- ISIN
- US3620133773
- Issuer
- GMO
- Inception Date
- Mar 17, 2009
- Category
- Inflation-Protected Bonds
- Min. Investment
- $750,000,000
- Distribution Policy
- Distributing
- Asset Class
- Bond
Share Price Chart
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Performance
GABFX Performance Chart
GMO Asset Allocation Bond Fund (GABFX) is down 6.3% since the beginning of the year. GABFX is currently trading at $17 per share. Investors who bought $1,000 worth of GABFX shares 5 years ago would now be looking at an investment worth $806.
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Returns By Period
GMO Asset Allocation Bond Fund (GABFX) has returned -6.32% so far this year and -4.62% over the past 12 months. Over the last ten years, GABFX has returned 0.17% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
GMO Asset Allocation Bond Fund
- 1D
- -0.51%
- 1M
- -2.02%
- 6M
- -5.61%
- YTD
- -6.32%
- 1Y
- -4.62%
- 3Y*
- -1.49%
- 5Y*
- -4.23%
- 10Y*
- 0.17%
- ALL TIME*
- 0.99%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
GABFX Monthly Returns History
Based on dividend-adjusted daily data since Mar 18, 2009, GABFX's average daily return is +0.01%, while the average monthly return is +0.11%. At this rate, an investment would double in approximately 52.5 years.
Historically, 60% of months were positive and 40% were negative. The best month was Nov 2023 with a return of +10.4%, while the worst month was Apr 2024 at -9.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.
On a daily basis, GABFX closed higher 46% of trading days. The best single day was Dec 18, 2024 with a return of +4.1%, while the worst single day was Dec 19, 2024 at -7.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.75% | 4.15% | -4.14% | -2.00% | -1.32% | 0.45% | -2.67% | -6.32% | |||||
| 2025 | 0.17% | 6.46% | -0.05% | 1.44% | -4.83% | 3.47% | -2.12% | 2.24% | 1.76% | 0.84% | 1.35% | -1.80% | 8.82% |
| 2024 | -2.14% | -4.97% | 1.38% | -9.10% | 3.50% | 3.71% | 3.47% | 3.60% | 1.88% | -8.25% | 1.45% | -6.55% | -12.60% |
| 2023 | 3.43% | -3.41% | 5.50% | 0.65% | -1.57% | -2.07% | -1.28% | -0.75% | -7.01% | -4.47% | 10.37% | 10.27% | 8.33% |
| 2022 | -2.07% | -0.38% | -3.95% | -4.03% | 0.60% | -1.01% | 3.00% | -3.85% | -4.66% | -1.43% | 3.51% | -1.31% | -14.86% |
| 2021 | 0.54% | -1.93% | -0.34% | 1.93% | 0.33% | 0.94% | 1.87% | -0.40% | -1.56% | -0.57% | 1.07% | -0.47% | 1.34% |
Benchmark Metrics
GMO Asset Allocation Bond Fund has an annualized alpha of 1.48%, beta of -0.01, and R2 of 0.00 versus S&P 500 Index. Calculated based on daily prices since March 18, 2009.
- This fund participated in 23.16% of S&P 500 Index downside but only 11.57% of its upside - more exposed to losses than it benefited from rallies.
- Beta of -0.01 may look defensive, but with R2 of 0.00 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R2 of 0.00 means this fund moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 1.48%
- Beta
- -0.01
- R²
- 0.00
- Upside Capture
- 11.57%
- Downside Capture
- 23.16%
Expense Ratio
GABFX has an expense ratio of 0.32%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GABFX ranks 2 for risk / return — above 2% of mutual funds peers on PortfoliosLab. Its historical combined result is below most peers; review the five component ranks for context.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and compare them to S&P 500 Index.
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.
| GABFX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.61 | ||
| Sortino ratioReturn per unit of downside risk | -2.20 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.25 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.19 | 2.00 | -2.19 |
| Martin ratioReturn relative to average drawdown | -0.41 | 8.49 | -8.90 |
Dividends
Dividend History
GMO Asset Allocation Bond Fund provided a 2.93% dividend yield over the last twelve months, with an annual payout of $0.51 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.51 | $0.50 | $0.74 | $1.06 | $0.15 | $0.44 | $0.29 | $1.04 | $1.10 | $0.24 | $0.00 | $1.64 |
Dividend yield | 2.93% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Asset Allocation Bond Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.07 | $0.07 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.00 | $0.00 | $0.44 | $0.50 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.74 | $0.74 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.45 | $0.00 | $0.00 | $0.00 | $0.00 | $0.60 | $1.06 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.44 | $0.44 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the GMO Asset Allocation Bond Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the GMO Asset Allocation Bond Fund was 27.84%, occurring on Oct 19, 2023. The portfolio has not yet recovered.
The current GMO Asset Allocation Bond Fund drawdown is 19.81%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-27.84%Oct 2023 | 2y 2mo | — | 4y 12moAug 2021 - now | — |
-14.81%Feb 2016 | 11mo 7d | 4y 24d | 4y 12moMar 2015 - Mar 2020 | — |
-9.13%Mar 2020 | 10d | 26d | 1mo 6dMar 2020 - Apr 2020 | COVID crash2020 |
-4.71%Sep 2013 | 1mo 14d | 1mo 17d | 3mo 1dJul 2013 - Oct 2013 | — |
-4.32%Dec 2009 | 22d | 8mo 5d | 8mo 27dDec 2009 - Aug 2010 | Financial crisis2007–2009 |
Drawdown Indicators
| GABFX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.84% | -56.78% | +28.94% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -9.10% | -1.00% |
Max Drawdown (3Y)Largest decline over 3 years | -19.48% | -18.90% | -0.58% |
Max Drawdown (5Y)Largest decline over 5 years | -27.84% | -25.43% | -2.41% |
Max Drawdown (10Y)Largest decline over 10 years | -27.84% | -33.92% | +6.08% |
Current DrawdownCurrent decline from peak | -19.81% | -1.58% | -18.23% |
Average DrawdownAverage peak-to-trough decline | -7.40% | -10.70% | +3.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.70% | 2.14% | +2.56% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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