GWOAX vs. AQGRX
Compare and contrast key facts about GMO Global Developed Equity Allocation Fund (GWOAX) and AQR Global Equity Fund Class R6 (AQGRX).
GWOAX is managed by GMO. It was launched on Jun 15, 2005. AQGRX is a passively managed fund by AQR Funds that tracks the performance of the MSCI World Net Total Return USD Index. It was launched on Jan 8, 2014.
Performance
GWOAX vs. AQGRX - Performance Comparison
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GWOAX vs. AQGRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GWOAX GMO Global Developed Equity Allocation Fund | 3.10% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
AQGRX AQR Global Equity Fund Class R6 | -3.57% | 31.87% | 24.60% | 23.14% | -14.13% | 18.43% | 9.47% | 23.85% | -14.46% | 25.57% |
Returns By Period
In the year-to-date period, GWOAX achieves a 3.10% return, which is significantly higher than AQGRX's -3.57% return. Over the past 10 years, GWOAX has underperformed AQGRX with an annualized return of 11.04%, while AQGRX has yielded a comparatively higher 12.07% annualized return.
GWOAX
- 1D
- 2.74%
- 1M
- -5.28%
- YTD
- 3.10%
- 6M
- 9.71%
- 1Y
- 28.87%
- 3Y*
- 17.19%
- 5Y*
- 9.50%
- 10Y*
- 11.04%
AQGRX
- 1D
- 3.21%
- 1M
- -5.41%
- YTD
- -3.57%
- 6M
- -0.47%
- 1Y
- 20.99%
- 3Y*
- 22.54%
- 5Y*
- 12.78%
- 10Y*
- 12.07%
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GWOAX vs. AQGRX - Expense Ratio Comparison
GWOAX has a 0.01% expense ratio, which is lower than AQGRX's 0.72% expense ratio.
Return for Risk
GWOAX vs. AQGRX — Risk / Return Rank
GWOAX
AQGRX
GWOAX vs. AQGRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Developed Equity Allocation Fund (GWOAX) and AQR Global Equity Fund Class R6 (AQGRX). 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.
| GWOAX | AQGRX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.83 | 1.10 | +0.73 |
Sortino ratioReturn per unit of downside risk | 2.51 | 1.58 | +0.93 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.25 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 2.52 | 1.41 | +1.10 |
Martin ratioReturn relative to average drawdown | 11.23 | 7.08 | +4.15 |
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
| GWOAX | AQGRX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.83 | 1.10 | +0.73 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.63 | 0.71 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.68 | -0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.58 | -0.14 |
Correlation
The correlation between GWOAX and AQGRX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
GWOAX vs. AQGRX - Dividend Comparison
GWOAX's dividend yield for the trailing twelve months is around 4.33%, less than AQGRX's 13.61% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GWOAX GMO Global Developed Equity Allocation Fund | 4.33% | 4.46% | 0.60% | 6.10% | 7.27% | 12.75% | 3.85% | 4.33% | 3.02% | 3.05% | 6.43% | 12.47% |
AQGRX AQR Global Equity Fund Class R6 | 13.61% | 13.12% | 13.59% | 6.03% | 4.51% | 12.19% | 1.34% | 2.41% | 4.88% | 5.03% | 10.54% | 0.09% |
Drawdowns
GWOAX vs. AQGRX - Drawdown Comparison
The maximum GWOAX drawdown since its inception was -49.84%, which is greater than AQGRX's maximum drawdown of -34.25%. Use the drawdown chart below to compare losses from any high point for GWOAX and AQGRX.
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Drawdown Indicators
| GWOAX | AQGRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.84% | -34.25% | -15.59% |
Max Drawdown (1Y)Largest decline over 1 year | -11.43% | -15.24% | +3.81% |
Max Drawdown (5Y)Largest decline over 5 years | -26.21% | -29.59% | +3.38% |
Max Drawdown (10Y)Largest decline over 10 years | -35.28% | -34.25% | -1.03% |
Current DrawdownCurrent decline from peak | -6.28% | -6.89% | +0.61% |
Average DrawdownAverage peak-to-trough decline | -9.06% | -6.97% | -2.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 3.04% | -0.48% |
Volatility
GWOAX vs. AQGRX - Volatility Comparison
The current volatility for GMO Global Developed Equity Allocation Fund (GWOAX) is 5.89%, while AQR Global Equity Fund Class R6 (AQGRX) has a volatility of 6.25%. This indicates that GWOAX experiences smaller price fluctuations and is considered to be less risky than AQGRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GWOAX | AQGRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.89% | 6.25% | -0.36% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 10.43% | -0.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.92% | 19.94% | -4.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.21% | 18.17% | -2.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.48% | 17.79% | -1.31% |