WAGOX vs. GMGEX
WAGOX (Wasatch Global Opportunities Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, WAGOX returned 9.58%/yr vs 11.09%/yr for GMGEX. Their correlation of 0.80 suggests significant overlap in exposure. WAGOX charges 1.50%/yr vs 0.01%/yr for GMGEX.
Performance
WAGOX vs. GMGEX - Performance Comparison
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Returns By Period
In the year-to-date period, WAGOX achieves a 6.40% return, which is significantly lower than GMGEX's 18.48% return. Over the past 10 years, WAGOX has underperformed GMGEX with an annualized return of 9.58%, while GMGEX has yielded a comparatively higher 11.09% annualized return.
WAGOX
- 1D
- 0.00%
- 1M
- 1.53%
- 6M
- 2.57%
- YTD
- 6.40%
- 1Y
- -1.68%
- 3Y*
- 5.92%
- 5Y*
- -1.20%
- 10Y*
- 9.58%
GMGEX
- 1D
- 0.66%
- 1M
- 0.03%
- 6M
- 14.07%
- YTD
- 18.48%
- 1Y
- 35.22%
- 3Y*
- 20.17%
- 5Y*
- 10.26%
- 10Y*
- 11.09%
WAGOX vs. GMGEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WAGOX Wasatch Global Opportunities Fund | 6.40% | -4.58% | 6.60% | 25.57% | -35.02% | 21.43% | 42.27% | 33.11% | -7.41% | 37.73% |
GMGEX GMO Global Equity Allocation Fund | 18.48% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 26.39% |
Correlation
The correlation between WAGOX and GMGEX is 0.81, 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 | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.79 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Nov 17, 2008 | 0.80 |
The correlation between WAGOX and GMGEX has been stable across timeframes, ranging from 0.78 to 0.81 - a consistent structural relationship.
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Return for Risk
WAGOX vs. GMGEX — Risk / Return Rank
WAGOX
GMGEX
WAGOX vs. GMGEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Wasatch Global Opportunities Fund (WAGOX) 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.
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.
| WAGOX | GMGEX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.76 | ||
| Sortino ratioReturn per unit of downside risk | -3.67 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.47 | -0.49 |
| Calmar ratioReturn relative to maximum drawdown | -0.17 | 3.73 | -3.89 |
| Martin ratioReturn relative to average drawdown | -0.40 | 14.31 | -14.71 |
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Drawdowns
WAGOX vs. GMGEX - Drawdown Comparison
The maximum WAGOX drawdown since its inception was -44.05%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for WAGOX and GMGEX.
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Drawdown Indicators
| WAGOX | GMGEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -44.05% | -58.47% | +14.42% |
Max Drawdown (1Y)Largest decline over 1 year | -16.72% | -9.24% | -7.48% |
Max Drawdown (3Y)Largest decline over 3 years | -22.43% | -17.12% | -5.31% |
Max Drawdown (5Y)Largest decline over 5 years | -44.05% | -28.58% | -15.47% |
Max Drawdown (10Y)Largest decline over 10 years | -44.05% | -34.98% | -9.07% |
Current DrawdownCurrent decline from peak | -17.84% | -1.15% | -16.69% |
Average DrawdownAverage peak-to-trough decline | -10.17% | -16.70% | +6.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.08% | 2.41% | +4.67% |
Volatility
WAGOX vs. GMGEX - Volatility Comparison
Wasatch Global Opportunities Fund (WAGOX) has a higher volatility of 5.39% compared to GMO Global Equity Allocation Fund (GMGEX) at 4.58%. This indicates that WAGOX'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.
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Volatility by Period
| WAGOX | GMGEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.39% | 4.58% | +0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 12.08% | 10.90% | +1.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.74% | 13.35% | +2.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.70% | 14.89% | +5.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.51% | 15.96% | +4.55% |
WAGOX vs. GMGEX - Expense Ratio Comparison
WAGOX has a 1.50% expense ratio, which is higher than GMGEX's 0.01% expense ratio.
Dividends
WAGOX vs. GMGEX - Dividend Comparison
WAGOX's dividend yield for the trailing twelve months is around 8.77%, more than GMGEX's 3.99% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMGEX GMO Global Equity Allocation Fund | 3.99% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
WAGOX Wasatch Global Opportunities Fund | 8.77% | 9.34% | 8.83% | 0.00% | 2.30% | 7.98% | 1.96% | 8.64% | 18.77% | 11.04% | 9.13% | 13.52% |
Frequently Asked Questions
WAGOX and GMGEX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WAGOX has higher volatility (5.39%) compared to GMGEX (4.58%). In terms of maximum drawdown, WAGOX dropped -44.05% vs GMGEX's -58.47%.
GMGEX currently has the higher Sharpe Ratio (2.58 vs -0.18), 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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