SGARX vs. GMGEX

Last updated Jun 5, 2026

SGARX (Virtus SGA Global Growth Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 5 years, SGARX returned 1.04%/yr vs 9.85%/yr for GMGEX. A 0.78 correlation means they provide meaningful diversification when combined. SGARX charges 0.91%/yr vs 0.01%/yr for GMGEX.

Performance

SGARX vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus SGA Global Growth Fund (SGARX) and GMO Global Equity Allocation Fund (GMGEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SGARX achieves a -4.35% return, which is significantly lower than GMGEX's 19.27% return.

SGARX

• 1D: -1.07%
• 1M: -0.05%
• YTD: -4.35%
• 6M: -3.55%
• 1Y: -3.59%
• 3Y*: 6.97%
• 5Y*: 1.04%
• 10Y*: —

GMGEX

• 1D: -0.48%
• 1M: 4.86%
• YTD: 19.27%
• 6M: 21.08%
• 1Y: 41.55%
• 3Y*: 21.78%
• 5Y*: 9.85%
• 10Y*: 11.28%

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

SGARX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
SGARX Virtus SGA Global Growth Fund	-4.35%	3.75%	9.88%	27.17%	-25.69%	8.31%	31.26%	11.44%
GMGEX GMO Global Equity Allocation Fund	19.27%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	13.85%

Correlation

The correlation between SGARX and GMGEX is 0.68, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.68
Correlation (3Y) Calculated over the trailing 3-year period	0.74
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (All Time) Calculated using the full available price history since May 10, 2019	0.78

The correlation between SGARX and GMGEX shifts across timeframes, from 0.68 (1 year) to 0.78 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SGARX vs. GMGEX — Risk / Return Rank

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

SGARX

SGARX Risk / Return Rank: 2
SGARX Sharpe Ratio Rank: 2
SGARX Sortino Ratio Rank: 2
SGARX Omega Ratio Rank: 2
SGARX Calmar Ratio Rank: 2
SGARX Martin Ratio Rank: 2

GMGEX

GMGEX Risk / Return Rank: 90
GMGEX Sharpe Ratio Rank: 94
GMGEX Sortino Ratio Rank: 91
GMGEX Omega Ratio Rank: 86
GMGEX Calmar Ratio Rank: 90
GMGEX 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.

SGARX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus SGA Global Growth Fund (SGARX) and GMO Global Equity Allocation Fund (GMGEX). 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.

	SGARX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	-0.21	3.31	-3.52
Sortino ratio: Return per unit of downside risk	-0.19	4.53	-4.72
Omega ratio: Gain probability vs. loss probability	0.98	1.60	-0.63
Calmar ratio: Return relative to maximum drawdown	-0.15	4.54	-4.69
Martin ratio: Return relative to average drawdown	-0.43	18.01	-18.45
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SGARX vs. GMGEX - Sharpe Ratio Comparison

The current SGARX Sharpe Ratio is -0.21, which is lower than the GMGEX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of SGARX and GMGEX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SGARX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.21	3.31	-3.52
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.04	0.67	-0.62
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.70	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.31	0.25	+0.06

Drawdowns

SGARX vs. GMGEX - Drawdown Comparison

The maximum SGARX drawdown since its inception was -37.07%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for SGARX and GMGEX.

Drawdown Indicators

	SGARX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-37.07%	-58.47%	+21.40%
Max Drawdown (1Y) Largest decline over 1 year	-19.38%	-9.24%	-10.14%
Max Drawdown (3Y) Largest decline over 3 years	-33.86%	-17.12%	-16.74%
Max Drawdown (5Y) Largest decline over 5 years	-37.07%	-28.58%	-8.49%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.98%	—
Current Drawdown Current decline from peak	-23.45%	-0.48%	-22.97%
Average Drawdown Average peak-to-trough decline	-13.01%	-16.75%	+3.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.87%	2.32%	+4.55%

Volatility

SGARX vs. GMGEX - Volatility Comparison

The current volatility for Virtus SGA Global Growth Fund (SGARX) is 3.26%, while GMO Global Equity Allocation Fund (GMGEX) has a volatility of 4.01%. This indicates that SGARX experiences smaller price fluctuations and is considered to be less risky than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SGARX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.26%	4.01%	-0.75%
Volatility (6M) Calculated over the trailing 6-month period	11.22%	9.91%	+1.31%
Volatility (1Y) Calculated over the trailing 1-year period	14.12%	12.66%	+1.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.57%	14.81%	+8.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.43%	16.06%	+7.37%

SGARX vs. GMGEX - Expense Ratio Comparison

SGARX has a 0.91% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

SGARX vs. GMGEX - Dividend Comparison

SGARX's dividend yield for the trailing twelve months is around 13.35%, more than GMGEX's 3.93% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMGEX GMO Global Equity Allocation Fund	3.93%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%
SGARX Virtus SGA Global Growth Fund	13.35%	12.76%	25.64%	0.00%	2.52%	6.86%	3.18%	0.05%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SGARX and GMGEX in my portfolio?

SGARX and GMGEX have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SGARX or GMGEX?

GMGEX has higher volatility (4.01%) compared to SGARX (3.26%). In terms of maximum drawdown, SGARX dropped -37.07% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.31 vs -0.21), 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.