GMOIX vs. GAAVX

Last updated Jun 5, 2026

GMOIX (GMO International Equity Fund) and GAAVX (GMO Alternative Allocation Fund) are both mutual funds - GMOIX is a Foreign Large Cap Equities fund managed by GMO, while GAAVX is a Multistrategy fund managed by GMO. Over the past 5 years, GMOIX returned 14.64%/yr vs 2.65%/yr for GAAVX. At a 0.44 correlation, their price movements are largely independent. GMOIX charges 0.66%/yr vs 0.61%/yr for GAAVX.

Performance

GMOIX vs. GAAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Equity Fund (GMOIX) and GMO Alternative Allocation Fund (GAAVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMOIX achieves a 19.49% return, which is significantly higher than GAAVX's 2.57% return.

GMOIX

• 1D: -0.39%
• 1M: 4.82%
• YTD: 19.49%
• 6M: 21.78%
• 1Y: 42.69%
• 3Y*: 28.96%
• 5Y*: 14.64%
• 10Y*: 12.19%

GAAVX

• 1D: 1.29%
• 1M: 0.91%
• YTD: 2.57%
• 6M: 4.81%
• 1Y: 15.55%
• 3Y*: 6.13%
• 5Y*: 2.65%
• 10Y*: —

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

GMOIX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GMOIX GMO International Equity Fund	19.49%	43.94%	11.54%	20.51%	-10.38%	12.11%	7.47%	13.84%
GAAVX GMO Alternative Allocation Fund	2.57%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%

Correlation

The correlation between GMOIX and GAAVX is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.22
Correlation (3Y) Calculated over the trailing 3-year period	0.34
Correlation (5Y) Calculated over the trailing 5-year period	0.39
Correlation (All Time) Calculated using the full available price history since May 10, 2019	0.44

Over the past year, the correlation between GMOIX and GAAVX has dropped to 0.22 - well below their long-term average of 0.44, suggesting their price drivers have been diverging.

Return for Risk

GMOIX vs. GAAVX — Risk / Return Rank

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

GMOIX

GMOIX Risk / Return Rank: 77
GMOIX Sharpe Ratio Rank: 79
GMOIX Sortino Ratio Rank: 74
GMOIX Omega Ratio Rank: 72
GMOIX Calmar Ratio Rank: 81
GMOIX Martin Ratio Rank: 80

GAAVX

GAAVX Risk / Return Rank: 73
GAAVX Sharpe Ratio Rank: 64
GAAVX Sortino Ratio Rank: 81
GAAVX Omega Ratio Rank: 66
GAAVX Calmar Ratio Rank: 90
GAAVX Martin Ratio Rank: 66

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.

GMOIX vs. GAAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO International Equity Fund (GMOIX) and GMO Alternative Allocation Fund (GAAVX). 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.

	GMOIX	GAAVX	Difference
Sharpe ratio: Return per unit of total volatility	2.60	2.34	+0.27
Sortino ratio: Return per unit of downside risk	3.62	3.86	-0.24
Omega ratio: Gain probability vs. loss probability	1.48	1.45	+0.03
Calmar ratio: Return relative to maximum drawdown	3.72	4.57	-0.85
Martin ratio: Return relative to average drawdown	14.79	12.78	+2.01
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMOIX vs. GAAVX - Sharpe Ratio Comparison

The current GMOIX Sharpe Ratio is 2.60, which is comparable to the GAAVX Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of GMOIX and GAAVX, 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

	GMOIX	GAAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.60	2.34	+0.27
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.91	0.45	+0.46
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.72	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.44	-0.09

Drawdowns

GMOIX vs. GAAVX - Drawdown Comparison

The maximum GMOIX drawdown since its inception was -59.00%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GMOIX and GAAVX.

Drawdown Indicators

	GMOIX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-59.00%	-9.59%	-49.41%
Max Drawdown (1Y) Largest decline over 1 year	-11.67%	-3.39%	-8.28%
Max Drawdown (3Y) Largest decline over 3 years	-13.41%	-7.73%	-5.68%
Max Drawdown (5Y) Largest decline over 5 years	-28.69%	-9.59%	-19.10%
Max Drawdown (10Y) Largest decline over 10 years	-40.14%	—	—
Current Drawdown Current decline from peak	-0.39%	-1.93%	+1.54%
Average Drawdown Average peak-to-trough decline	-12.91%	-3.08%	-9.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	1.21%	+1.72%

Volatility

GMOIX vs. GAAVX - Volatility Comparison

GMO International Equity Fund (GMOIX) has a higher volatility of 5.22% compared to GMO Alternative Allocation Fund (GAAVX) at 2.32%. This indicates that GMOIX's price experiences larger fluctuations and is considered to be riskier than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMOIX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.22%	2.32%	+2.90%
Volatility (6M) Calculated over the trailing 6-month period	13.25%	5.08%	+8.17%
Volatility (1Y) Calculated over the trailing 1-year period	16.69%	6.63%	+10.06%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.18%	5.91%	+10.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.88%	5.92%	+10.96%

GMOIX vs. GAAVX - Expense Ratio Comparison

GMOIX has a 0.66% expense ratio, which is higher than GAAVX's 0.61% expense ratio.

Dividends

GMOIX vs. GAAVX - Dividend Comparison

GMOIX's dividend yield for the trailing twelve months is around 4.70%, less than GAAVX's 8.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAAVX GMO Alternative Allocation Fund	8.56%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%
GMOIX GMO International Equity Fund	4.70%	5.62%	2.77%	7.54%	4.32%	6.40%	4.56%	3.49%	3.74%	3.11%	4.00%	3.26%

Frequently Asked Questions

Can I hold both GMOIX and GAAVX in my portfolio?

GMOIX and GAAVX have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMOIX or GAAVX?

GMOIX has higher volatility (5.22%) compared to GAAVX (2.32%). In terms of maximum drawdown, GMOIX dropped -59.00% vs GAAVX's -9.59%.

Which has better risk-adjusted returns?

GMOIX currently has the higher Sharpe Ratio (2.60 vs 2.34), 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.