GWOAX vs. PORTX
Compare and contrast key facts about GMO Global Developed Equity Allocation Fund (GWOAX) and Trillium ESG Global Equity Fund (PORTX).
GWOAX is managed by GMO. It was launched on Jun 15, 2005. PORTX is managed by Trillium Mutual Funds. It was launched on Sep 29, 1999.
Performance
GWOAX vs. PORTX - Performance Comparison
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GWOAX vs. PORTX - 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% |
PORTX Trillium ESG Global Equity Fund | -5.14% | 1.15% | 7.67% | 19.02% | -24.04% | 22.16% | 24.56% | 28.20% | -7.24% | 27.89% |
Returns By Period
In the year-to-date period, GWOAX achieves a 3.10% return, which is significantly higher than PORTX's -5.14% return. Over the past 10 years, GWOAX has outperformed PORTX with an annualized return of 11.04%, while PORTX has yielded a comparatively lower 8.31% 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%
PORTX
- 1D
- 3.01%
- 1M
- -6.24%
- YTD
- -5.14%
- 6M
- -15.99%
- 1Y
- -2.13%
- 3Y*
- 4.30%
- 5Y*
- 1.65%
- 10Y*
- 8.31%
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GWOAX vs. PORTX - Expense Ratio Comparison
GWOAX has a 0.01% expense ratio, which is lower than PORTX's 1.30% expense ratio.
Return for Risk
GWOAX vs. PORTX — Risk / Return Rank
GWOAX
PORTX
GWOAX vs. PORTX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Developed Equity Allocation Fund (GWOAX) and Trillium ESG Global Equity Fund (PORTX). 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 | PORTX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.83 | -0.09 | +1.92 |
Sortino ratioReturn per unit of downside risk | 2.51 | 0.04 | +2.48 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.01 | +0.37 |
Calmar ratioReturn relative to maximum drawdown | 2.52 | -0.31 | +2.83 |
Martin ratioReturn relative to average drawdown | 11.23 | -0.85 | +12.08 |
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 | PORTX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.83 | -0.09 | +1.92 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.63 | 0.09 | +0.54 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.47 | +0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.31 | +0.13 |
Correlation
The correlation between GWOAX and PORTX 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. PORTX - Dividend Comparison
GWOAX's dividend yield for the trailing twelve months is around 4.33%, while PORTX has not paid dividends to shareholders.
| 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% |
PORTX Trillium ESG Global Equity Fund | 0.00% | 0.00% | 12.61% | 5.84% | 3.55% | 2.61% | 1.85% | 2.32% | 4.50% | 2.46% | 4.66% | 5.86% |
Drawdowns
GWOAX vs. PORTX - Drawdown Comparison
The maximum GWOAX drawdown since its inception was -49.84%, roughly equal to the maximum PORTX drawdown of -51.71%. Use the drawdown chart below to compare losses from any high point for GWOAX and PORTX.
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Drawdown Indicators
| GWOAX | PORTX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.84% | -51.71% | +1.87% |
Max Drawdown (1Y)Largest decline over 1 year | -11.43% | -20.78% | +9.35% |
Max Drawdown (5Y)Largest decline over 5 years | -26.21% | -31.32% | +5.11% |
Max Drawdown (10Y)Largest decline over 10 years | -35.28% | -31.34% | -3.94% |
Current DrawdownCurrent decline from peak | -6.28% | -18.39% | +12.11% |
Average DrawdownAverage peak-to-trough decline | -9.06% | -11.73% | +2.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 7.57% | -5.01% |
Volatility
GWOAX vs. PORTX - Volatility Comparison
GMO Global Developed Equity Allocation Fund (GWOAX) has a higher volatility of 5.89% compared to Trillium ESG Global Equity Fund (PORTX) at 4.90%. This indicates that GWOAX's price experiences larger fluctuations and is considered to be riskier than PORTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GWOAX | PORTX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.89% | 4.90% | +0.99% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 18.09% | -8.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.92% | 23.57% | -7.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.21% | 19.11% | -3.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.48% | 18.16% | -1.68% |