GMWAX vs. GQEFX

Last updated Jun 3, 2026

GMWAX (GMO Global Asset Allocation Fund) and GQEFX (GMO Quality Fund Class IV) are both mutual funds - GMWAX is a Global Allocation fund managed by GMO, while GQEFX is a Large Cap Blend Equities fund actively managed by GMO. Over the past 5 years, GMWAX returned 6.50%/yr vs 13.43%/yr for GQEFX. Their correlation of 0.82 suggests significant overlap in exposure. GMWAX charges 0.00%/yr vs 0.47%/yr for GQEFX.

Performance

GMWAX vs. GQEFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Asset Allocation Fund (GMWAX) and GMO Quality Fund Class IV (GQEFX). 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 GQEFX's 6.09% 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%

GQEFX

• 1D: 0.00%
• 1M: 4.08%
• YTD: 6.09%
• 6M: 7.49%
• 1Y: 23.30%
• 3Y*: 17.83%
• 5Y*: 13.43%
• 10Y*: —

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

GMWAX vs. GQEFX - 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%	6.61%
GQEFX GMO Quality Fund Class IV	6.09%	19.64%	17.54%	28.95%	-15.30%	31.76%	18.39%	31.87%	0.54%	10.45%

Correlation

The correlation between GMWAX and GQEFX is 0.80, 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	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Jun 13, 2017	0.82

The correlation between GMWAX and GQEFX has been stable across timeframes, ranging from 0.77 to 0.82 - a consistent structural relationship.

Return for Risk

GMWAX vs. GQEFX — 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

GQEFX

GQEFX Risk / Return Rank: 37
GQEFX Sharpe Ratio Rank: 44
GQEFX Sortino Ratio Rank: 43
GQEFX Omega Ratio Rank: 40
GQEFX Calmar Ratio Rank: 25
GQEFX Martin Ratio Rank: 32

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. GQEFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and GMO Quality Fund Class IV (GQEFX). 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	GQEFX	Difference
Sharpe ratio Return per unit of total volatility	3.40	1.95	+1.45
Sortino ratio Return per unit of downside risk	4.80	2.76	+2.05
Omega ratio Gain probability vs. loss probability	1.65	1.34	+0.31
Calmar ratio Return relative to maximum drawdown	4.31	1.86	+2.45
Martin ratio Return relative to average drawdown	16.61	7.41	+9.20
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. GQEFX - Sharpe Ratio Comparison

The current GMWAX Sharpe Ratio is 3.40, which is higher than the GQEFX Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of GMWAX and GQEFX, 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	GQEFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.40	1.95	+1.45
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.65	0.85	-0.20
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	0.89	-0.57

Drawdowns

GMWAX vs. GQEFX - Drawdown Comparison

The maximum GMWAX drawdown since its inception was -41.69%, which is greater than GQEFX's maximum drawdown of -30.42%. Use the drawdown chart below to compare losses from any high point for GMWAX and GQEFX.

Drawdown Indicators

	GMWAX	GQEFX	Difference
Max Drawdown Largest peak-to-trough decline	-41.69%	-30.42%	-11.27%
Max Drawdown (1Y) Largest decline over 1 year	-6.87%	-12.74%	+5.87%
Max Drawdown (3Y) Largest decline over 3 years	-13.17%	-15.55%	+2.38%
Max Drawdown (5Y) Largest decline over 5 years	-22.47%	-24.22%	+1.75%
Max Drawdown (10Y) Largest decline over 10 years	-25.12%	—	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-11.23%	-4.17%	-7.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	3.20%	-1.42%

Volatility

GMWAX vs. GQEFX - Volatility Comparison

GMO Global Asset Allocation Fund (GMWAX) has a higher volatility of 3.05% compared to GMO Quality Fund Class IV (GQEFX) at 2.74%. This indicates that GMWAX's price experiences larger fluctuations and is considered to be riskier than GQEFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMWAX	GQEFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.05%	2.74%	+0.31%
Volatility (6M) Calculated over the trailing 6-month period	6.91%	9.48%	-2.57%
Volatility (1Y) Calculated over the trailing 1-year period	8.81%	12.24%	-3.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.01%	15.87%	-5.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.35%	17.76%	-7.41%

GMWAX vs. GQEFX - Expense Ratio Comparison

GMWAX has a 0.00% expense ratio, which is lower than GQEFX's 0.47% expense ratio.

Dividends

GMWAX vs. GQEFX - Dividend Comparison

GMWAX's dividend yield for the trailing twelve months is around 4.34%, less than GQEFX's 10.51% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
GQEFX GMO Quality Fund Class IV	10.51%	11.15%	3.70%	3.43%	11.84%	10.23%	13.62%	8.09%	21.69%	7.08%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GMWAX and GQEFX in my portfolio?

GMWAX and GQEFX have a correlation of 0.80, 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 GQEFX?

GMWAX has higher volatility (3.05%) compared to GQEFX (2.74%). In terms of maximum drawdown, GMWAX dropped -41.69% vs GQEFX's -30.42%.

Which has better risk-adjusted returns?

GMWAX currently has the higher Sharpe Ratio (3.40 vs 1.95), 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.