GMWAX vs. BRK-B

Last updated Jun 3, 2026

GMWAX (GMO Global Asset Allocation Fund) is Global Allocation fund managed by GMO, while BRK-B (Berkshire Hathaway Inc.) is a stock. Over the past 10 years, GMWAX returned 7.57%/yr vs 12.82%/yr for BRK-B. At a 0.46 correlation, their price movements are largely independent.

Performance

GMWAX vs. BRK-B - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Asset Allocation Fund (GMWAX) and Berkshire Hathaway Inc. (BRK-B). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMWAX achieves a 12.22% return, which is significantly higher than BRK-B's -6.20% return. Over the past 10 years, GMWAX has underperformed BRK-B with an annualized return of 7.57%, while BRK-B has yielded a comparatively higher 12.82% annualized return.

GMWAX

• 1D: 0.26%
• 1M: 4.15%
• YTD: 12.22%
• 6M: 14.10%
• 1Y: 29.29%
• 3Y*: 15.27%
• 5Y*: 6.50%
• 10Y*: 7.57%

BRK-B

• 1D: 0.26%
• 1M: -0.32%
• YTD: -6.20%
• 6M: -6.94%
• 1Y: -6.23%
• 3Y*: 12.69%
• 5Y*: 10.06%
• 10Y*: 12.82%

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

GMWAX vs. BRK-B - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMWAX GMO Global Asset Allocation Fund	12.22%	23.40%	0.23%	16.17%	-12.71%	7.03%	6.15%	17.70%	-7.21%	15.73%
BRK-B Berkshire Hathaway Inc.	-6.20%	10.89%	27.09%	15.46%	3.31%	28.95%	2.37%	10.93%	3.01%	21.62%

Correlation

The correlation between GMWAX and BRK-B is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.23
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.51
Correlation (10Y) Calculated over the trailing 10-year period	0.56
Correlation (All Time) Calculated using the full available price history since Jan 3, 1997	0.46

Over the past year, the correlation between GMWAX and BRK-B has dropped to 0.23 - well below their long-term average of 0.46, suggesting their price drivers have been diverging.

Return for Risk

GMWAX vs. BRK-B — Risk / Return Rank

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

GMWAX

GMWAX Risk / Return Rank: 91
GMWAX Sharpe Ratio Rank: 96
GMWAX Sortino Ratio Rank: 93
GMWAX Omega Ratio Rank: 90
GMWAX Calmar Ratio Rank: 88
GMWAX Martin Ratio Rank: 86

BRK-B

BRK-B Risk / Return Rank: 17
BRK-B Sharpe Ratio Rank: 21
BRK-B Sortino Ratio Rank: 19
BRK-B Omega Ratio Rank: 19
BRK-B Calmar Ratio Rank: 15
BRK-B Martin Ratio Rank: 8

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.

GMWAX vs. BRK-B - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and Berkshire Hathaway Inc. (BRK-B). 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.

	GMWAX	BRK-B	Difference
Sharpe ratio Return per unit of total volatility	3.40	-0.44	+3.84
Sortino ratio Return per unit of downside risk	4.80	-0.51	+5.31
Omega ratio Gain probability vs. loss probability	1.65	0.94	+0.71
Calmar ratio Return relative to maximum drawdown	4.31	-0.68	+4.99
Martin ratio Return relative to average drawdown	16.61	-1.36	+17.97
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMWAX vs. BRK-B - Sharpe Ratio Comparison

The current GMWAX Sharpe Ratio is 3.40, which is higher than the BRK-B Sharpe Ratio of -0.44. The chart below compares the historical Sharpe Ratios of GMWAX and BRK-B, 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

	GMWAX	BRK-B	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.40	-0.44	+3.84
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.65	0.59	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	0.66	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.48	-0.16

Drawdowns

GMWAX vs. BRK-B - Drawdown Comparison

The maximum GMWAX drawdown since its inception was -41.69%, smaller than the maximum BRK-B drawdown of -53.86%. Use the drawdown chart below to compare losses from any high point for GMWAX and BRK-B.

Drawdown Indicators

	GMWAX	BRK-B	Difference
Max Drawdown Largest peak-to-trough decline	-41.69%	-53.86%	+12.17%
Max Drawdown (1Y) Largest decline over 1 year	-6.87%	-9.42%	+2.55%
Max Drawdown (3Y) Largest decline over 3 years	-13.17%	-14.95%	+1.78%
Max Drawdown (5Y) Largest decline over 5 years	-22.47%	-26.58%	+4.11%
Max Drawdown (10Y) Largest decline over 10 years	-25.12%	-29.57%	+4.45%
Current Drawdown Current decline from peak	0.00%	-12.65%	+12.65%
Average Drawdown Average peak-to-trough decline	-11.23%	-11.07%	-0.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	4.73%	-2.95%

Volatility

GMWAX vs. BRK-B - Volatility Comparison

The current volatility for GMO Global Asset Allocation Fund (GMWAX) is 3.05%, while Berkshire Hathaway Inc. (BRK-B) has a volatility of 3.79%. This indicates that GMWAX experiences smaller price fluctuations and is considered to be less risky than BRK-B based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMWAX	BRK-B	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.05%	3.79%	-0.74%
Volatility (6M) Calculated over the trailing 6-month period	6.91%	10.68%	-3.77%
Volatility (1Y) Calculated over the trailing 1-year period	8.81%	14.31%	-5.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.01%	17.11%	-7.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.35%	19.43%	-9.08%

Dividends

GMWAX vs. BRK-B - Dividend Comparison

GMWAX's dividend yield for the trailing twelve months is around 4.34%, while BRK-B has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BRK-B Berkshire Hathaway Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
GMWAX GMO Global Asset Allocation Fund	4.34%	4.88%	0.14%	5.47%	3.78%	6.16%	4.00%	4.00%	3.77%	2.50%	2.25%	3.13%

Frequently Asked Questions

Can I hold both GMWAX and BRK-B in my portfolio?

GMWAX and BRK-B have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMWAX or BRK-B?

BRK-B has higher volatility (3.79%) compared to GMWAX (3.05%). In terms of maximum drawdown, GMWAX dropped -41.69% vs BRK-B's -53.86%.

Which has better risk-adjusted returns?

GMWAX currently has the higher Sharpe Ratio (3.40 vs -0.44), 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.