- ISIN
- US3620131611
- Issuer
- GMO
- Inception Date
- Jun 14, 2011
- 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
Loading charts...
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Performance
GBFFX Performance Chart
GMO Benchmark-Free Fund (GBFFX) is up 10.6% since the beginning of the year. GBFFX is currently trading at $24 per share. Investors who bought $1,000 worth of GBFFX shares 5 years ago would now be looking at an investment worth $1,501.
Loading charts...
Returns By Period
GMO Benchmark-Free Fund (GBFFX) has returned 10.56% so far this year and 27.16% over the past 12 months. Over the last ten years, GBFFX has returned 7.06% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
GMO Benchmark-Free Fund
- 1D
- 0.04%
- 1M
- 0.17%
- YTD
- 10.56%
- 6M
- 11.21%
- 1Y
- 27.16%
- 3Y*
- 14.29%
- 5Y*
- 8.46%
- 10Y*
- 7.06%
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%
GBFFX Monthly Returns History
Based on dividend-adjusted daily data since Jul 10, 2015, GBFFX's average daily return is +0.03%, while the average monthly return is +0.54%. At this rate, an investment would double in approximately 10.7 years.
Historically, 58% of months were positive and 42% were negative. The best month was Apr 2020 with a return of +8.2%, while the worst month was Mar 2020 at -12.7%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, GBFFX closed higher 52% of trading days. The best single day was Mar 24, 2020 with a return of +5.8%, while the worst single day was Mar 16, 2020 at -6.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.34% | 5.12% | -3.58% | 2.29% | 3.04% | -0.82% | 10.56% | ||||||
| 2025 | 1.99% | 1.74% | 1.61% | 0.00% | 1.58% | 2.62% | 0.70% | 4.02% | 1.32% | 1.30% | 2.90% | 2.03% | 24.07% |
| 2024 | -0.05% | 0.80% | 3.43% | -1.07% | 3.41% | -1.70% | 3.30% | 0.90% | 0.69% | -3.79% | 0.15% | -5.26% | 0.40% |
| 2023 | 4.93% | -1.71% | -0.11% | 1.74% | -2.99% | 4.16% | 3.64% | -1.86% | -0.43% | -2.67% | 5.15% | 4.98% | 15.24% |
| 2022 | 2.81% | -2.53% | -2.38% | -0.60% | 2.46% | -5.81% | 0.91% | -1.24% | -4.86% | 2.16% | 7.47% | -1.07% | -3.36% |
| 2021 | 1.11% | 2.10% | 3.03% | -0.15% | 2.74% | -2.23% | -1.76% | 0.46% | -0.61% | -1.22% | -2.11% | 3.15% | 4.38% |
Benchmark Metrics
GMO Benchmark-Free Fund has an annualized alpha of 1.47%, beta of 0.37, and R2 of 0.54 versus S&P 500 Index. Calculated based on daily prices since July 10, 2015.
- This fund participated in 48.45% of S&P 500 Index downside but only 41.50% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.37 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
- 1.47%
- Beta
- 0.37
- R²
- 0.54
- Upside Capture
- 41.50%
- Downside Capture
- 48.45%
Expense Ratio
GBFFX has an expense ratio of 0.35%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GBFFX ranks 95 for risk / return — in the top 95% 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 Benchmark-Free Fund (GBFFX) 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.
| GBFFX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.70 | ||
| Sortino ratioReturn per unit of downside risk | +2.59 | ||
| Omega ratioGain probability vs. loss probability | 1.75 | 1.37 | +0.38 |
| Calmar ratioReturn relative to maximum drawdown | 4.75 | 2.78 | +1.96 |
| Martin ratioReturn relative to average drawdown | 17.99 | 12.44 | +5.55 |
Dividends
Dividend History
GMO Benchmark-Free Fund provided a 4.63% dividend yield over the last twelve months, with an annual payout of $1.12 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.12 | $1.12 | $0.34 | $1.08 | $0.94 | $0.87 | $0.63 | $0.81 | $0.72 | $0.60 | $0.49 | $1.18 |
Dividend yield | 4.63% | 5.11% | 1.81% | 5.72% | 5.48% | 4.60% | 3.32% | 4.00% | 3.92% | 2.90% | 2.72% | 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.
| 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 | $0.15 | $0.00 | $0.00 | $0.00 | $0.00 | $0.97 | $1.12 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.34 | $0.00 | $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 | $0.94 |
| 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 |
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.
Loading charts...
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 26.62%, occurring on Mar 23, 2020. Recovery took 238 trading sessions.
The current GMO Benchmark-Free Fund drawdown is 1.43%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -26.62%Mar 2020 | 2mo 2d | 11mo 15d | 1y 1moJan 2020 - Mar 2021 |
Bear market2022 | -15.91%Sep 2022 | 1y 3mo | 10mo | 2y 1moJun 2021 - Jul 2023 |
Rate-hike selloffLate 2018 | -12.95%Dec 2018 | 10mo 29d | 1y | 1y 10moJan 2018 - Dec 2019 |
2016 correction2016 | -12.17%Feb 2016 | 6mo 29d | 5mo 26d | 1y 20dJul 2015 - Aug 2016 |
2025 correction2025 | -10.18%Jan 2025 | 3mo 15d | 5mo 22d | 9mo 7dSep 2024 - Jul 2025 |
Drawdown Indicators
| GBFFX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.62% | -56.78% | +30.16% |
Max Drawdown (1Y)Largest decline over 1 year | -5.67% | -9.10% | +3.43% |
Max Drawdown (3Y)Largest decline over 3 years | -10.18% | -18.90% | +8.72% |
Max Drawdown (5Y)Largest decline over 5 years | -15.16% | -25.43% | +10.27% |
Max Drawdown (10Y)Largest decline over 10 years | -26.62% | -33.92% | +7.30% |
Current DrawdownCurrent decline from peak | -1.43% | -1.80% | +0.37% |
Average DrawdownAverage peak-to-trough decline | -4.36% | -10.71% | +6.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.49% | 2.03% | -0.54% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Build a portfolio with GBFFX
Add GMO Benchmark-Free Fund to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Analyzer with GBFFX