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GMO Strategic Opportunities Allocation Fund (GBATX) Sharpe Ratio: 3.44

Mutual Fund · Currency in USD · Last updated Jun 3, 2026

The fund invests a significant portion of its assets in shares of other series of GMO Trust (collectively, the “underlying GMO Funds”), which may include the Equity Funds, the Fixed Income Funds, the Implementation Funds, and the Alternative Funds. The fund may invest in derivatives and effect short sales directly or through its investment in underlying GMO Funds.

GBATX's Sharpe Ratio of 3.44 indicates that for each unit of volatility, it generates 3.44 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

GBATX Sharpe Ratio Rank

GBATX Sharpe Ratio Rank: 95.696
Exceptional

GBATX ranks above 95.6% of all investments in our database based on Sharpe Ratio over the past 12 months, demonstrating exceptional risk-adjusted returns. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Suitable as a core holding given strong risk-adjusted returns
  • Monitor rank changes to detect deteriorating return-to-volatility profile
  • Exceptional Sharpe ratio supports larger position sizes
  • Compare with category peers to assess whether strength is investment-specific or category-wide

GBATX Sharpe Ratio Market Positioning

The chart shows GBATX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.42 or lower
  • Yellow zone (middle 50%): 1.42 to 2.51
  • Green zone (top 25%): 2.51 or higher
  • Top 1%: 4.64+
  • Median: 2.09 — half of all investments score higher

How it compares to other similar mutual funds

The table compares GMO Strategic Opportunities Allocation Fund's Sharpe Ratio with other mutual funds in the Global Allocation category across multiple time periods, showing how GBATX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 3, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
TIBAXThornburg Investment Income Builder Fund4.75
GBFFXGMO Benchmark-Free Fund4.23
GIMFXGMO Implementation Fund4.13
GBMFXGMO Benchmark-Free Allocation Fund4.09
HRLYXHartford Real Asset Fund3.80
SAWMXSA Worldwide Moderate Growth Fund3.68
PGAIXPIMCO Global Core Asset Allocation Fund3.65
GBATXGMO Strategic Opportunities Allocation Fund3.44
GMWAXGMO Global Asset Allocation Fund3.40
WARAXAllspring Absolute Return Fund3.40

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows GBATX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when GBATX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

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