UGOFX vs. GMGEX

Last updated Jun 6, 2026

UGOFX (USAA Global Managed Volatility Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, UGOFX returned 10.64%/yr vs 11.23%/yr for GMGEX. Their correlation of 0.92 suggests significant overlap in exposure. UGOFX charges 0.70%/yr vs 0.01%/yr for GMGEX.

Performance

UGOFX vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in USAA Global Managed Volatility Fund (UGOFX) 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, UGOFX achieves a 13.64% return, which is significantly lower than GMGEX's 19.42% return. Over the past 10 years, UGOFX has underperformed GMGEX with an annualized return of 10.64%, while GMGEX has yielded a comparatively higher 11.23% annualized return.

UGOFX

• 1D: 0.58%
• 1M: 3.31%
• YTD: 13.64%
• 6M: 14.02%
• 1Y: 24.19%
• 3Y*: 18.43%
• 5Y*: 10.46%
• 10Y*: 10.64%

GMGEX

• 1D: 0.12%
• 1M: 3.34%
• YTD: 19.42%
• 6M: 21.13%
• 1Y: 41.82%
• 3Y*: 21.91%
• 5Y*: 9.87%
• 10Y*: 11.23%

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

UGOFX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
UGOFX USAA Global Managed Volatility Fund	13.64%	16.72%	13.34%	19.81%	-15.68%	21.22%	6.44%	21.97%	-8.64%	21.26%
GMGEX GMO Global Equity Allocation Fund	19.42%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between UGOFX and GMGEX is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Aug 1, 2008	0.92

The correlation between UGOFX and GMGEX has been stable across timeframes, ranging from 0.90 to 0.92 - a consistent structural relationship.

Return for Risk

UGOFX vs. GMGEX — Risk / Return Rank

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

UGOFX

UGOFX Risk / Return Rank: 60
UGOFX Sharpe Ratio Rank: 55
UGOFX Sortino Ratio Rank: 54
UGOFX Omega Ratio Rank: 53
UGOFX Calmar Ratio Rank: 68
UGOFX Martin Ratio Rank: 71

GMGEX

GMGEX Risk / Return Rank: 91
GMGEX Sharpe Ratio Rank: 95
GMGEX Sortino Ratio Rank: 92
GMGEX Omega Ratio Rank: 87
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 91

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.

UGOFX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for USAA Global Managed Volatility Fund (UGOFX) 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.

	UGOFX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	2.12	3.31	-1.20
Sortino ratio: Return per unit of downside risk	2.99	4.53	-1.54
Omega ratio: Gain probability vs. loss probability	1.38	1.60	-0.22
Calmar ratio: Return relative to maximum drawdown	3.06	4.54	-1.48
Martin ratio: Return relative to average drawdown	13.06	18.01	-4.95
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

UGOFX vs. GMGEX - Sharpe Ratio Comparison

The current UGOFX Sharpe Ratio is 2.12, which is lower than the GMGEX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of UGOFX 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

	UGOFX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.12	3.31	-1.20
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.52	0.67	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.58	0.70	-0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.43	0.25	+0.18

Drawdowns

UGOFX vs. GMGEX - Drawdown Comparison

The maximum UGOFX drawdown since its inception was -38.00%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for UGOFX and GMGEX.

Drawdown Indicators

	UGOFX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-38.00%	-58.47%	+20.47%
Max Drawdown (1Y) Largest decline over 1 year	-7.95%	-9.24%	+1.29%
Max Drawdown (3Y) Largest decline over 3 years	-14.22%	-17.12%	+2.90%
Max Drawdown (5Y) Largest decline over 5 years	-38.00%	-28.58%	-9.42%
Max Drawdown (10Y) Largest decline over 10 years	-38.00%	-34.98%	-3.02%
Current Drawdown Current decline from peak	-0.25%	-0.36%	+0.11%
Average Drawdown Average peak-to-trough decline	-7.38%	-16.75%	+9.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.86%	2.32%	-0.46%

Volatility

UGOFX vs. GMGEX - Volatility Comparison

USAA Global Managed Volatility Fund (UGOFX) has a higher volatility of 3.65% compared to GMO Global Equity Allocation Fund (GMGEX) at 3.42%. This indicates that UGOFX's price experiences larger fluctuations and is considered to be riskier than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	UGOFX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.65%	3.42%	+0.23%
Volatility (6M) Calculated over the trailing 6-month period	9.35%	9.91%	-0.56%
Volatility (1Y) Calculated over the trailing 1-year period	11.49%	12.65%	-1.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.14%	14.80%	+5.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.36%	16.06%	+2.30%

UGOFX vs. GMGEX - Expense Ratio Comparison

UGOFX has a 0.70% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

UGOFX vs. GMGEX - Dividend Comparison

UGOFX's dividend yield for the trailing twelve months is around 17.81%, more than GMGEX's 3.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMGEX GMO Global Equity Allocation Fund	3.92%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%
UGOFX USAA Global Managed Volatility Fund	17.81%	20.24%	3.46%	1.77%	8.60%	24.98%	4.13%	4.16%	4.48%	1.99%	1.44%	1.05%

Frequently Asked Questions

Can I hold both UGOFX and GMGEX in my portfolio?

With a correlation of 0.92, UGOFX and GMGEX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, UGOFX or GMGEX?

UGOFX has higher volatility (3.65%) compared to GMGEX (3.42%). In terms of maximum drawdown, UGOFX dropped -38.00% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.31 vs 2.12), 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.