.98% | -35.28% | +0.30% |
Current DrawdownCurrent decline from peak | -6.81% | -6.28% | -0.53% |
Average DrawdownAverage peak-to-trough decline | -16.84% | -9.06% | -7.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.66% | 2.56% | +0.10% |
Volatility
GMGEX vs. GWOAX - Volatility Comparison
GMO Global Equity Allocation Fund (GMGEX) and GMO Global Developed Equity Allocation Fund (GWOAX) have volatilities of 6.09% and 5.89%, 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.
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Volatility by Period
| GMGEX | GWOAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.09% | 5.89% | +0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 9.78% | 9.70% | +0.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.72% | 15.92% | -0.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.74% | 15.21% | -0.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.02% | 16.48% | -0.46% |