GMO Benchmark-Free Allocation Fund (GBMFX)

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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.

GMO Benchmark-Free Allocation Fund (GBMFX) has returned 4.49% so far this year and 22.63% over the past 12 months. Over the last ten years, GBMFX has returned 6.30% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.

Based on dividend-adjusted daily data since Jul 23, 2003, GBMFX's average daily return is +0.03%, while the average monthly return is +0.62%. At this rate, your investment would double in approximately 9.3 years.

Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +6.9%, while the worst month was Mar 2020 at -11.1%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.

On a daily basis, GBMFX closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +4.8%, while the worst single day was Mar 16, 2020 at -6.1%.

GMO Benchmark-Free Allocation Fund has an annualized alpha of 4.40%, beta of 0.32, and R² of 0.59 versus S&P 500 Index. Calculated based on daily prices since July 24, 2003.

• This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (45.87%) than losses (35.70%) — typical of diversified or defensive assets.
• This fund generated an annualized alpha of 4.40% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
• Beta of 0.32 indicates this fund moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.

GBMFX has an expense ratio of 0.74%, placing it in the medium range.

GBMFX ranks 96 for risk / return — in the top 96% 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.

The table below present risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and compare them to a chosen benchmark (S&P 500 Index).

GMO Benchmark-Free Allocation Fund provided a 3.98% dividend yield over the last twelve months, with an annual payout of $1.26 per share.

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.

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.

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.

The current GMO Benchmark-Free Allocation Fund drawdown is 4.66%.

The chart below shows the rolling one-month volatility.