GMGEX vs. SPY
Compare and contrast key facts about GMO Global Equity Allocation Fund (GMGEX) and State Street SPDR S&P 500 ETF (SPY).
GMGEX is managed by GMO. It was launched on Nov 25, 1996. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
GMGEX vs. SPY - Performance Comparison
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GMGEX vs. SPY - 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% |
SPY State Street SPDR S&P 500 ETF | -3.65% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, GMGEX achieves a 3.72% return, which is significantly higher than SPY's -3.65% return. Over the past 10 years, GMGEX has underperformed SPY with an annualized return of 9.93%, while SPY has yielded a comparatively higher 14.06% 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%
SPY
- 1D
- 0.75%
- 1M
- -4.28%
- YTD
- -3.65%
- 6M
- -1.42%
- 1Y
- 18.14%
- 3Y*
- 18.48%
- 5Y*
- 11.86%
- 10Y*
- 14.06%
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GMGEX vs. SPY - Expense Ratio Comparison
GMGEX has a 0.01% expense ratio, which is lower than SPY's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Return for Risk
GMGEX vs. SPY — Risk / Return Rank
GMGEX
SPY
GMGEX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.94 | 0.96 | +0.99 |
Sortino ratioReturn per unit of downside risk | 2.63 | 1.49 | +1.14 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.23 | +0.16 |
Calmar ratioReturn relative to maximum drawdown | 2.59 | 1.53 | +1.05 |
Martin ratioReturn relative to average drawdown | 11.30 | 7.27 | +4.03 |
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 | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.94 | 0.96 | +0.99 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.55 | 0.70 | -0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.62 | 0.79 | -0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.22 | 0.56 | -0.34 |
Correlation
The correlation between GMGEX and SPY is 0.86, 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. SPY - Dividend Comparison
GMGEX's dividend yield for the trailing twelve months is around 4.52%, more than SPY's 1.13% 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% |
SPY State Street SPDR S&P 500 ETF | 1.13% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
GMGEX vs. SPY - Drawdown Comparison
The maximum GMGEX drawdown since its inception was -58.47%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GMGEX and SPY.
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Drawdown Indicators
| GMGEX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.47% | -55.19% | -3.28% |
Max Drawdown (1Y)Largest decline over 1 year | -11.62% | -12.05% | +0.43% |
Max Drawdown (5Y)Largest decline over 5 years | -28.58% | -24.50% | -4.08% |
Max Drawdown (10Y)Largest decline over 10 years | -34.98% | -33.72% | -1.26% |
Current DrawdownCurrent decline from peak | -6.81% | -5.53% | -1.28% |
Average DrawdownAverage peak-to-trough decline | -16.84% | -9.09% | -7.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.66% | 2.54% | +0.12% |
Volatility
GMGEX vs. SPY - Volatility Comparison
GMO Global Equity Allocation Fund (GMGEX) has a higher volatility of 6.09% compared to State Street SPDR S&P 500 ETF (SPY) at 5.35%. This indicates that GMGEX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMGEX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.09% | 5.35% | +0.74% |
Volatility (6M)Calculated over the trailing 6-month period | 9.78% | 9.50% | +0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.72% | 19.06% | -3.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.74% | 17.06% | -2.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.02% | 17.92% | -1.90% |