GMWAX vs. GAAVX
Compare and contrast key facts about GMO Global Asset Allocation Fund (GMWAX) and GMO Alternative Allocation Fund (GAAVX).
GMWAX is managed by GMO. It was launched on Oct 21, 1996. GAAVX is managed by GMO. It was launched on May 1, 2019.
Performance
GMWAX vs. GAAVX - Performance Comparison
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GMWAX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 3.33% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 10.32% |
GAAVX GMO Alternative Allocation Fund | 3.33% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Returns By Period
As of year-to-date, both investments have demonstrated similar returns, with GMWAX at 3.33% and GAAVX at 3.33%.
GMWAX
- 1D
- 1.68%
- 1M
- -4.34%
- YTD
- 3.33%
- 6M
- 8.68%
- 1Y
- 23.07%
- 3Y*
- 12.37%
- 5Y*
- 5.62%
- 10Y*
- 6.83%
GAAVX
- 1D
- 0.00%
- 1M
- -0.37%
- YTD
- 3.33%
- 6M
- 10.87%
- 1Y
- 13.78%
- 3Y*
- 5.94%
- 5Y*
- 3.63%
- 10Y*
- —
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GMWAX vs. GAAVX - Expense Ratio Comparison
GMWAX has a 0.00% expense ratio, which is lower than GAAVX's 0.61% expense ratio.
Return for Risk
GMWAX vs. GAAVX — Risk / Return Rank
GMWAX
GAAVX
GMWAX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) 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.
| GMWAX | GAAVX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.23 | 1.95 | +0.28 |
Sortino ratioReturn per unit of downside risk | 3.02 | 3.08 | -0.06 |
Omega ratioGain probability vs. loss probability | 1.45 | 1.38 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 2.90 | 3.79 | -0.89 |
Martin ratioReturn relative to average drawdown | 11.96 | 9.05 | +2.92 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GMWAX | GAAVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.23 | 1.95 | +0.28 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.57 | 0.63 | -0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.30 | 0.47 | -0.18 |
Correlation
The correlation between GMWAX and GAAVX is 0.52, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
GMWAX vs. GAAVX - Dividend Comparison
GMWAX's dividend yield for the trailing twelve months is around 4.72%, less than GAAVX's 8.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 4.72% | 4.88% | 0.14% | 5.47% | 3.78% | 6.16% | 4.00% | 4.00% | 3.77% | 2.50% | 2.25% | 3.13% |
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
GMWAX vs. GAAVX - Drawdown Comparison
The maximum GMWAX drawdown since its inception was -41.69%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GMWAX and GAAVX.
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Drawdown Indicators
| GMWAX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.69% | -9.59% | -32.10% |
Max Drawdown (1Y)Largest decline over 1 year | -8.00% | -3.09% | -4.91% |
Max Drawdown (5Y)Largest decline over 5 years | -22.47% | -9.59% | -12.88% |
Max Drawdown (10Y)Largest decline over 10 years | -25.12% | — | — |
Current DrawdownCurrent decline from peak | -5.09% | -1.20% | -3.89% |
Average DrawdownAverage peak-to-trough decline | -11.29% | -3.11% | -8.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.94% | 1.54% | +0.40% |
Volatility
GMWAX vs. GAAVX - Volatility Comparison
GMO Global Asset Allocation Fund (GMWAX) has a higher volatility of 4.25% compared to GMO Alternative Allocation Fund (GAAVX) at 1.85%. This indicates that GMWAX'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.
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Volatility by Period
| GMWAX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.25% | 1.85% | +2.40% |
Volatility (6M)Calculated over the trailing 6-month period | 6.70% | 4.81% | +1.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.52% | 6.82% | +3.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.96% | 5.81% | +4.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.30% | 5.87% | +4.43% |