GMGEX vs. VGPMX

Last updated Jun 26, 2026

GMGEX (GMO Global Equity Allocation Fund) and VGPMX (Vanguard Global Capital Cycles Fund) are both Global Equities funds. Over the past 10 years, GMGEX returned 11.46%/yr vs 10.24%/yr for VGPMX. A 0.55 correlation means they provide meaningful diversification when combined. GMGEX charges 0.01%/yr vs 0.36%/yr for VGPMX.

Performance

GMGEX vs. VGPMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Equity Allocation Fund (GMGEX) and Vanguard Global Capital Cycles Fund (VGPMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMGEX achieves a 16.28% return, which is significantly higher than VGPMX's 10.88% return. Over the past 10 years, GMGEX has outperformed VGPMX with an annualized return of 11.46%, while VGPMX has yielded a comparatively lower 10.24% annualized return.

GMGEX

• 1D: -0.05%
• 1M: -1.66%
• YTD: 16.28%
• 6M: 15.49%
• 1Y: 35.95%
• 3Y*: 20.30%
• 5Y*: 9.62%
• 10Y*: 11.46%

VGPMX

• 1D: -0.80%
• 1M: -6.01%
• YTD: 10.88%
• 6M: 11.31%
• 1Y: 48.90%
• 3Y*: 27.75%
• 5Y*: 19.32%
• 10Y*: 10.24%

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

GMGEX vs. VGPMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMGEX GMO Global Equity Allocation Fund	16.28%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%
VGPMX Vanguard Global Capital Cycles Fund	10.88%	65.96%	5.78%	10.06%	7.34%	19.50%	17.21%	20.67%	-32.26%	13.75%

Correlation

The correlation between GMGEX and VGPMX is 0.81, 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	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Jan 2, 1997	0.55

Over the past year, GMGEX and VGPMX have become more correlated (0.81) than their long-term average of 0.55, meaning their price movements have been converging.

Return for Risk

GMGEX vs. VGPMX — Risk / Return Rank

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

GMGEX

GMGEX Risk / Return Rank: 88
GMGEX Sharpe Ratio Rank: 92
GMGEX Sortino Ratio Rank: 87
GMGEX Omega Ratio Rank: 85
GMGEX Calmar Ratio Rank: 89
GMGEX Martin Ratio Rank: 90

VGPMX

VGPMX Risk / Return Rank: 87
VGPMX Sharpe Ratio Rank: 93
VGPMX Sortino Ratio Rank: 83
VGPMX Omega Ratio Rank: 83
VGPMX Calmar Ratio Rank: 88
VGPMX Martin Ratio Rank: 89

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. VGPMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Equity Allocation Fund (GMGEX) and Vanguard Global Capital Cycles Fund (VGPMX). 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	VGPMX	Difference
Sharpe ratio: Return per unit of total volatility	2.68	2.73	-0.05
Sortino ratio: Return per unit of downside risk	3.64	3.38	+0.26
Omega ratio: Gain probability vs. loss probability	1.49	1.47	+0.02
Calmar ratio: Return relative to maximum drawdown	3.86	3.82	+0.04
Martin ratio: Return relative to average drawdown	15.01	14.76	+0.24

GMGEX vs. VGPMX - Sharpe Ratio Comparison

The current GMGEX Sharpe Ratio is 2.68, which is comparable to the VGPMX Sharpe Ratio of 2.73. The chart below compares the historical Sharpe Ratios of GMGEX and VGPMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GMGEX vs. VGPMX - Drawdown Comparison

The maximum GMGEX drawdown since its inception was -58.47%, smaller than the maximum VGPMX drawdown of -78.85%. Use the drawdown chart below to compare losses from any high point for GMGEX and VGPMX.

Drawdown Indicators

	GMGEX	VGPMX	Difference
Max Drawdown Largest peak-to-trough decline	-58.47%	-78.85%	+20.38%
Max Drawdown (1Y) Largest decline over 1 year	-9.24%	-12.80%	+3.56%
Max Drawdown (3Y) Largest decline over 3 years	-17.12%	-14.63%	-2.49%
Max Drawdown (5Y) Largest decline over 5 years	-28.58%	-22.71%	-5.87%
Max Drawdown (10Y) Largest decline over 10 years	-34.98%	-54.59%	+19.61%
Current Drawdown Current decline from peak	-2.98%	-8.47%	+5.49%
Average Drawdown Average peak-to-trough decline	-16.72%	-34.51%	+17.79%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.37%	3.30%	-0.93%

Volatility

GMGEX vs. VGPMX - Volatility Comparison

The current volatility for GMO Global Equity Allocation Fund (GMGEX) is 5.16%, while Vanguard Global Capital Cycles Fund (VGPMX) has a volatility of 7.30%. This indicates that GMGEX experiences smaller price fluctuations and is considered to be less risky than VGPMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMGEX	VGPMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.16%	7.30%	-2.14%
Volatility (6M) Calculated over the trailing 6-month period	10.86%	15.31%	-4.45%
Volatility (1Y) Calculated over the trailing 1-year period	13.37%	17.91%	-4.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.91%	17.53%	-2.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.00%	20.89%	-4.89%

GMGEX vs. VGPMX - Expense Ratio Comparison

GMGEX has a 0.01% expense ratio, which is lower than VGPMX's 0.36% expense ratio.

Dividends

GMGEX vs. VGPMX - Dividend Comparison

GMGEX's dividend yield for the trailing twelve months is around 4.03%, more than VGPMX's 3.52% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMGEX GMO Global Equity Allocation Fund	4.03%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%
VGPMX Vanguard Global Capital Cycles Fund	3.52%	2.59%	2.68%	3.22%	3.27%	3.26%	2.03%	2.39%	3.02%	0.02%	1.72%	2.32%

Frequently Asked Questions

Can I hold both GMGEX and VGPMX in my portfolio?

GMGEX and VGPMX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMGEX or VGPMX?

VGPMX has higher volatility (7.30%) compared to GMGEX (5.16%). In terms of maximum drawdown, GMGEX dropped -58.47% vs VGPMX's -78.85%.

Which has better risk-adjusted returns?

VGPMX currently has the higher Sharpe Ratio (2.73 vs 2.68), 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.