GMWAX vs. GCAVX

Last updated Jun 3, 2026

GMWAX (GMO Global Asset Allocation Fund) and GCAVX (GMO U.S. Small Cap Value Fund) are both mutual funds - GMWAX is a Global Allocation fund managed by GMO, while GCAVX is a Small Cap Value Equities fund managed by GMO. Over the past 5 years, GMWAX returned 6.50%/yr vs 9.67%/yr for GCAVX. A 0.80 correlation means they provide meaningful diversification when combined. GMWAX charges 0.00%/yr vs 0.42%/yr for GCAVX.

Performance

GMWAX vs. GCAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Asset Allocation Fund (GMWAX) and GMO U.S. Small Cap Value Fund (GCAVX). 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 lower than GCAVX's 14.52% 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%

GCAVX

• 1D: 0.11%
• 1M: 0.60%
• YTD: 14.52%
• 6M: 16.51%
• 1Y: 39.77%
• 3Y*: 20.36%
• 5Y*: 9.67%
• 10Y*: —

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

GMWAX vs. GCAVX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GMWAX GMO Global Asset Allocation Fund	12.22%	23.40%	0.23%	16.17%	-12.71%	7.03%	6.15%	5.93%
GCAVX GMO U.S. Small Cap Value Fund	14.52%	15.27%	11.16%	22.72%	-14.22%	35.66%	2.38%	7.27%

Correlation

The correlation between GMWAX and GCAVX is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.79
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Jul 8, 2019	0.80

The correlation between GMWAX and GCAVX has been stable across timeframes, ranging from 0.78 to 0.80 - a consistent structural relationship.

Return for Risk

GMWAX vs. GCAVX — 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

GCAVX

GCAVX Risk / Return Rank: 58
GCAVX Sharpe Ratio Rank: 51
GCAVX Sortino Ratio Rank: 52
GCAVX Omega Ratio Rank: 44
GCAVX Calmar Ratio Rank: 80
GCAVX Martin Ratio Rank: 65

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. GCAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and GMO U.S. Small Cap Value Fund (GCAVX). 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	GCAVX	Difference
Sharpe ratio Return per unit of total volatility	3.40	2.11	+1.29
Sortino ratio Return per unit of downside risk	4.80	3.02	+1.78
Omega ratio Gain probability vs. loss probability	1.65	1.36	+0.29
Calmar ratio Return relative to maximum drawdown	4.31	3.64	+0.67
Martin ratio Return relative to average drawdown	16.61	12.78	+3.83
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. GCAVX - Sharpe Ratio Comparison

The current GMWAX Sharpe Ratio is 3.40, which is higher than the GCAVX Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of GMWAX and GCAVX, 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	GCAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.40	2.11	+1.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.65	0.44	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.48	-0.16

Drawdowns

GMWAX vs. GCAVX - Drawdown Comparison

The maximum GMWAX drawdown since its inception was -41.69%, smaller than the maximum GCAVX drawdown of -48.22%. Use the drawdown chart below to compare losses from any high point for GMWAX and GCAVX.

Drawdown Indicators

	GMWAX	GCAVX	Difference
Max Drawdown Largest peak-to-trough decline	-41.69%	-48.22%	+6.53%
Max Drawdown (1Y) Largest decline over 1 year	-6.87%	-10.64%	+3.77%
Max Drawdown (3Y) Largest decline over 3 years	-13.17%	-26.15%	+12.98%
Max Drawdown (5Y) Largest decline over 5 years	-22.47%	-26.15%	+3.68%
Max Drawdown (10Y) Largest decline over 10 years	-25.12%	—	—
Current Drawdown Current decline from peak	0.00%	-2.05%	+2.05%
Average Drawdown Average peak-to-trough decline	-11.23%	-8.56%	-2.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	3.03%	-1.25%

Volatility

GMWAX vs. GCAVX - Volatility Comparison

The current volatility for GMO Global Asset Allocation Fund (GMWAX) is 3.05%, while GMO U.S. Small Cap Value Fund (GCAVX) has a volatility of 5.16%. This indicates that GMWAX experiences smaller price fluctuations and is considered to be less risky than GCAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMWAX	GCAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.05%	5.16%	-2.11%
Volatility (6M) Calculated over the trailing 6-month period	6.91%	12.56%	-5.65%
Volatility (1Y) Calculated over the trailing 1-year period	8.81%	18.67%	-9.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.01%	21.90%	-11.89%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.35%	26.64%	-16.29%

GMWAX vs. GCAVX - Expense Ratio Comparison

GMWAX has a 0.00% expense ratio, which is lower than GCAVX's 0.42% expense ratio.

Dividends

GMWAX vs. GCAVX - Dividend Comparison

GMWAX's dividend yield for the trailing twelve months is around 4.34%, more than GCAVX's 2.57% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GCAVX GMO U.S. Small Cap Value Fund	2.57%	2.94%	1.68%	1.85%	10.92%	41.19%	1.54%	0.83%	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 GCAVX in my portfolio?

GMWAX and GCAVX have a correlation of 0.79, 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 GCAVX?

GCAVX has higher volatility (5.16%) compared to GMWAX (3.05%). In terms of maximum drawdown, GMWAX dropped -41.69% vs GCAVX's -48.22%.

Which has better risk-adjusted returns?

GMWAX currently has the higher Sharpe Ratio (3.40 vs 2.11), 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.