GMUEX vs. GMGEX

Last updated Jun 5, 2026

GMUEX (GMO U.S. Equity Fund) and GMGEX (GMO Global Equity Allocation Fund) are both mutual funds - GMUEX is a Large Cap Value Equities fund managed by GMO, while GMGEX is a Global Equities fund managed by GMO. Over the past 10 years, GMUEX returned 14.44%/yr vs 11.28%/yr for GMGEX. Their correlation of 0.87 suggests significant overlap in exposure. GMUEX charges 0.47%/yr vs 0.01%/yr for GMGEX.

Performance

GMUEX vs. GMGEX - Performance Comparison

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

Returns By Period

In the year-to-date period, GMUEX achieves a 16.08% return, which is significantly lower than GMGEX's 19.27% return. Over the past 10 years, GMUEX has outperformed GMGEX with an annualized return of 14.44%, while GMGEX has yielded a comparatively lower 11.28% annualized return.

GMUEX

• 1D: -0.71%
• 1M: 7.17%
• YTD: 16.08%
• 6M: 17.21%
• 1Y: 42.86%
• 3Y*: 24.61%
• 5Y*: 13.46%
• 10Y*: 14.44%

GMGEX

• 1D: -0.48%
• 1M: 4.86%
• YTD: 19.27%
• 6M: 21.08%
• 1Y: 41.55%
• 3Y*: 21.78%
• 5Y*: 9.85%
• 10Y*: 11.28%

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

GMUEX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMUEX GMO U.S. Equity Fund	16.08%	22.24%	20.97%	22.02%	-12.66%	24.28%	13.56%	28.62%	-9.77%	18.46%
GMGEX GMO Global Equity Allocation Fund	19.27%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between GMUEX and GMGEX is 0.89, 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	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Jan 3, 1997	0.87

The correlation between GMUEX and GMGEX has been stable across timeframes, ranging from 0.86 to 0.89 - a consistent structural relationship.

Return for Risk

GMUEX vs. GMGEX — Risk / Return Rank

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

GMUEX

GMUEX Risk / Return Rank: 90
GMUEX Sharpe Ratio Rank: 93
GMUEX Sortino Ratio Rank: 88
GMUEX Omega Ratio Rank: 83
GMUEX Calmar Ratio Rank: 91
GMUEX Martin Ratio Rank: 93

GMGEX

GMGEX Risk / Return Rank: 90
GMGEX Sharpe Ratio Rank: 94
GMGEX Sortino Ratio Rank: 91
GMGEX Omega Ratio Rank: 86
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 90

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. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Equity Fund (GMUEX) and GMO Global Equity Allocation Fund (GMGEX). 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	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	3.15	3.31	-0.17
Sortino ratio: Return per unit of downside risk	4.25	4.53	-0.28
Omega ratio: Gain probability vs. loss probability	1.55	1.60	-0.05
Calmar ratio: Return relative to maximum drawdown	4.66	4.54	+0.12
Martin ratio: Return relative to average drawdown	19.82	18.01	+1.81
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. GMGEX - Sharpe Ratio Comparison

The current GMUEX Sharpe Ratio is 3.15, which is comparable to the GMGEX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of GMUEX and GMGEX, 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

	GMUEX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.15	3.31	-0.17
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.67	+0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.74	0.70	+0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.25	+0.05

Drawdowns

GMUEX vs. GMGEX - Drawdown Comparison

The maximum GMUEX drawdown since its inception was -60.66%, roughly equal to the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for GMUEX and GMGEX.

Drawdown Indicators

	GMUEX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-60.66%	-58.47%	-2.19%
Max Drawdown (1Y) Largest decline over 1 year	-9.19%	-9.24%	+0.05%
Max Drawdown (3Y) Largest decline over 3 years	-20.85%	-17.12%	-3.73%
Max Drawdown (5Y) Largest decline over 5 years	-28.95%	-28.58%	-0.37%
Max Drawdown (10Y) Largest decline over 10 years	-33.90%	-34.98%	+1.08%
Current Drawdown Current decline from peak	-0.71%	-0.48%	-0.23%
Average Drawdown Average peak-to-trough decline	-17.25%	-16.75%	-0.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.16%	2.32%	-0.16%

Volatility

GMUEX vs. GMGEX - Volatility Comparison

GMO U.S. Equity Fund (GMUEX) and GMO Global Equity Allocation Fund (GMGEX) have volatilities of 3.92% and 4.01%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMUEX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.92%	4.01%	-0.09%
Volatility (6M) Calculated over the trailing 6-month period	10.47%	9.91%	+0.56%
Volatility (1Y) Calculated over the trailing 1-year period	13.62%	12.66%	+0.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.82%	14.81%	+5.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.49%	16.06%	+3.43%

GMUEX vs. GMGEX - Expense Ratio Comparison

GMUEX has a 0.47% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

GMUEX vs. GMGEX - Dividend Comparison

GMUEX's dividend yield for the trailing twelve months is around 10.07%, more than GMGEX's 3.93% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMGEX GMO Global Equity Allocation Fund	3.93%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%
GMUEX GMO U.S. Equity Fund	10.07%	11.68%	17.31%	12.10%	6.99%	14.17%	9.16%	12.24%	21.90%	11.22%	11.27%	12.88%

Frequently Asked Questions

Can I hold both GMUEX and GMGEX in my portfolio?

GMUEX and GMGEX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMUEX or GMGEX?

GMGEX has higher volatility (4.01%) compared to GMUEX (3.92%). In terms of maximum drawdown, GMUEX dropped -60.66% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.31 vs 3.15), 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.