GTMIX vs. GAAVX
Compare and contrast key facts about GMO Tax-Managed International Equities Fund (GTMIX) and GMO Alternative Allocation Fund (GAAVX).
GTMIX is managed by GMO. It was launched on Jul 28, 1998. GAAVX is managed by GMO. It was launched on May 1, 2019.
Performance
GTMIX vs. GAAVX - Performance Comparison
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GTMIX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 8.42% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 13.27% |
GAAVX GMO Alternative Allocation Fund | 3.33% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Returns By Period
In the year-to-date period, GTMIX achieves a 8.42% return, which is significantly higher than GAAVX's 3.33% return.
GTMIX
- 1D
- 2.48%
- 1M
- -3.58%
- YTD
- 8.42%
- 6M
- 17.91%
- 1Y
- 41.17%
- 3Y*
- 20.26%
- 5Y*
- 11.29%
- 10Y*
- 9.87%
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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GTMIX vs. GAAVX - Expense Ratio Comparison
GTMIX has a 0.68% expense ratio, which is higher than GAAVX's 0.61% expense ratio.
Return for Risk
GTMIX vs. GAAVX — Risk / Return Rank
GTMIX
GAAVX
GTMIX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Tax-Managed International Equities Fund (GTMIX) 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.
| GTMIX | GAAVX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.67 | 1.95 | +0.71 |
Sortino ratioReturn per unit of downside risk | 3.40 | 3.08 | +0.32 |
Omega ratioGain probability vs. loss probability | 1.52 | 1.38 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 3.54 | 3.79 | -0.25 |
Martin ratioReturn relative to average drawdown | 16.76 | 9.05 | +7.71 |
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
| GTMIX | GAAVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.67 | 1.95 | +0.71 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.63 | +0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.62 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.47 | -0.08 |
Correlation
The correlation between GTMIX and GAAVX is 0.49, 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
GTMIX vs. GAAVX - Dividend Comparison
GTMIX's dividend yield for the trailing twelve months is around 20.69%, more than GAAVX's 8.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
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
GTMIX vs. GAAVX - Drawdown Comparison
The maximum GTMIX drawdown since its inception was -58.31%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GTMIX and GAAVX.
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Drawdown Indicators
| GTMIX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.31% | -9.59% | -48.72% |
Max Drawdown (1Y)Largest decline over 1 year | -11.24% | -3.09% | -8.15% |
Max Drawdown (5Y)Largest decline over 5 years | -28.81% | -9.59% | -19.22% |
Max Drawdown (10Y)Largest decline over 10 years | -40.32% | — | — |
Current DrawdownCurrent decline from peak | -4.51% | -1.20% | -3.31% |
Average DrawdownAverage peak-to-trough decline | -12.75% | -3.11% | -9.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.38% | 1.54% | +0.84% |
Volatility
GTMIX vs. GAAVX - Volatility Comparison
GMO Tax-Managed International Equities Fund (GTMIX) has a higher volatility of 5.97% compared to GMO Alternative Allocation Fund (GAAVX) at 1.85%. This indicates that GTMIX'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
| GTMIX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.97% | 1.85% | +4.12% |
Volatility (6M)Calculated over the trailing 6-month period | 9.56% | 4.81% | +4.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.56% | 6.82% | +8.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.91% | 5.81% | +9.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.06% | 5.87% | +10.19% |