SGARX vs. GWOAX
SGARX (Virtus SGA Global Growth Fund) and GWOAX (GMO Global Developed Equity Allocation Fund) are both Global Equities funds. Over the past 5 years, SGARX returned -0.01%/yr vs 11.65%/yr for GWOAX. Their 0.78 correlation means they have sometimes moved together and sometimes differently. SGARX charges 0.91%/yr vs 0.01%/yr for GWOAX.
Performance
SGARX vs. GWOAX - Performance Comparison
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Returns By Period
In the year-to-date period, SGARX achieves a -6.28% return, which is significantly lower than GWOAX's 17.69% return.
SGARX
- 1D
- 1.61%
- 1M
- -0.52%
- 6M
- -3.82%
- YTD
- -6.28%
- 1Y
- -6.13%
- 3Y*
- 4.28%
- 5Y*
- -0.01%
- 10Y*
- —
- ALL TIME*
- 6.72%
GWOAX
- 1D
- 1.65%
- 1M
- 2.23%
- 6M
- 11.87%
- YTD
- 17.69%
- 1Y
- 35.41%
- 3Y*
- 18.71%
- 5Y*
- 11.65%
- 10Y*
- 12.08%
- ALL TIME*
- 8.30%
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 |
SGARX vs. GWOAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
SGARX Virtus SGA Global Growth Fund | -6.28% | 3.75% | 9.88% | 27.17% | -25.69% | 8.31% | 31.26% | 11.44% |
GWOAX GMO Global Developed Equity Allocation Fund | 17.69% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 13.30% |
Correlation
The correlation between SGARX and GWOAX is 0.68, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.68 |
Correlation (3Y) Balances recent behavior with more history. | 0.74 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (All Time) Calculated using the full available price history since May 9, 2019 | 0.78 |
The correlation between SGARX and GWOAX has been stable across timeframes, ranging from 0.68 to 0.78 - a consistent structural relationship.
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Return for Risk
SGARX vs. GWOAX — Risk / Return Rank
SGARX
GWOAX
SGARX vs. GWOAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus SGA Global Growth Fund (SGARX) 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.
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.
| SGARX | GWOAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.21 | ||
| Sortino ratioReturn per unit of downside risk | -4.32 | ||
| Omega ratioGain probability vs. loss probability | 0.91 | 1.47 | -0.56 |
| Calmar ratioReturn relative to maximum drawdown | -0.45 | 3.86 | -4.31 |
| Martin ratioReturn relative to average drawdown | -1.14 | 15.33 | -16.46 |
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Drawdowns
SGARX vs. GWOAX - Drawdown Comparison
The maximum SGARX drawdown since its inception was -37.07%, smaller than the maximum GWOAX drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for SGARX and GWOAX.
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Drawdown Indicators
| SGARX | GWOAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -37.07% | -49.84% | +12.77% |
Max Drawdown (1Y)Largest decline over 1 year | -19.19% | -8.78% | -10.41% |
Max Drawdown (3Y)Largest decline over 3 years | -33.86% | -16.11% | -17.75% |
Max Drawdown (5Y)Largest decline over 5 years | -37.07% | -26.21% | -10.86% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.28% | — |
Current DrawdownCurrent decline from peak | -25.00% | 0.00% | -25.00% |
Average DrawdownAverage peak-to-trough decline | -13.27% | -8.93% | -4.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.66% | 2.21% | +5.45% |
Volatility
SGARX vs. GWOAX - Volatility Comparison
Virtus SGA Global Growth Fund (SGARX) has a higher volatility of 4.12% compared to GMO Global Developed Equity Allocation Fund (GWOAX) at 3.27%. This indicates that SGARX's price experiences larger fluctuations and is considered to be riskier than GWOAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SGARX | GWOAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.12% | 3.27% | +0.85% |
Volatility (6M)Calculated over the trailing 6-month period | 12.06% | 10.21% | +1.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.93% | 12.89% | +2.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.67% | 15.23% | +8.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.29% | 16.39% | +6.90% |
SGARX vs. GWOAX - Expense Ratio Comparison
SGARX has a 0.91% expense ratio, which is higher than GWOAX's 0.01% expense ratio.
Dividends
SGARX vs. GWOAX - Dividend Comparison
SGARX's dividend yield for the trailing twelve months is around 13.62%, more than GWOAX's 5.37% yield.
| 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% |
SGARX Virtus SGA Global Growth Fund | 13.62% | 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
SGARX and GWOAX 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.
SGARX has higher volatility (4.12%) compared to GWOAX (3.27%). In terms of maximum drawdown, SGARX dropped -37.07% vs GWOAX's -49.84%.
GWOAX currently has the higher Sharpe Ratio (2.63 vs -0.58), 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.
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