GWOAX vs. PRGSX
Compare and contrast key facts about GMO Global Developed Equity Allocation Fund (GWOAX) and T. Rowe Price Global Stock Fund (PRGSX).
GWOAX is managed by GMO. It was launched on Jun 15, 2005. PRGSX is managed by T. Rowe Price. It was launched on Dec 28, 1995.
Performance
GWOAX vs. PRGSX - Performance Comparison
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GWOAX vs. PRGSX - 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% |
PRGSX T. Rowe Price Global Stock Fund | -2.95% | 21.42% | 16.80% | 25.70% | -28.01% | 9.81% | 52.29% | 35.84% | -4.51% | 32.64% |
Returns By Period
In the year-to-date period, GWOAX achieves a 3.10% return, which is significantly higher than PRGSX's -2.95% return. Over the past 10 years, GWOAX has underperformed PRGSX with an annualized return of 11.04%, while PRGSX has yielded a comparatively higher 14.63% 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%
PRGSX
- 1D
- 3.72%
- 1M
- -7.65%
- YTD
- -2.95%
- 6M
- 0.71%
- 1Y
- 21.81%
- 3Y*
- 16.83%
- 5Y*
- 5.44%
- 10Y*
- 14.63%
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GWOAX vs. PRGSX - Expense Ratio Comparison
GWOAX has a 0.01% expense ratio, which is lower than PRGSX's 0.82% expense ratio.
Return for Risk
GWOAX vs. PRGSX — Risk / Return Rank
GWOAX
PRGSX
GWOAX vs. PRGSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Developed Equity Allocation Fund (GWOAX) and T. Rowe Price Global Stock Fund (PRGSX). 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 | PRGSX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.83 | 1.05 | +0.78 |
Sortino ratioReturn per unit of downside risk | 2.51 | 1.53 | +0.98 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.22 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 2.52 | 1.69 | +0.82 |
Martin ratioReturn relative to average drawdown | 11.23 | 6.40 | +4.84 |
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 | PRGSX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.83 | 1.05 | +0.78 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.63 | 0.28 | +0.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.67 | 0.75 | -0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.49 | -0.05 |
Correlation
The correlation between GWOAX and PRGSX is 0.88, 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. PRGSX - Dividend Comparison
GWOAX's dividend yield for the trailing twelve months is around 4.33%, less than PRGSX's 9.89% 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% |
PRGSX T. Rowe Price Global Stock Fund | 9.89% | 9.60% | 6.73% | 0.27% | 0.00% | 13.67% | 5.67% | 2.21% | 5.81% | 0.03% | 0.63% | 0.33% |
Drawdowns
GWOAX vs. PRGSX - Drawdown Comparison
The maximum GWOAX drawdown since its inception was -49.84%, smaller than the maximum PRGSX drawdown of -64.06%. Use the drawdown chart below to compare losses from any high point for GWOAX and PRGSX.
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Drawdown Indicators
| GWOAX | PRGSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.84% | -64.06% | +14.22% |
Max Drawdown (1Y)Largest decline over 1 year | -11.43% | -12.85% | +1.42% |
Max Drawdown (5Y)Largest decline over 5 years | -26.21% | -38.11% | +11.90% |
Max Drawdown (10Y)Largest decline over 10 years | -35.28% | -38.11% | +2.83% |
Current DrawdownCurrent decline from peak | -6.28% | -9.52% | +3.24% |
Average DrawdownAverage peak-to-trough decline | -9.06% | -13.55% | +4.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 3.40% | -0.84% |
Volatility
GWOAX vs. PRGSX - Volatility Comparison
The current volatility for GMO Global Developed Equity Allocation Fund (GWOAX) is 5.89%, while T. Rowe Price Global Stock Fund (PRGSX) has a volatility of 8.77%. This indicates that GWOAX experiences smaller price fluctuations and is considered to be less risky than PRGSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GWOAX | PRGSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.89% | 8.77% | -2.88% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 14.49% | -4.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.92% | 21.31% | -5.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.21% | 19.49% | -4.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.48% | 19.64% | -3.16% |