MRJAX vs. GWOAX

Last updated Jun 6, 2026

MRJAX (Morgan Stanley Multi-Asset Real Return Portfolio A) and GWOAX (GMO Global Developed Equity Allocation Fund) are both Global Equities funds. A 0.58 correlation means they provide meaningful diversification when combined. MRJAX charges 1.10%/yr vs 0.01%/yr for GWOAX.

Performance

MRJAX vs. GWOAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Multi-Asset Real Return Portfolio A (MRJAX) and GMO Global Developed Equity Allocation Fund (GWOAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

MRJAX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

GWOAX

• 1D: 0.45%
• 1M: 2.94%
• YTD: 16.38%
• 6M: 18.04%
• 1Y: 37.95%
• 3Y*: 21.29%
• 5Y*: 10.82%
• 10Y*: 12.11%

*Multi-year figures are annualized to reflect compound growth (CAGR)

MRJAX vs. GWOAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MRJAX Morgan Stanley Multi-Asset Real Return Portfolio A	0.00%	11.79%	-0.55%	5.09%	2.74%	21.57%	0.07%	17.93%	-8.38%
GWOAX GMO Global Developed Equity Allocation Fund	16.38%	28.37%	6.14%	22.49%	-14.10%	18.53%	10.53%	26.56%	-12.60%

Correlation

The correlation between MRJAX and GWOAX is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (3Y) Calculated over the trailing 3-year period	0.35
Correlation (5Y) Calculated over the trailing 5-year period	0.38
Correlation (All Time) Calculated using the full available price history since Jun 19, 2018	0.58

The correlation between MRJAX and GWOAX shifts across timeframes, from -0.04 (1 year) to 0.58 (all time), reflecting how their relationship changes across market environments.

Return for Risk

MRJAX vs. GWOAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GWOAX

GWOAX Risk / Return Rank: 88
GWOAX Sharpe Ratio Rank: 92
GWOAX Sortino Ratio Rank: 88
GWOAX Omega Ratio Rank: 84
GWOAX Calmar Ratio Rank: 89
GWOAX Martin Ratio Rank: 90

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MRJAX vs. GWOAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Multi-Asset Real Return Portfolio A (MRJAX) and GMO Global Developed Equity Allocation Fund (GWOAX). 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	MRJAX	GWOAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	3.07	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.71	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.74	—
Sharpe Ratio (All Time) Calculated using the full available price history	—	0.47	—

Drawdowns

Drawdown Indicators

	MRJAX	GWOAX	Difference
Max Drawdown Largest peak-to-trough decline	—	-49.84%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-8.78%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-16.11%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-26.21%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-35.28%	—
Current Drawdown Current decline from peak	—	0.00%	—
Average Drawdown Average peak-to-trough decline	—	-8.99%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.19%	—

Volatility

Volatility by Period

	MRJAX	GWOAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	3.14%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.47%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	12.40%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	15.22%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	16.49%	—

MRJAX vs. GWOAX - Expense Ratio Comparison

MRJAX has a 1.10% expense ratio, which is higher than GWOAX's 0.01% expense ratio.

Dividends

MRJAX vs. GWOAX - Dividend Comparison

MRJAX has not paid dividends to shareholders, while GWOAX's dividend yield for the trailing twelve months is around 3.83%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GWOAX GMO Global Developed Equity Allocation Fund	3.83%	4.46%	0.60%	6.10%	7.27%	12.75%	3.85%	4.33%	3.02%	3.05%	6.43%	12.47%
MRJAX Morgan Stanley Multi-Asset Real Return Portfolio A	0.00%	0.00%	11.24%	4.40%	4.04%	15.24%	1.09%	1.40%	1.22%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MRJAX and GWOAX in my portfolio?

MRJAX and GWOAX have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.