TQGIX vs. GMGEX
Compare and contrast key facts about T. Rowe Price QM Global Equity Fund (TQGIX) and GMO Global Equity Allocation Fund (GMGEX).
TQGIX is managed by T. Rowe Price. It was launched on Apr 14, 2016. GMGEX is managed by GMO. It was launched on Nov 25, 1996.
Performance
TQGIX vs. GMGEX - Performance Comparison
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TQGIX vs. GMGEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TQGIX T. Rowe Price QM Global Equity Fund | -1.37% | 22.82% | 18.08% | 23.86% | -17.12% | 19.87% | 15.49% | 27.89% | -9.95% | 24.18% |
GMGEX GMO Global Equity Allocation Fund | 3.72% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 25.57% |
Returns By Period
In the year-to-date period, TQGIX achieves a -1.37% return, which is significantly lower than GMGEX's 3.72% return.
TQGIX
- 1D
- 3.00%
- 1M
- -6.14%
- YTD
- -1.37%
- 6M
- 1.94%
- 1Y
- 20.47%
- 3Y*
- 18.45%
- 5Y*
- 10.94%
- 10Y*
- —
GMGEX
- 1D
- 2.68%
- 1M
- -5.76%
- YTD
- 3.72%
- 6M
- 10.13%
- 1Y
- 30.15%
- 3Y*
- 16.98%
- 5Y*
- 8.06%
- 10Y*
- 9.93%
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TQGIX vs. GMGEX - Expense Ratio Comparison
TQGIX has a 0.58% expense ratio, which is higher than GMGEX's 0.01% expense ratio.
Return for Risk
TQGIX vs. GMGEX — Risk / Return Rank
TQGIX
GMGEX
TQGIX vs. GMGEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price QM Global Equity Fund (TQGIX) 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.
| TQGIX | GMGEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.27 | 1.94 | -0.67 |
Sortino ratioReturn per unit of downside risk | 1.84 | 2.63 | -0.79 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.39 | -0.11 |
Calmar ratioReturn relative to maximum drawdown | 1.79 | 2.59 | -0.79 |
Martin ratioReturn relative to average drawdown | 8.21 | 11.30 | -3.09 |
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
| TQGIX | GMGEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.27 | 1.94 | -0.67 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.72 | 0.55 | +0.17 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.62 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.73 | 0.22 | +0.51 |
Correlation
The correlation between TQGIX and GMGEX 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
TQGIX vs. GMGEX - Dividend Comparison
TQGIX's dividend yield for the trailing twelve months is around 3.52%, less than GMGEX's 4.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TQGIX T. Rowe Price QM Global Equity Fund | 3.52% | 3.47% | 4.48% | 3.04% | 21.41% | 0.87% | 0.93% | 1.41% | 1.96% | 1.49% | 0.00% | 0.00% |
GMGEX GMO Global Equity Allocation Fund | 4.52% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
Drawdowns
TQGIX vs. GMGEX - Drawdown Comparison
The maximum TQGIX drawdown since its inception was -32.97%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for TQGIX and GMGEX.
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Drawdown Indicators
| TQGIX | GMGEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.97% | -58.47% | +25.50% |
Max Drawdown (1Y)Largest decline over 1 year | -11.83% | -11.62% | -0.21% |
Max Drawdown (5Y)Largest decline over 5 years | -25.44% | -28.58% | +3.14% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.98% | — |
Current DrawdownCurrent decline from peak | -7.26% | -6.81% | -0.45% |
Average DrawdownAverage peak-to-trough decline | -4.88% | -16.84% | +11.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.58% | 2.66% | -0.08% |
Volatility
TQGIX vs. GMGEX - Volatility Comparison
T. Rowe Price QM Global Equity Fund (TQGIX) and GMO Global Equity Allocation Fund (GMGEX) have volatilities of 6.10% and 6.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TQGIX | GMGEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.10% | 6.09% | +0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 9.61% | 9.78% | -0.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.55% | 15.72% | +0.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.30% | 14.74% | +0.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.78% | 16.02% | +0.76% |