- ISIN
- US3620081618
- Issuer
- GMO
- Inception Date
- May 30, 2005
- Category
- Global Allocation
- Min. Investment
- $5,000,000
- Distribution Policy
- Distributing
- Asset Class
- Multi-Asset
- Asset Class Size
- Large-Cap
- Asset Class Style
- Value
Share Price Chart
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Performance
GBATX Performance Chart
GMO Strategic Opportunities Allocation Fund (GBATX) is up 12.9% since the beginning of the year. GBATX is currently trading at $20 per share. Investors who bought $1,000 worth of GBATX shares 5 years ago would now be looking at an investment worth $1,566.
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Returns By Period
GMO Strategic Opportunities Allocation Fund (GBATX) has returned 12.85% so far this year and 30.59% over the past 12 months. Over the last ten years, GBATX has returned 9.33% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
GMO Strategic Opportunities Allocation Fund
- 1D
- 0.50%
- 1M
- 0.95%
- YTD
- 12.85%
- 6M
- 13.13%
- 1Y
- 30.59%
- 3Y*
- 17.28%
- 5Y*
- 9.39%
- 10Y*
- 9.33%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
GBATX Monthly Returns History
Based on dividend-adjusted daily data since May 31, 2005, GBATX's average daily return is +0.03%, while the average monthly return is +0.67%. At this rate, an investment would double in approximately 8.7 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +8.9%, while the worst month was Mar 2020 at -13.5%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 6 months.
On a daily basis, GBATX closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +6.6%, while the worst single day was Mar 16, 2020 at -8.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.56% | 4.63% | -5.13% | 4.66% | 4.05% | -0.15% | 12.85% | ||||||
| 2025 | 2.43% | 0.89% | 0.12% | 0.59% | 2.97% | 3.23% | 0.51% | 3.85% | 1.86% | 1.26% | 2.93% | 1.74% | 24.71% |
| 2024 | 0.06% | 1.33% | 3.34% | -2.02% | 3.59% | -1.31% | 3.31% | 1.23% | 0.88% | -3.78% | 0.68% | -1.66% | 5.50% |
| 2023 | 6.15% | -2.01% | 0.32% | 1.22% | -2.53% | 4.54% | 3.38% | -1.81% | -1.04% | -2.67% | 5.87% | 5.36% | 17.36% |
| 2022 | 0.32% | -3.97% | -2.06% | -3.59% | 2.60% | -7.37% | 2.99% | -2.83% | -7.38% | 4.13% | 8.80% | -2.24% | -11.27% |
| 2021 | 0.78% | 3.70% | 4.47% | 1.12% | 3.28% | -2.28% | -1.13% | 1.02% | -2.25% | 1.03% | -2.67% | 4.80% | 12.12% |
Benchmark Metrics
GMO Strategic Opportunities Allocation Fund has an annualized alpha of 2.31%, beta of 0.56, and R2 of 0.77 versus S&P 500 Index. Calculated based on daily prices since May 31, 2005.
- This fund participated in 65.84% of S&P 500 Index downside but only 65.10% of its upside - more exposed to losses than it benefited from rallies.
- This fund generated an annualized alpha of 2.31% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.56 indicates this fund moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.31%
- Beta
- 0.56
- R²
- 0.77
- Upside Capture
- 65.10%
- Downside Capture
- 65.84%
Expense Ratio
GBATX has an expense ratio of 0.32%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GBATX ranks 91 for risk / return — in the top 91% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for GMO Strategic Opportunities Allocation Fund (GBATX) 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.
| GBATX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.10 | ||
| Sortino ratioReturn per unit of downside risk | +1.63 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.37 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 4.27 | 2.78 | +1.48 |
| Martin ratioReturn relative to average drawdown | 16.25 | 12.44 | +3.81 |
Dividends
Dividend History
GMO Strategic Opportunities Allocation Fund provided a 12.09% dividend yield over the last twelve months, with an annual payout of $2.45 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $2.45 | $2.45 | $0.98 | $1.00 | $1.51 | $4.51 | $0.89 | $1.06 | $1.77 | $0.65 | $0.54 | $1.75 |
Dividend yield | 12.09% | 13.65% | 5.97% | 6.04% | 10.08% | 24.22% | 4.29% | 5.17% | 9.77% | 2.98% | 2.84% | 9.67% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Strategic Opportunities Allocation 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 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.09 | $1.78 | $0.00 | $0.00 | $0.00 | $0.58 | $2.45 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.09 | $0.00 | $0.00 | $0.00 | $0.00 | $0.89 | $0.98 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.08 | $0.00 | $0.00 | $0.00 | $0.00 | $0.92 | $1.00 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.64 | $0.00 | $0.00 | $0.00 | $0.00 | $0.87 | $1.51 |
| 2021 | $0.00 | $0.00 | $0.25 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.43 | $0.00 | $2.83 | $4.51 |
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 Strategic Opportunities Allocation 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 Strategic Opportunities Allocation Fund was 35.37%, occurring on Mar 9, 2009. Recovery took 461 trading sessions.
The current GMO Strategic Opportunities Allocation Fund drawdown is 0.78%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -35.37%Mar 2009 | 1y 4mo | 1y 10mo | 3y 2moNov 2007 - Jan 2011 |
COVID crash2020 | -29.68%Mar 2020 | 2mo 2d | 8mo 6d | 10mo 8dJan 2020 - Nov 2020 |
Bear market2022 | -22.58%Sep 2022 | 8mo 15d | 1y 2mo | 1y 11moJan 2022 - Dec 2023 |
2016 correction2016 | -16.99%Jan 2016 | 1y 6mo | 1y 25d | 2y 7moJul 2014 - Feb 2017 |
Rate-hike selloffLate 2018 | -16.75%Dec 2018 | 10mo 29d | 11mo 23d | 1y 10moJan 2018 - Dec 2019 |
Drawdown Indicators
| GBATX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.37% | -56.78% | +21.41% |
Max Drawdown (1Y)Largest decline over 1 year | -7.06% | -9.10% | +2.04% |
Max Drawdown (3Y)Largest decline over 3 years | -9.98% | -18.90% | +8.92% |
Max Drawdown (5Y)Largest decline over 5 years | -22.58% | -25.43% | +2.85% |
Max Drawdown (10Y)Largest decline over 10 years | -29.68% | -33.92% | +4.24% |
Current DrawdownCurrent decline from peak | -0.78% | -1.80% | +1.02% |
Average DrawdownAverage peak-to-trough decline | -5.56% | -10.71% | +5.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 2.03% | -0.18% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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