Correlation
The correlation between GMGEX and SPY is 0.70, 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.
GMGEX vs. SPY
Compare and contrast key facts about GMO Global Equity Allocation Fund (GMGEX) and 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GMGEX or SPY.
Performance
GMGEX vs. SPY - Performance Comparison
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Key characteristics
GMGEX:
0.67
SPY:
0.70
GMGEX:
0.91
SPY:
1.02
GMGEX:
1.13
SPY:
1.15
GMGEX:
0.68
SPY:
0.68
GMGEX:
2.95
SPY:
2.57
GMGEX:
3.17%
SPY:
4.93%
GMGEX:
15.79%
SPY:
20.42%
GMGEX:
-73.69%
SPY:
-55.19%
GMGEX:
-0.56%
SPY:
-3.55%
Returns By Period
In the year-to-date period, GMGEX achieves a 8.18% return, which is significantly higher than SPY's 0.87% return. Over the past 10 years, GMGEX has underperformed SPY with an annualized return of 7.71%, while SPY has yielded a comparatively higher 12.73% annualized return.
GMGEX
8.18%
4.71%
5.71%
10.57%
10.94%
11.90%
7.71%
SPY
0.87%
6.28%
-1.56%
14.21%
14.25%
15.81%
12.73%
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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%.
Risk-Adjusted Performance
GMGEX vs. SPY — Risk-Adjusted Performance Rank
GMGEX
SPY
GMGEX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and 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.
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Dividends
GMGEX vs. SPY - Dividend Comparison
GMGEX's dividend yield for the trailing twelve months is around 5.08%, more than SPY's 1.22% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMGEX GMO Global Equity Allocation Fund | 5.08% | 5.50% | 5.63% | 7.81% | 7.76% | 3.83% | 3.42% | 3.14% | 2.90% | 9.47% | 12.61% | 12.12% |
SPY SPDR S&P 500 ETF | 1.22% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
Drawdowns
GMGEX vs. SPY - Drawdown Comparison
The maximum GMGEX drawdown since its inception was -73.69%, 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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Volatility
GMGEX vs. SPY - Volatility Comparison
The current volatility for GMO Global Equity Allocation Fund (GMGEX) is 3.23%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.86%. This indicates that GMGEX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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