GUGAX vs. GTMIX

Last updated Jun 24, 2026

GUGAX (GMO Multi-Sector Fixed Income Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both mutual funds - GUGAX is a Intermediate Core-Plus Bond fund managed by GMO, while GTMIX is a Foreign Large Cap Equities fund managed by GMO. Over the past 10 years, GUGAX returned 1.51%/yr vs 10.78%/yr for GTMIX. At a correlation of -0.02, they often move in opposite directions. GUGAX charges 0.45%/yr vs 0.68%/yr for GTMIX.

Performance

GUGAX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Multi-Sector Fixed Income Fund (GUGAX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GUGAX achieves a 0.96% return, which is significantly lower than GTMIX's 13.12% return. Over the past 10 years, GUGAX has underperformed GTMIX with an annualized return of 1.51%, while GTMIX has yielded a comparatively higher 10.78% annualized return.

GUGAX

• 1D: 0.00%
• 1M: 0.00%
• YTD: 0.96%
• 6M: 1.07%
• 1Y: 4.83%
• 3Y*: 4.30%
• 5Y*: -0.52%
• 10Y*: 1.51%

GTMIX

• 1D: -0.27%
• 1M: -0.80%
• YTD: 13.12%
• 6M: 12.71%
• 1Y: 38.22%
• 3Y*: 21.82%
• 5Y*: 11.38%
• 10Y*: 10.78%

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

GUGAX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GUGAX GMO Multi-Sector Fixed Income Fund	0.96%	7.29%	0.96%	6.02%	-14.52%	-3.17%	4.91%	9.66%	2.13%	4.44%
GTMIX GMO Tax-Managed International Equities Fund	13.12%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between GUGAX and GTMIX is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.26
Correlation (5Y) Calculated over the trailing 5-year period	0.19
Correlation (10Y) Calculated over the trailing 10-year period	0.07
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999	-0.02

The correlation between GUGAX and GTMIX shifts across timeframes, from -0.02 (all time) to 0.26 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

GUGAX vs. GTMIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GUGAX

GUGAX Risk / Return Rank: 76
GUGAX Sharpe Ratio Rank: 54
GUGAX Sortino Ratio Rank: 76
GUGAX Omega Ratio Rank: 76
GUGAX Calmar Ratio Rank: 93
GUGAX Martin Ratio Rank: 82

GTMIX

GTMIX Risk / Return Rank: 91
GTMIX Sharpe Ratio Rank: 94
GTMIX Sortino Ratio Rank: 91
GTMIX Omega Ratio Rank: 85
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 94

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.

GUGAX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Multi-Sector Fixed Income Fund (GUGAX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.

	GUGAX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.00	3.00	-1.00
Sortino ratio: Return per unit of downside risk	3.32	4.12	-0.80
Omega ratio: Gain probability vs. loss probability	1.45	1.54	-0.09
Calmar ratio: Return relative to maximum drawdown	4.82	4.93	-0.11
Martin ratio: Return relative to average drawdown	14.23	19.02	-4.79

GUGAX vs. GTMIX - Sharpe Ratio Comparison

The current GUGAX Sharpe Ratio is 2.00, which is lower than the GTMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of GUGAX and GTMIX, 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

GUGAX vs. GTMIX - Drawdown Comparison

The maximum GUGAX drawdown since its inception was -38.57%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for GUGAX and GTMIX.

Drawdown Indicators

	GUGAX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-38.57%	-58.31%	+19.74%
Max Drawdown (1Y) Largest decline over 1 year	-1.16%	-7.90%	+6.74%
Max Drawdown (3Y) Largest decline over 3 years	-6.12%	-14.11%	+7.99%
Max Drawdown (5Y) Largest decline over 5 years	-20.53%	-27.34%	+6.81%
Max Drawdown (10Y) Largest decline over 10 years	-23.06%	-40.32%	+17.26%
Current Drawdown Current decline from peak	-6.72%	-1.59%	-5.13%
Average Drawdown Average peak-to-trough decline	-11.26%	-12.65%	+1.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.39%	2.04%	-1.65%

Volatility

GUGAX vs. GTMIX - Volatility Comparison

The current volatility for GMO Multi-Sector Fixed Income Fund (GUGAX) is 0.00%, while GMO Tax-Managed International Equities Fund (GTMIX) has a volatility of 3.48%. This indicates that GUGAX experiences smaller price fluctuations and is considered to be less risky than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GUGAX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.00%	3.48%	-3.48%
Volatility (6M) Calculated over the trailing 6-month period	1.30%	9.95%	-8.65%
Volatility (1Y) Calculated over the trailing 1-year period	2.80%	13.01%	-10.21%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.57%	14.93%	-8.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.42%	16.00%	-10.58%

GUGAX vs. GTMIX - Expense Ratio Comparison

GUGAX has a 0.45% expense ratio, which is lower than GTMIX's 0.68% expense ratio.

Dividends

GUGAX vs. GTMIX - Dividend Comparison

GUGAX's dividend yield for the trailing twelve months is around 4.52%, less than GTMIX's 19.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	19.83%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
GUGAX GMO Multi-Sector Fixed Income Fund	4.52%	3.69%	4.34%	0.00%	1.94%	2.90%	7.96%	5.74%	5.08%	2.43%	3.29%	1.76%

Frequently Asked Questions

Can I hold both GUGAX and GTMIX in my portfolio?

GUGAX and GTMIX have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GUGAX or GTMIX?

GTMIX has higher volatility (3.48%) compared to GUGAX (0.00%). In terms of maximum drawdown, GUGAX dropped -38.57% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.00 vs 2.00), 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.