GMO Benchmark-Free Allocation Fund (GBMFX)
The investment seeks positive total return. The fund is structured as a fund of funds and gains its investment exposures primarily by investing in Implementation Fund. It seeks annualized returns of 5% (net of fees) above the Consumer Price Index and annualized volatility (standard deviation) of 5-10%, each over a complete market cycle.
Fund Info
| ISIN | US3620083101 |
|---|---|
| Issuer | GMO |
| Inception Date | Jul 22, 2003 |
| Category | Global Allocation |
| Min. Investment | $5,000,000 |
| Asset Class | Multi-Asset |
Asset Class Size | Large-Cap |
Asset Class Style | Value |
Expense Ratio
GBMFX has a high expense ratio of 0.74%, indicating higher-than-average management fees.
Share Price Chart
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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in GMO Benchmark-Free Allocation Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
Returns By Period
GMO Benchmark-Free Allocation Fund had a return of 4.90% year-to-date (YTD) and 10.13% in the last 12 months. Over the past 10 years, GMO Benchmark-Free Allocation Fund had an annualized return of 2.54%, while the S&P 500 had an annualized return of 10.97%, indicating that GMO Benchmark-Free Allocation Fund did not perform as well as the benchmark.
| Period | Return | Benchmark |
|---|---|---|
| Year-To-Date | 4.90% | 11.29% |
| 1 month | 3.34% | 4.87% |
| 6 months | 5.02% | 17.88% |
| 1 year | 10.13% | 29.16% |
| 5 years (annualized) | 3.47% | 13.20% |
| 10 years (annualized) | 2.54% | 10.97% |
Monthly Returns
The table below presents the monthly returns of GBMFX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.23% | 0.58% | 2.69% | -1.16% | 4.90% | ||||||||
| 2023 | 4.39% | -1.35% | -0.36% | 1.41% | -2.94% | 3.89% | 3.30% | -1.53% | 0.08% | -2.37% | 4.10% | -0.88% | 7.59% |
| 2022 | 2.70% | -2.40% | -2.23% | -0.44% | 1.89% | -5.16% | 0.96% | -0.78% | -4.07% | 1.90% | 6.49% | -0.57% | -2.24% |
| 2021 | 0.75% | 1.49% | 2.70% | 0.15% | 2.55% | -2.08% | -1.90% | 0.30% | -0.42% | -1.48% | -2.05% | 3.13% | 2.97% |
| 2020 | -2.48% | -3.15% | -11.12% | 6.92% | -0.45% | 1.32% | 3.06% | 0.00% | -0.76% | 0.00% | 3.34% | 1.89% | -2.50% |
| 2019 | 4.95% | 0.30% | 0.23% | 1.44% | -2.72% | 2.95% | -0.88% | -1.96% | 1.65% | 1.59% | 0.59% | 3.16% | 11.62% |
| 2018 | 3.46% | -2.18% | -0.43% | -0.51% | -0.47% | -1.35% | 1.37% | -1.13% | 0.26% | -3.62% | 0.84% | -1.55% | -5.36% |
| 2017 | 2.13% | 1.58% | 0.93% | 0.96% | 1.29% | 0.49% | 1.54% | 0.81% | -0.11% | 1.54% | -0.14% | 1.34% | 13.05% |
| 2016 | -3.52% | -0.42% | 4.26% | 0.98% | -0.61% | 0.49% | 2.21% | 0.52% | 0.79% | -0.67% | -1.50% | 1.02% | 3.40% |
| 2015 | 0.96% | 2.97% | -2.44% | 1.78% | -0.41% | -1.72% | -0.72% | -3.56% | -2.51% | 3.16% | -0.32% | -1.29% | -4.28% |
| 2014 | -1.74% | 2.23% | 0.81% | 1.28% | 1.41% | 0.61% | -1.34% | 0.73% | -1.88% | -0.41% | 1.30% | -1.68% | 1.20% |
| 2013 | 2.16% | 0.78% | 0.89% | 1.88% | 0.08% | -1.70% | 1.96% | -1.41% | 2.20% | 2.60% | 0.48% | 0.42% | 10.74% |
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of GBMFX is 43, 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.
GBMFX (GMO Benchmark-Free Allocation Fund)
Risk-Adjusted Performance Indicators
The charts below present risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.
Dividends
Dividend History
GMO Benchmark-Free Allocation Fund granted a 5.37% dividend yield in the last twelve months. The annual payout for that period amounted to $1.46 per share.
| Period | TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.46 | $1.46 | $0.77 | $0.63 | $0.95 | $0.91 | $0.92 | $0.66 | $0.40 | $0.51 | $1.27 | $0.75 |
Dividend yield | 5.37% | 5.64% | 3.20% | 2.46% | 3.73% | 3.35% | 3.67% | 2.39% | 1.60% | 2.10% | 4.89% | 2.79% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Benchmark-Free 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.00 | $0.00 | $1.39 | $1.46 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.77 | $0.77 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.63 | $0.63 |
| 2020 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.18 | $0.00 | $0.00 | $0.00 | $0.00 | $0.77 | $0.95 |
| 2019 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.00 | $0.00 | $0.88 | $0.91 |
| 2018 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.00 | $0.00 | $0.89 | $0.92 |
| 2017 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.00 | $0.00 | $0.00 | $0.00 | $0.62 | $0.66 |
| 2016 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.39 | $0.40 |
| 2015 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.51 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.51 |
| 2014 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.39 | $0.00 | $0.00 | $0.00 | $0.00 | $0.89 | $1.27 |
| 2013 | $0.25 | $0.00 | $0.00 | $0.00 | $0.00 | $0.50 | $0.75 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the GMO Benchmark-Free 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 Benchmark-Free Allocation Fund was 23.40%, occurring on Mar 23, 2020. Recovery took 238 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.4% | Jan 21, 2020 | 44 | Mar 23, 2020 | 238 | Mar 3, 2021 | 282 |
| -19.99% | Oct 30, 2007 | 340 | Mar 9, 2009 | 133 | Sep 16, 2009 | 473 |
| -14.74% | May 26, 2015 | 182 | Feb 11, 2016 | 301 | Apr 24, 2017 | 483 |
| -14.42% | Jun 7, 2021 | 333 | Sep 29, 2022 | 207 | Jul 28, 2023 | 540 |
| -10.48% | Jan 29, 2018 | 229 | Dec 24, 2018 | 246 | Dec 16, 2019 | 475 |
Volatility
Volatility Chart
The current GMO Benchmark-Free Allocation Fund volatility is 1.85%, 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.