GWOAX vs. AQGRX

Last updated Aug 4, 2026

GWOAX (GMO Global Developed Equity Allocation Fund) and AQGRX (AQR Global Equity Fund Class R6) are both Global Equities funds. Over the past 10 years, GWOAX returned 12.15%/yr vs 13.52%/yr for AQGRX. Their correlation of 0.92 means they have usually moved in the same direction. GWOAX charges 0.01%/yr vs 0.72%/yr for AQGRX.

Performance

GWOAX vs. AQGRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Developed Equity Allocation Fund (GWOAX) and AQR Global Equity Fund Class R6 (AQGRX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GWOAX achieves a 17.69% return, which is significantly higher than AQGRX's 13.63% return. Over the past 10 years, GWOAX has underperformed AQGRX with an annualized return of 12.15%, while AQGRX has yielded a comparatively higher 13.52% annualized return.

GWOAX

• 1D: 0.00%
• 1M: 2.23%
• 6M: 11.02%
• YTD: 17.69%
• 1Y: 35.41%
• 3Y*: 18.96%
• 5Y*: 11.65%
• 10Y*: 12.15%
• ALL TIME*: 8.29%

AQGRX

• 1D: 0.50%
• 1M: 2.19%
• 6M: 10.58%
• YTD: 13.63%
• 1Y: 29.64%
• 3Y*: 24.69%
• 5Y*: 15.58%
• 10Y*: 13.52%
• ALL TIME*: 11.47%

*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)
AQGRX AQR Global Equity Fund Class R6	$0.00	$0.00	$0.00
GWOAX GMO Global Developed Equity Allocation Fund	$0.00	$0.00	$0.00

GWOAX vs. AQGRX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GWOAX GMO Global Developed Equity Allocation Fund	17.69%	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	13.63%	31.87%	24.60%	23.14%	-14.13%	18.43%	9.47%	23.85%	-14.46%	25.57%

Correlation

The correlation between GWOAX and AQGRX is 0.86, 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.	0.86
Correlation (3Y) Balances recent behavior with more history.	0.88
Correlation (5Y) Shows whether the relationship held over a longer period.	0.90
Correlation (10Y) Provides a long-term view across more market conditions.	0.92
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	0.92

The correlation between GWOAX and AQGRX has been stable across timeframes, ranging from 0.86 to 0.92 - a consistent structural relationship.

Return for Risk

GWOAX vs. AQGRX — Risk / Return Rank

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

GWOAX

GWOAX Risk / Return Rank: 94
GWOAX Sharpe Ratio Rank: 96
GWOAX Sortino Ratio Rank: 93
GWOAX Omega Ratio Rank: 90
GWOAX Calmar Ratio Rank: 93
GWOAX Martin Ratio Rank: 95

AQGRX

AQGRX Risk / Return Rank: 80
AQGRX Sharpe Ratio Rank: 80
AQGRX Sortino Ratio Rank: 78
AQGRX Omega Ratio Rank: 74
AQGRX Calmar Ratio Rank: 82
AQGRX Martin Ratio Rank: 88

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.

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.

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.

	GWOAX	AQGRX	Difference
Sharpe ratio: Return per unit of total volatility	2.71	1.95	+0.75
Sortino ratio: Return per unit of downside risk	3.72	2.74	+0.97
Omega ratio: Gain probability vs. loss probability	1.49	1.34	+0.14
Calmar ratio: Return relative to maximum drawdown	3.96	2.88	+1.08
Martin ratio: Return relative to average drawdown	15.74	12.07	+3.67

GWOAX vs. AQGRX - Sharpe Ratio Comparison

The current GWOAX Sharpe Ratio is 2.71, which is higher than the AQGRX Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of GWOAX and AQGRX, 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

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.

Drawdown Indicators

	GWOAX	AQGRX	Difference
Max Drawdown Largest peak-to-trough decline	-49.84%	-34.25%	-15.59%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-9.79%	+1.01%
Max Drawdown (3Y) Largest decline over 3 years	-16.11%	-18.51%	+2.40%
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 Drawdown Current decline from peak	0.00%	-0.28%	+0.28%
Average Drawdown Average peak-to-trough decline	-8.93%	-6.81%	-2.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.21%	2.33%	-0.12%

Volatility

GWOAX vs. AQGRX - Volatility Comparison

The current volatility for GMO Global Developed Equity Allocation Fund (GWOAX) is 3.20%, while AQR Global Equity Fund Class R6 (AQGRX) has a volatility of 4.00%. 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.

Volatility by Period

	GWOAX	AQGRX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.20%	4.00%	-0.80%
Volatility (6M) Calculated over the trailing 6-month period	10.20%	11.63%	-1.43%
Volatility (1Y) Calculated over the trailing 1-year period	12.88%	14.45%	-1.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.22%	18.38%	-3.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.39%	17.78%	-1.39%

GWOAX vs. AQGRX - Expense Ratio Comparison

GWOAX has a 0.01% expense ratio, which is lower than AQGRX's 0.72% expense ratio.

Dividends

GWOAX vs. AQGRX - Dividend Comparison

GWOAX's dividend yield for the trailing twelve months is around 5.37%, less than AQGRX's 11.55% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQGRX AQR Global Equity Fund Class R6	11.55%	13.12%	13.59%	6.03%	4.51%	12.19%	1.34%	2.41%	4.88%	5.03%	10.54%	0.09%
GWOAX GMO Global Developed Equity Allocation Fund	5.37%	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 GWOAX and AQGRX in my portfolio?

GWOAX and AQGRX have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GWOAX or AQGRX?

AQGRX has higher volatility (4.00%) compared to GWOAX (3.20%). In terms of maximum drawdown, GWOAX dropped -49.84% vs AQGRX's -34.25%.

Which has better risk-adjusted returns?

GWOAX currently has the higher Sharpe Ratio (2.71 vs 1.95), 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.