GMWAX vs. SPGP

Last updated Jun 3, 2026

GMWAX (GMO Global Asset Allocation Fund) and SPGP (Invesco S&P 500 GARP ETF) are both funds - GMWAX is a Global Allocation fund managed by GMO, while SPGP is a S&P 500 fund tracking the S&P 500 GARP Index. Over the past 10 years, GMWAX returned 7.57%/yr vs 14.86%/yr for SPGP. A 0.75 correlation means they provide meaningful diversification when combined. GMWAX charges 0.00%/yr vs 0.36%/yr for SPGP.

Performance

GMWAX vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Asset Allocation Fund (GMWAX) and Invesco S&P 500 GARP ETF (SPGP). 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 SPGP's 6.72% return. Over the past 10 years, GMWAX has underperformed SPGP with an annualized return of 7.57%, while SPGP has yielded a comparatively higher 14.86% 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%

SPGP

• 1D: 0.33%
• 1M: 3.84%
• YTD: 6.72%
• 6M: 8.10%
• 1Y: 19.28%
• 3Y*: 13.11%
• 5Y*: 8.19%
• 10Y*: 14.86%

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

GMWAX vs. SPGP - 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%
SPGP Invesco S&P 500 GARP ETF	6.72%	9.80%	8.48%	20.29%	-13.83%	35.72%	15.92%	39.16%	1.68%	36.24%

Correlation

The correlation between GMWAX and SPGP is 0.75, 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	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jun 17, 2011	0.75

The correlation between GMWAX and SPGP has been stable across timeframes, ranging from 0.75 to 0.79 - a consistent structural relationship.

Return for Risk

GMWAX vs. SPGP — 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

SPGP

SPGP Risk / Return Rank: 37
SPGP Sharpe Ratio Rank: 35
SPGP Sortino Ratio Rank: 36
SPGP Omega Ratio Rank: 34
SPGP Calmar Ratio Rank: 37
SPGP Martin Ratio Rank: 44

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. SPGP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and Invesco S&P 500 GARP ETF (SPGP). 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	SPGP	Difference
Sharpe ratio Return per unit of total volatility	3.40	1.28	+2.12
Sortino ratio Return per unit of downside risk	4.80	1.92	+2.88
Omega ratio Gain probability vs. loss probability	1.65	1.23	+0.43
Calmar ratio Return relative to maximum drawdown	4.31	1.85	+2.46
Martin ratio Return relative to average drawdown	16.61	7.11	+9.51
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. SPGP - Sharpe Ratio Comparison

The current GMWAX Sharpe Ratio is 3.40, which is higher than the SPGP Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of GMWAX and SPGP, 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	SPGP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.40	1.28	+2.12
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	0.70	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.74	-0.42

Drawdowns

GMWAX vs. SPGP - Drawdown Comparison

The maximum GMWAX drawdown since its inception was -41.69%, roughly equal to the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for GMWAX and SPGP.

Drawdown Indicators

	GMWAX	SPGP	Difference
Max Drawdown Largest peak-to-trough decline	-41.69%	-42.08%	+0.39%
Max Drawdown (1Y) Largest decline over 1 year	-6.87%	-11.15%	+4.28%
Max Drawdown (3Y) Largest decline over 3 years	-13.17%	-22.87%	+9.70%
Max Drawdown (5Y) Largest decline over 5 years	-22.47%	-22.87%	+0.40%
Max Drawdown (10Y) Largest decline over 10 years	-25.12%	-42.08%	+16.96%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-11.23%	-4.36%	-6.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	2.90%	-1.12%

Volatility

GMWAX vs. SPGP - Volatility Comparison

The current volatility for GMO Global Asset Allocation Fund (GMWAX) is 3.05%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 3.76%. This indicates that GMWAX experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMWAX	SPGP	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.05%	3.76%	-0.71%
Volatility (6M) Calculated over the trailing 6-month period	6.91%	11.56%	-4.65%
Volatility (1Y) Calculated over the trailing 1-year period	8.81%	15.15%	-6.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.01%	18.51%	-8.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.35%	21.20%	-10.85%

GMWAX vs. SPGP - Expense Ratio Comparison

GMWAX has a 0.00% expense ratio, which is lower than SPGP's 0.36% expense ratio.

Dividends

GMWAX vs. SPGP - Dividend Comparison

GMWAX's dividend yield for the trailing twelve months is around 4.34%, more than SPGP's 0.87% 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%
SPGP Invesco S&P 500 GARP ETF	0.87%	1.04%	1.38%	1.24%	1.22%	0.69%	1.10%	0.86%	0.95%	0.68%	0.89%	1.12%

Frequently Asked Questions

Can I hold both GMWAX and SPGP in my portfolio?

GMWAX and SPGP have a correlation of 0.75, 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 SPGP?

SPGP has higher volatility (3.76%) compared to GMWAX (3.05%). In terms of maximum drawdown, GMWAX dropped -41.69% vs SPGP's -42.08%.

Which has better risk-adjusted returns?

GMWAX currently has the higher Sharpe Ratio (3.40 vs 1.28), 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.