GTMIX vs. GWOAX

Last updated Aug 5, 2026

GTMIX (GMO Tax-Managed International Equities Fund) and GWOAX (GMO Global Developed Equity Allocation Fund) are both mutual funds - GTMIX is a Foreign Large Cap Equities fund managed by GMO, while GWOAX is a Global Equities fund managed by GMO. Over the past 10 years, GTMIX returned 10.85%/yr vs 12.16%/yr for GWOAX. Their correlation of 0.94 means they have usually moved in the same direction. GTMIX charges 0.68%/yr vs 0.01%/yr for GWOAX.

Performance

GTMIX vs. GWOAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Tax-Managed International Equities Fund (GTMIX) and GMO Global Developed Equity Allocation Fund (GWOAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GTMIX achieves a 21.28% return, which is significantly higher than GWOAX's 18.74% return. Over the past 10 years, GTMIX has underperformed GWOAX with an annualized return of 10.85%, while GWOAX has yielded a comparatively higher 12.16% annualized return.

GTMIX

• 1D: 0.21%
• 1M: 6.24%
• 6M: 12.37%
• YTD: 21.28%
• 1Y: 42.47%
• 3Y*: 22.90%
• 5Y*: 12.91%
• 10Y*: 10.85%
• ALL TIME*: 7.38%

GWOAX

• 1D: 0.89%
• 1M: 3.14%
• 6M: 11.84%
• YTD: 18.74%
• 1Y: 34.89%
• 3Y*: 19.95%
• 5Y*: 11.78%
• 10Y*: 12.16%
• ALL TIME*: 8.34%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GTMIX GMO Tax-Managed International Equities Fund	$0.00	$0.00	$0.00
GWOAX GMO Global Developed Equity Allocation Fund	$0.00	$0.00	$0.00

GTMIX vs. GWOAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GTMIX GMO Tax-Managed International Equities Fund	21.28%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%
GWOAX GMO Global Developed Equity Allocation Fund	18.74%	28.37%	6.14%	22.49%	-14.10%	18.53%	10.53%	26.56%	-12.95%	25.63%

Correlation

The correlation between GTMIX and GWOAX is 0.87, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.87
Correlation (3Y) Balances recent behavior with more history.	0.87
Correlation (5Y) Shows whether the relationship held over a longer period.	0.89
Correlation (10Y) Provides a long-term view across more market conditions.	0.91
Correlation (All Time) Calculated using the full available price history since Jan 3, 2006	0.94

The correlation between GTMIX and GWOAX has been stable across timeframes, ranging from 0.87 to 0.94 - a consistent structural relationship.

Return for Risk

GTMIX vs. GWOAX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GTMIX

GTMIX Risk / Return Rank: 98
GTMIX Sharpe Ratio Rank: 99
GTMIX Sortino Ratio Rank: 98
GTMIX Omega Ratio Rank: 97
GTMIX Calmar Ratio Rank: 97
GTMIX Martin Ratio Rank: 98

GWOAX

GWOAX Risk / Return Rank: 95
GWOAX Sharpe Ratio Rank: 97
GWOAX Sortino Ratio Rank: 95
GWOAX Omega Ratio Rank: 93
GWOAX Calmar Ratio Rank: 94
GWOAX Martin Ratio Rank: 95

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

GTMIX vs. GWOAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Tax-Managed International Equities Fund (GTMIX) and GMO Global Developed Equity Allocation Fund (GWOAX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	GTMIX	GWOAX	Difference
Sharpe ratio: Return per unit of total volatility	3.50	2.86	+0.63
Sortino ratio: Return per unit of downside risk	4.77	3.90	+0.86
Omega ratio: Gain probability vs. loss probability	1.63	1.52	+0.11
Calmar ratio: Return relative to maximum drawdown	5.61	4.19	+1.42
Martin ratio: Return relative to average drawdown	22.23	16.63	+5.59

GTMIX vs. GWOAX - Sharpe Ratio Comparison

The current GTMIX Sharpe Ratio is 3.50, which is comparable to the GWOAX Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of GTMIX and GWOAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GTMIX vs. GWOAX - Drawdown Comparison

The maximum GTMIX drawdown since its inception was -58.31%, which is greater than GWOAX's maximum drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for GTMIX and GWOAX.

Drawdown Indicators

	GTMIX	GWOAX	Difference
Max Drawdown Largest peak-to-trough decline	-58.31%	-49.84%	-8.47%
Max Drawdown (1Y) Largest decline over 1 year	-7.90%	-8.78%	+0.88%
Max Drawdown (3Y) Largest decline over 3 years	-14.11%	-16.11%	+2.00%
Max Drawdown (5Y) Largest decline over 5 years	-27.34%	-26.21%	-1.13%
Max Drawdown (10Y) Largest decline over 10 years	-40.32%	-35.28%	-5.04%
Current Drawdown Current decline from peak	-0.63%	0.00%	-0.63%
Average Drawdown Average peak-to-trough decline	-12.60%	-8.93%	-3.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.99%	2.21%	-0.22%

Volatility

GTMIX vs. GWOAX - Volatility Comparison

GMO Tax-Managed International Equities Fund (GTMIX) and GMO Global Developed Equity Allocation Fund (GWOAX) have volatilities of 3.39% and 3.27%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GTMIX	GWOAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.39%	3.27%	+0.12%
Volatility (6M) Calculated over the trailing 6-month period	10.05%	10.20%	-0.15%
Volatility (1Y) Calculated over the trailing 1-year period	12.71%	12.88%	-0.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.89%	15.23%	-0.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.76%	16.40%	-0.64%

GTMIX vs. GWOAX - Expense Ratio Comparison

GTMIX has a 0.68% expense ratio, which is higher than GWOAX's 0.01% expense ratio.

Dividends

GTMIX vs. GWOAX - Dividend Comparison

GTMIX's dividend yield for the trailing twelve months is around 20.82%, more than GWOAX's 5.33% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	20.82%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
GWOAX GMO Global Developed Equity Allocation Fund	5.33%	4.46%	0.60%	6.10%	7.27%	12.75%	3.85%	4.33%	3.02%	3.05%	6.43%	12.47%

Frequently Asked Questions

Can I hold both GTMIX and GWOAX in my portfolio?

GTMIX and GWOAX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GTMIX or GWOAX?

GTMIX has higher volatility (3.39%) compared to GWOAX (3.27%). In terms of maximum drawdown, GTMIX dropped -58.31% vs GWOAX's -49.84%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.50 vs 2.86), 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.