GWOAX vs. MBXAX
GWOAX (GMO Global Developed Equity Allocation Fund) and MBXAX (Catalyst/Millburn Hedge Strategy Fund) are both mutual funds - GWOAX is a Global Equities fund managed by GMO, while MBXAX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 10 years, GWOAX returned 12.15%/yr vs 7.59%/yr for MBXAX. Their 0.53 correlation means they have sometimes moved together and sometimes differently. GWOAX charges 0.01%/yr vs 2.18%/yr for MBXAX.
Performance
GWOAX vs. MBXAX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, GWOAX achieves a 17.69% return, which is significantly higher than MBXAX's 13.56% return. Over the past 10 years, GWOAX has outperformed MBXAX with an annualized return of 12.15%, while MBXAX has yielded a comparatively lower 7.59% 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%
MBXAX
- 1D
- 0.73%
- 1M
- -1.32%
- 6M
- 9.10%
- YTD
- 13.56%
- 1Y
- 18.00%
- 3Y*
- 9.79%
- 5Y*
- 7.27%
- 10Y*
- 7.59%
- ALL TIME*
- 8.93%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GWOAX vs. MBXAX - 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% |
MBXAX Catalyst/Millburn Hedge Strategy Fund | 13.56% | 4.13% | 13.17% | -0.91% | 7.46% | 16.62% | -0.72% | 13.59% | -2.43% | 13.69% |
Correlation
The correlation between GWOAX and MBXAX is 0.40, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.40 |
Correlation (3Y) Balances recent behavior with more history. | 0.34 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.36 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.52 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016 | 0.53 |
The correlation between GWOAX and MBXAX shifts across timeframes, from 0.34 (3 years) to 0.53 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
GWOAX vs. MBXAX — Risk / Return Rank
GWOAX
MBXAX
GWOAX vs. MBXAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Developed Equity Allocation Fund (GWOAX) and Catalyst/Millburn Hedge Strategy Fund (MBXAX). 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 | MBXAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.35 | ||
| Sortino ratioReturn per unit of downside risk | +0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 1.44 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.96 | 4.17 | -0.21 |
| Martin ratioReturn relative to average drawdown | 15.74 | 16.27 | -0.53 |
Loading charts...
Drawdowns
GWOAX vs. MBXAX - Drawdown Comparison
The maximum GWOAX drawdown since its inception was -49.84%, which is greater than MBXAX's maximum drawdown of -31.75%. Use the drawdown chart below to compare losses from any high point for GWOAX and MBXAX.
Loading charts...
Drawdown Indicators
| GWOAX | MBXAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.84% | -31.75% | -18.09% |
Max Drawdown (1Y)Largest decline over 1 year | -8.78% | -3.89% | -4.89% |
Max Drawdown (3Y)Largest decline over 3 years | -16.11% | -15.66% | -0.45% |
Max Drawdown (5Y)Largest decline over 5 years | -26.21% | -15.66% | -10.55% |
Max Drawdown (10Y)Largest decline over 10 years | -35.28% | -31.75% | -3.53% |
Current DrawdownCurrent decline from peak | 0.00% | -1.98% | +1.98% |
Average DrawdownAverage peak-to-trough decline | -8.93% | -4.00% | -4.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.21% | 1.01% | +1.20% |
Volatility
GWOAX vs. MBXAX - Volatility Comparison
GMO Global Developed Equity Allocation Fund (GWOAX) has a higher volatility of 3.20% compared to Catalyst/Millburn Hedge Strategy Fund (MBXAX) at 1.78%. This indicates that GWOAX's price experiences larger fluctuations and is considered to be riskier than MBXAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| GWOAX | MBXAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.20% | 1.78% | +1.42% |
Volatility (6M)Calculated over the trailing 6-month period | 10.20% | 4.91% | +5.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.88% | 6.90% | +5.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.22% | 11.39% | +3.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.39% | 13.36% | +3.03% |
GWOAX vs. MBXAX - Expense Ratio Comparison
GWOAX has a 0.01% expense ratio, which is lower than MBXAX's 2.18% expense ratio.
Dividends
GWOAX vs. MBXAX - Dividend Comparison
GWOAX's dividend yield for the trailing twelve months is around 5.37%, while MBXAX has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
MBXAX Catalyst/Millburn Hedge Strategy Fund | 0.00% | 0.00% | 2.43% | 2.02% | 7.57% | 0.00% | 3.92% | 4.96% | 3.07% | 3.35% | 1.82% | 0.00% |
Frequently Asked Questions
GWOAX and MBXAX have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GWOAX has higher volatility (3.20%) compared to MBXAX (1.78%). In terms of maximum drawdown, GWOAX dropped -49.84% vs MBXAX's -31.75%.
GWOAX currently has the higher Sharpe Ratio (2.71 vs 2.36), 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.
Find the right allocation for GWOAX and MBXAX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer