GMOEX vs. VPMAX

Last updated Jun 4, 2026

GMOEX (GMO Emerging Markets Fund) and VPMAX (Vanguard PRIMECAP Fund Admiral Shares) are both mutual funds - GMOEX is a Emerging Markets Diversified fund managed by GMO, while VPMAX is a Large Cap Blend Equities fund managed by Vanguard. Over the past 10 years, GMOEX returned 9.93%/yr vs 17.65%/yr for VPMAX. A 0.67 correlation means they provide meaningful diversification when combined. GMOEX charges 0.90%/yr vs 0.27%/yr for VPMAX.

Performance

GMOEX vs. VPMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Markets Fund (GMOEX) and Vanguard PRIMECAP Fund Admiral Shares (VPMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMOEX achieves a 44.93% return, which is significantly higher than VPMAX's 25.44% return. Over the past 10 years, GMOEX has underperformed VPMAX with an annualized return of 9.93%, while VPMAX has yielded a comparatively higher 17.65% annualized return.

GMOEX

• 1D: 1.03%
• 1M: 24.60%
• YTD: 44.93%
• 6M: 47.97%
• 1Y: 75.48%
• 3Y*: 30.94%
• 5Y*: 7.99%
• 10Y*: 9.93%

VPMAX

• 1D: 0.35%
• 1M: 12.86%
• YTD: 25.44%
• 6M: 26.85%
• 1Y: 58.91%
• 3Y*: 28.09%
• 5Y*: 16.52%
• 10Y*: 17.65%

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

GMOEX vs. VPMAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMOEX GMO Emerging Markets Fund	44.93%	33.86%	1.95%	17.68%	-31.57%	2.05%	5.50%	22.15%	-12.82%	32.05%
VPMAX Vanguard PRIMECAP Fund Admiral Shares	25.44%	29.70%	13.30%	28.25%	-15.16%	21.72%	17.23%	27.88%	-1.93%	28.28%

Correlation

The correlation between GMOEX and VPMAX is 0.67, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.67
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.67
Correlation (All Time) Calculated using the full available price history since Nov 13, 2001	0.67

The correlation between GMOEX and VPMAX has been stable across timeframes, ranging from 0.63 to 0.67 - a consistent structural relationship.

Return for Risk

GMOEX vs. VPMAX — Risk / Return Rank

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

GMOEX

GMOEX Risk / Return Rank: 96
GMOEX Sharpe Ratio Rank: 98
GMOEX Sortino Ratio Rank: 96
GMOEX Omega Ratio Rank: 96
GMOEX Calmar Ratio Rank: 95
GMOEX Martin Ratio Rank: 94

VPMAX

VPMAX Risk / Return Rank: 94
VPMAX Sharpe Ratio Rank: 97
VPMAX Sortino Ratio Rank: 95
VPMAX Omega Ratio Rank: 91
VPMAX Calmar Ratio Rank: 93
VPMAX Martin Ratio Rank: 96

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.

GMOEX vs. VPMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Emerging Markets Fund (GMOEX) and Vanguard PRIMECAP Fund Admiral Shares (VPMAX). 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.

	GMOEX	VPMAX	Difference
Sharpe ratio: Return per unit of total volatility	3.85	3.76	+0.09
Sortino ratio: Return per unit of downside risk	5.44	5.05	+0.39
Omega ratio: Gain probability vs. loss probability	1.82	1.66	+0.17
Calmar ratio: Return relative to maximum drawdown	5.70	5.14	+0.56
Martin ratio: Return relative to average drawdown	21.52	23.68	-2.16
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMOEX vs. VPMAX - Sharpe Ratio Comparison

The current GMOEX Sharpe Ratio is 3.85, which is comparable to the VPMAX Sharpe Ratio of 3.76. The chart below compares the historical Sharpe Ratios of GMOEX and VPMAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GMOEX	VPMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.85	3.76	+0.09
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.47	0.91	-0.44
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	0.92	-0.34
Sharpe Ratio (All Time) Calculated using the full available price history	0.18	0.65	-0.47

Drawdowns

GMOEX vs. VPMAX - Drawdown Comparison

The maximum GMOEX drawdown since its inception was -76.43%, which is greater than VPMAX's maximum drawdown of -48.32%. Use the drawdown chart below to compare losses from any high point for GMOEX and VPMAX.

Drawdown Indicators

	GMOEX	VPMAX	Difference
Max Drawdown Largest peak-to-trough decline	-76.43%	-48.32%	-28.11%
Max Drawdown (1Y) Largest decline over 1 year	-13.38%	-11.72%	-1.66%
Max Drawdown (3Y) Largest decline over 3 years	-16.92%	-20.55%	+3.63%
Max Drawdown (5Y) Largest decline over 5 years	-43.50%	-25.21%	-18.29%
Max Drawdown (10Y) Largest decline over 10 years	-43.50%	-32.65%	-10.85%
Current Drawdown Current decline from peak	-1.18%	0.00%	-1.18%
Average Drawdown Average peak-to-trough decline	-37.44%	-6.58%	-30.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.54%	2.54%	+1.00%

Volatility

GMOEX vs. VPMAX - Volatility Comparison

GMO Emerging Markets Fund (GMOEX) has a higher volatility of 12.20% compared to Vanguard PRIMECAP Fund Admiral Shares (VPMAX) at 6.18%. This indicates that GMOEX's price experiences larger fluctuations and is considered to be riskier than VPMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMOEX	VPMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.20%	6.18%	+6.02%
Volatility (6M) Calculated over the trailing 6-month period	17.47%	12.85%	+4.62%
Volatility (1Y) Calculated over the trailing 1-year period	19.84%	16.02%	+3.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.99%	18.26%	-1.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.17%	19.19%	-2.02%

GMOEX vs. VPMAX - Expense Ratio Comparison

GMOEX has a 0.90% expense ratio, which is higher than VPMAX's 0.27% expense ratio.

Dividends

GMOEX vs. VPMAX - Dividend Comparison

GMOEX's dividend yield for the trailing twelve months is around 3.46%, less than VPMAX's 13.12% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMOEX GMO Emerging Markets Fund	3.46%	5.01%	3.79%	6.00%	8.08%	4.48%	3.71%	4.63%	3.36%	2.56%	2.21%	1.15%
VPMAX Vanguard PRIMECAP Fund Admiral Shares	13.12%	16.46%	6.71%	7.24%	9.94%	10.18%	9.82%	7.23%	8.43%	4.52%	5.13%	5.99%

Frequently Asked Questions

Can I hold both GMOEX and VPMAX in my portfolio?

GMOEX and VPMAX have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMOEX or VPMAX?

GMOEX has higher volatility (12.20%) compared to VPMAX (6.18%). In terms of maximum drawdown, GMOEX dropped -76.43% vs VPMAX's -48.32%.

Which has better risk-adjusted returns?

GMOEX currently has the higher Sharpe Ratio (3.85 vs 3.76), 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.