GMWAX vs. GMCDX
Compare and contrast key facts about GMO Global Asset Allocation Fund (GMWAX) and GMO Emerging Country Debt Fund (GMCDX).
GMWAX is managed by GMO. It was launched on Oct 21, 1996. GMCDX is managed by GMO. It was launched on Apr 18, 1994.
Performance
GMWAX vs. GMCDX - Performance Comparison
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GMWAX vs. GMCDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 3.33% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 17.70% | -7.21% | 15.73% |
GMCDX GMO Emerging Country Debt Fund | 2.31% | 22.34% | 13.39% | 17.63% | -16.30% | 6.56% | 7.25% | 14.28% | -5.89% | 12.49% |
Returns By Period
In the year-to-date period, GMWAX achieves a 3.33% return, which is significantly higher than GMCDX's 2.31% return. Over the past 10 years, GMWAX has underperformed GMCDX with an annualized return of 6.83%, while GMCDX has yielded a comparatively higher 7.62% annualized return.
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%
GMCDX
- 1D
- 0.30%
- 1M
- -2.54%
- YTD
- 2.31%
- 6M
- 8.44%
- 1Y
- 20.37%
- 3Y*
- 17.91%
- 5Y*
- 9.25%
- 10Y*
- 7.62%
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GMWAX vs. GMCDX - Expense Ratio Comparison
GMWAX has a 0.00% expense ratio, which is lower than GMCDX's 0.53% expense ratio.
Return for Risk
GMWAX vs. GMCDX — Risk / Return Rank
GMWAX
GMCDX
GMWAX vs. GMCDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and GMO Emerging Country Debt Fund (GMCDX). 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 | GMCDX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.23 | 3.12 | -0.89 |
Sortino ratioReturn per unit of downside risk | 3.02 | 4.54 | -1.52 |
Omega ratioGain probability vs. loss probability | 1.45 | 1.76 | -0.31 |
Calmar ratioReturn relative to maximum drawdown | 2.90 | 3.55 | -0.65 |
Martin ratioReturn relative to average drawdown | 11.96 | 17.85 | -5.89 |
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 | GMCDX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.23 | 3.12 | -0.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.57 | 0.83 | -0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.82 | -0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.30 | 0.30 | -0.01 |
Correlation
The correlation between GMWAX and GMCDX is 0.43, 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. GMCDX - Dividend Comparison
GMWAX's dividend yield for the trailing twelve months is around 4.72%, less than GMCDX's 6.13% 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% |
GMCDX GMO Emerging Country Debt Fund | 6.13% | 6.27% | 6.88% | 10.26% | 13.73% | 17.75% | 9.66% | 6.60% | 7.76% | 7.06% | 6.00% | 2.50% |
Drawdowns
GMWAX vs. GMCDX - Drawdown Comparison
The maximum GMWAX drawdown since its inception was -41.69%, smaller than the maximum GMCDX drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for GMWAX and GMCDX.
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Drawdown Indicators
| GMWAX | GMCDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.69% | -68.24% | +26.55% |
Max Drawdown (1Y)Largest decline over 1 year | -8.00% | -5.69% | -2.31% |
Max Drawdown (5Y)Largest decline over 5 years | -22.47% | -26.02% | +3.55% |
Max Drawdown (10Y)Largest decline over 10 years | -25.12% | -26.02% | +0.90% |
Current DrawdownCurrent decline from peak | -5.09% | -3.56% | -1.53% |
Average DrawdownAverage peak-to-trough decline | -11.29% | -17.75% | +6.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.94% | 1.14% | +0.80% |
Volatility
GMWAX vs. GMCDX - Volatility Comparison
GMO Global Asset Allocation Fund (GMWAX) has a higher volatility of 4.25% compared to GMO Emerging Country Debt Fund (GMCDX) at 2.27%. This indicates that GMWAX's price experiences larger fluctuations and is considered to be riskier than GMCDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMWAX | GMCDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.25% | 2.27% | +1.98% |
Volatility (6M)Calculated over the trailing 6-month period | 6.70% | 3.92% | +2.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.52% | 6.72% | +3.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.96% | 11.16% | -1.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.30% | 9.31% | +0.99% |