GWOAX vs. GIDGX
GWOAX (GMO Global Developed Equity Allocation Fund) and GIDGX (Goldman Sachs Enhanced Dividend Global Equity Portfolio) are both Global Equities funds. Over the past 10 years, GWOAX returned 12.12%/yr vs 10.81%/yr for GIDGX. Their correlation of 0.92 suggests significant overlap in exposure. GWOAX charges 0.01%/yr vs 0.17%/yr for GIDGX.
Performance
GWOAX vs. GIDGX - Performance Comparison
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Returns By Period
In the year-to-date period, GWOAX achieves a 15.86% return, which is significantly higher than GIDGX's 11.05% return. Over the past 10 years, GWOAX has outperformed GIDGX with an annualized return of 12.12%, while GIDGX has yielded a comparatively lower 10.81% annualized return.
GWOAX
- 1D
- -0.44%
- 1M
- 4.06%
- YTD
- 15.86%
- 6M
- 17.59%
- 1Y
- 37.23%
- 3Y*
- 21.01%
- 5Y*
- 10.73%
- 10Y*
- 12.12%
GIDGX
- 1D
- -0.54%
- 1M
- 3.01%
- YTD
- 11.05%
- 6M
- 11.62%
- 1Y
- 24.50%
- 3Y*
- 18.89%
- 5Y*
- 10.91%
- 10Y*
- 10.81%
GWOAX vs. GIDGX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GWOAX GMO Global Developed Equity Allocation Fund | 15.86% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
GIDGX Goldman Sachs Enhanced Dividend Global Equity Portfolio | 11.05% | 15.74% | 20.59% | 17.92% | -12.75% | 18.46% | 8.41% | 19.97% | -8.26% | 15.18% |
Correlation
The correlation between GWOAX and GIDGX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.89 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2009 | 0.92 |
The correlation between GWOAX and GIDGX has been stable across timeframes, ranging from 0.89 to 0.92 - a consistent structural relationship.
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Return for Risk
GWOAX vs. GIDGX — Risk / Return Rank
GWOAX
GIDGX
GWOAX vs. GIDGX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Developed Equity Allocation Fund (GWOAX) and Goldman Sachs Enhanced Dividend Global Equity Portfolio (GIDGX). 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 | GIDGX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.46 | ||
| Sortino ratioReturn per unit of downside risk | +0.56 | ||
| Omega ratioGain probability vs. loss probability | 1.55 | 1.49 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 4.27 | 3.47 | +0.80 |
| Martin ratioReturn relative to average drawdown | 17.06 | 16.67 | +0.39 |
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 | GIDGX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.03 | 2.57 | +0.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.71 | 0.85 | -0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.74 | 0.77 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.68 | -0.21 |
Drawdowns
GWOAX vs. GIDGX - Drawdown Comparison
The maximum GWOAX drawdown since its inception was -49.84%, which is greater than GIDGX's maximum drawdown of -31.63%. Use the drawdown chart below to compare losses from any high point for GWOAX and GIDGX.
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Drawdown Indicators
| GWOAX | GIDGX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.84% | -31.63% | -18.21% |
Max Drawdown (1Y)Largest decline over 1 year | -8.78% | -7.14% | -1.64% |
Max Drawdown (3Y)Largest decline over 3 years | -16.11% | -14.69% | -1.42% |
Max Drawdown (5Y)Largest decline over 5 years | -26.21% | -20.39% | -5.82% |
Max Drawdown (10Y)Largest decline over 10 years | -35.28% | -31.63% | -3.65% |
Current DrawdownCurrent decline from peak | -0.44% | -0.54% | +0.10% |
Average DrawdownAverage peak-to-trough decline | -9.00% | -3.87% | -5.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.19% | 1.48% | +0.71% |
Volatility
GWOAX vs. GIDGX - Volatility Comparison
GMO Global Developed Equity Allocation Fund (GWOAX) has a higher volatility of 3.26% compared to Goldman Sachs Enhanced Dividend Global Equity Portfolio (GIDGX) at 2.50%. This indicates that GWOAX's price experiences larger fluctuations and is considered to be riskier than GIDGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GWOAX | GIDGX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.26% | 2.50% | +0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 9.47% | 7.66% | +1.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.40% | 9.67% | +2.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.22% | 12.99% | +2.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.50% | 14.16% | +2.34% |
GWOAX vs. GIDGX - Expense Ratio Comparison
GWOAX has a 0.01% expense ratio, which is lower than GIDGX's 0.17% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GWOAX vs. GIDGX - Dividend Comparison
GWOAX's dividend yield for the trailing twelve months is around 3.85%, less than GIDGX's 5.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GIDGX Goldman Sachs Enhanced Dividend Global Equity Portfolio | 5.56% | 5.92% | 12.06% | 4.32% | 8.89% | 8.41% | 1.99% | 4.85% | 5.67% | 3.35% | 2.97% | 3.21% |
GWOAX GMO Global Developed Equity Allocation Fund | 3.85% | 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
With a correlation of 0.91, GWOAX and GIDGX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
GWOAX has higher volatility (3.26%) compared to GIDGX (2.50%). In terms of maximum drawdown, GWOAX dropped -49.84% vs GIDGX's -31.63%.
GWOAX currently has the higher Sharpe Ratio (3.03 vs 2.57), 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.
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