GMUEX vs. GAAVX

Last updated Apr 2, 2026

Compare and contrast key facts about GMO U.S. Equity Fund (GMUEX) and GMO Alternative Allocation Fund (GAAVX).

GMUEX is managed by GMO. It was launched on Sep 18, 1985. GAAVX is managed by GMO. It was launched on May 1, 2019.

Performance

GMUEX vs. GAAVX - Performance Comparison

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

GMUEX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GMUEX GMO U.S. Equity Fund	-2.06%	22.24%	20.97%	22.02%	-12.66%	24.28%	13.56%	13.15%
GAAVX GMO Alternative Allocation Fund	3.33%	15.19%	-5.70%	6.07%	3.63%	-5.12%	-0.28%	3.49%

Returns By Period

In the year-to-date period, GMUEX achieves a -2.06% return, which is significantly lower than GAAVX's 3.33% return.

GMUEX

• 1D: 3.04%
• 1M: -4.55%
• YTD: -2.06%
• 6M: 3.90%
• 1Y: 26.43%
• 3Y*: 18.36%
• 5Y*: 10.84%
• 10Y*: 12.58%

GAAVX

• 1D: 0.00%
• 1M: -0.37%
• YTD: 3.33%
• 6M: 10.87%
• 1Y: 13.78%
• 3Y*: 5.94%
• 5Y*: 3.63%
• 10Y*: —

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

GMUEX vs. GAAVX - Expense Ratio Comparison

GMUEX has a 0.47% expense ratio, which is lower than GAAVX's 0.61% expense ratio.

GAAVX

GMO Alternative Allocation Fund

GMUEX

GMO U.S. Equity Fund

Return for Risk

GMUEX vs. GAAVX — Risk / Return Rank

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

GMUEX

GMUEX Risk / Return Rank: 78
GMUEX Sharpe Ratio Rank: 73
GMUEX Sortino Ratio Rank: 75
GMUEX Omega Ratio Rank: 74
GMUEX Calmar Ratio Rank: 81
GMUEX Martin Ratio Rank: 86

GAAVX

GAAVX Risk / Return Rank: 90
GAAVX Sharpe Ratio Rank: 90
GAAVX Sortino Ratio Rank: 94
GAAVX Omega Ratio Rank: 86
GAAVX Calmar Ratio Rank: 96
GAAVX Martin Ratio Rank: 83

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.

GMUEX vs. GAAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Equity Fund (GMUEX) 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.

	GMUEX	GAAVX	Difference
Sharpe ratio Return per unit of total volatility	1.39	1.95	-0.56
Sortino ratio Return per unit of downside risk	2.01	3.08	-1.07
Omega ratio Gain probability vs. loss probability	1.30	1.38	-0.07
Calmar ratio Return relative to maximum drawdown	2.15	3.79	-1.64
Martin ratio Return relative to average drawdown	9.73	9.05	+0.69
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMUEX vs. GAAVX - Sharpe Ratio Comparison

The current GMUEX Sharpe Ratio is 1.39, which is comparable to the GAAVX Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of GMUEX and GAAVX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	GMUEX	GAAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.39	1.95	-0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.63	-0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.65	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.27	0.47	-0.20

Correlation

The correlation between GMUEX and GAAVX is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

GMUEX vs. GAAVX - Dividend Comparison

GMUEX's dividend yield for the trailing twelve months is around 11.93%, more than GAAVX's 8.49% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMUEX GMO U.S. Equity Fund	11.93%	11.68%	17.31%	12.10%	6.99%	14.17%	9.16%	12.24%	21.90%	11.22%	11.27%	12.88%
GAAVX GMO Alternative Allocation Fund	8.49%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%	0.00%	0.00%	0.00%	0.00%

Drawdowns

GMUEX vs. GAAVX - Drawdown Comparison

The maximum GMUEX drawdown since its inception was -60.66%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GMUEX and GAAVX.

Drawdown Indicators

	GMUEX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-60.66%	-9.59%	-51.07%
Max Drawdown (1Y) Largest decline over 1 year	-12.92%	-3.09%	-9.83%
Max Drawdown (5Y) Largest decline over 5 years	-28.95%	-9.59%	-19.36%
Max Drawdown (10Y) Largest decline over 10 years	-33.90%	—	—
Current Drawdown Current decline from peak	-6.43%	-1.20%	-5.23%
Average Drawdown Average peak-to-trough decline	-17.33%	-3.11%	-14.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.85%	1.54%	+1.31%

Volatility

GMUEX vs. GAAVX - Volatility Comparison

GMO U.S. Equity Fund (GMUEX) has a higher volatility of 5.69% compared to GMO Alternative Allocation Fund (GAAVX) at 1.85%. This indicates that GMUEX'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

	GMUEX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.69%	1.85%	+3.84%
Volatility (6M) Calculated over the trailing 6-month period	10.89%	4.81%	+6.08%
Volatility (1Y) Calculated over the trailing 1-year period	19.41%	6.82%	+12.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.80%	5.81%	+13.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.45%	5.87%	+13.58%