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GMO Benchmark-Free Fund (GBFFX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISIN

US3620131611

Issuer

GMO

Inception Date

Jun 14, 2011

Min. Investment

$5,000,000

Asset Class

Multi-Asset

Asset Class Size

Large-Cap

Asset Class Style

Value

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
GBFFX vs. AHTPX GBFFX vs. MAFIX GBFFX vs. GAA
Popular comparisons:
GBFFX vs. AHTPX GBFFX vs. MAFIX GBFFX vs. GAA

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in GMO Benchmark-Free Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.76%
12.93%
GBFFX (GMO Benchmark-Free Fund)
Benchmark (^GSPC)

Returns By Period

GMO Benchmark-Free Fund had a return of 4.79% year-to-date (YTD) and 10.96% in the last 12 months.


GBFFX

YTD

4.79%

1M

-2.02%

6M

-0.76%

1Y

10.96%

5Y (annualized)

4.05%

10Y (annualized)

N/A

^GSPC (Benchmark)

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Monthly Returns

The table below presents the monthly returns of GBFFX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.05%0.80%3.43%-1.07%3.41%-1.70%3.31%0.90%0.69%-3.79%4.79%
20234.93%-1.71%-0.11%1.74%-2.99%4.16%3.64%-1.86%-0.43%-2.67%5.15%4.98%15.24%
20222.81%-2.53%-2.38%-0.60%2.46%-5.81%0.91%-1.24%-4.86%2.16%7.48%-1.07%-3.36%
20211.11%2.10%3.03%-0.15%2.74%-2.23%-1.76%0.46%-0.61%-1.22%-2.11%3.15%4.38%
2020-2.82%-3.72%-12.66%8.19%-0.62%1.75%3.07%-0.27%-0.65%-0.05%3.59%2.25%-3.35%
20195.69%0.31%0.31%1.63%-3.01%3.46%-0.94%-2.18%1.87%2.04%0.50%3.65%13.79%
20183.97%-2.61%-0.53%-0.77%-0.63%-1.85%1.61%-1.33%0.20%-4.37%1.09%-1.90%-7.12%
20172.53%1.77%1.27%1.25%1.70%0.71%1.96%1.24%-0.24%1.86%0.05%1.79%17.06%
2016-3.79%-0.18%5.29%1.01%-0.33%0.67%2.68%0.76%0.80%-0.85%-1.61%1.10%5.41%
2015-24.14%-4.27%-1.99%4.22%-0.16%-1.35%-26.94%

Expense Ratio

GBFFX features an expense ratio of 0.35%, falling within the medium range.


Expense ratio chart for GBFFX: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of GBFFX is 37, suggesting that the investment has average results relative to other mutual funds in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of GBFFX is 3737
Combined Rank
The Sharpe Ratio Rank of GBFFX is 2828
Sharpe Ratio Rank
The Sortino Ratio Rank of GBFFX is 2525
Sortino Ratio Rank
The Omega Ratio Rank of GBFFX is 2929
Omega Ratio Rank
The Calmar Ratio Rank of GBFFX is 7474
Calmar Ratio Rank
The Martin Ratio Rank of GBFFX is 3030
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for GMO Benchmark-Free Fund (GBFFX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for GBFFX, currently valued at 1.30, compared to the broader market-1.000.001.002.003.004.005.001.302.54
The chart of Sortino ratio for GBFFX, currently valued at 1.74, compared to the broader market0.005.0010.001.743.40
The chart of Omega ratio for GBFFX, currently valued at 1.25, compared to the broader market1.002.003.004.001.251.47
The chart of Calmar ratio for GBFFX, currently valued at 1.97, compared to the broader market0.005.0010.0015.0020.001.973.66
The chart of Martin ratio for GBFFX, currently valued at 6.05, compared to the broader market0.0020.0040.0060.0080.00100.006.0516.26
GBFFX
^GSPC

The current GMO Benchmark-Free Fund Sharpe ratio is 1.30. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of GMO Benchmark-Free Fund with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.30
2.54
GBFFX (GMO Benchmark-Free Fund)
Benchmark (^GSPC)

Dividends

Dividend History

GMO Benchmark-Free Fund provided a 6.55% dividend yield over the last twelve months, with an annual payout of $1.27 per share. The fund has been increasing its distributions for 3 consecutive years.


3.00%4.00%5.00%6.00%7.00%$0.00$0.20$0.40$0.60$0.80$1.00$1.20201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM202320222021202020192018201720162015
Dividend$1.27$1.08$0.95$0.87$0.63$0.81$0.72$0.60$0.50$1.18

Dividend yield

6.55%5.72%5.48%4.60%3.32%4.00%3.91%2.90%2.73%6.67%

Monthly Dividends

The table displays the monthly dividend distributions for GMO Benchmark-Free Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.34$0.00$0.00$0.00$0.00$0.34
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.14$0.00$0.00$0.00$0.00$0.93$1.08
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.13$0.00$0.00$0.00$0.00$0.82$0.95
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.05$0.00$0.00$0.00$0.00$0.82$0.87
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.05$0.00$0.00$0.00$0.00$0.57$0.63
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.12$0.00$0.00$0.00$0.00$0.68$0.81
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.07$0.00$0.00$0.00$0.00$0.65$0.72
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.10$0.00$0.00$0.00$0.00$0.50$0.60
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.11$0.00$0.00$0.00$0.00$0.39$0.50
2015$0.63$0.00$0.00$0.00$0.00$0.55$1.18

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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.24%
-0.88%
GBFFX (GMO Benchmark-Free Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the GMO Benchmark-Free 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 Benchmark-Free Fund was 32.38%, occurring on Feb 11, 2016. Recovery took 1318 trading sessions.

The current GMO Benchmark-Free Fund drawdown is 5.24%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.38%Jul 9, 2015151Feb 11, 20161318May 7, 20211469
-15.91%Jun 7, 2021333Sep 29, 2022205Jul 26, 2023538
-5.58%Sep 27, 202434Nov 13, 2024
-5.16%Aug 1, 202363Oct 27, 202324Dec 1, 202387
-5.05%Aug 1, 20243Aug 5, 202415Aug 26, 202418

Volatility

Volatility Chart

The current GMO Benchmark-Free Fund volatility is 2.26%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.26%
3.96%
GBFFX (GMO Benchmark-Free Fund)
Benchmark (^GSPC)