- ISIN
- US3620083101
- Issuer
- GMO
- Inception Date
- Jul 22, 2003
- 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
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Performance
GBMFX Performance Chart
GMO Benchmark-Free Allocation Fund (GBMFX) is up 11.9% since the beginning of the year. GBMFX is currently trading at $34 per share. Investors who bought $1,000 worth of GBMFX shares 5 years ago would now be looking at an investment worth $1,507.
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Returns By Period
GMO Benchmark-Free Allocation Fund (GBMFX) has returned 11.91% so far this year and 28.90% over the past 12 months. Over the last ten years, GBMFX has returned 6.93% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.
GMO Benchmark-Free Allocation Fund
- 1D
- 0.35%
- 1M
- 4.24%
- YTD
- 11.91%
- 6M
- 13.94%
- 1Y
- 28.90%
- 3Y*
- 16.55%
- 5Y*
- 8.55%
- 10Y*
- 6.93%
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
GBMFX Monthly Returns History
Based on dividend-adjusted daily data since Jul 23, 2003, GBMFX's average daily return is +0.03%, while the average monthly return is +0.64%. At this rate, an investment would double in approximately 9.1 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%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.25% | 5.12% | -3.64% | 2.22% | 3.09% | 0.56% | 11.91% | ||||||
| 2025 | 1.40% | 1.73% | 1.51% | 0.07% | 1.52% | 2.56% | 0.62% | 4.05% | 1.30% | 1.28% | 2.79% | 2.02% | 22.89% |
| 2024 | -0.23% | 0.58% | 2.69% | -1.16% | 3.07% | -1.43% | 2.65% | 0.58% | 0.40% | -3.39% | -0.11% | 0.79% | 4.33% |
| 2023 | 4.39% | -1.35% | -0.36% | 1.41% | -2.94% | 3.89% | 3.30% | -1.53% | 0.08% | -2.37% | 4.10% | 4.52% | 13.46% |
| 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% | 1.48% | 2.70% | 0.15% | 2.55% | -2.08% | -1.90% | 0.30% | -0.42% | -1.48% | -2.05% | 3.13% | 2.97% |
Benchmark Metrics
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 (45.47%) than losses (35.60%) - 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.
- Alpha
- 4.40%
- Beta
- 0.32
- R²
- 0.59
- Upside Capture
- 45.47%
- Downside Capture
- 35.60%
Expense Ratio
GBMFX has an expense ratio of 0.74%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GBMFX 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 Allocation Fund (GBMFX) and compare them to S&P 500 Index.
| GBMFX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.85 | ||
| Sortino ratioReturn per unit of downside risk | +2.82 | ||
| Omega ratioGain probability vs. loss probability | 1.82 | 1.41 | +0.42 |
| Calmar ratioReturn relative to maximum drawdown | 5.02 | 2.93 | +2.09 |
| Martin ratioReturn relative to average drawdown | 19.27 | 13.52 | +5.75 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Dividends
Dividend History
GMO Benchmark-Free Allocation Fund provided a 3.72% dividend yield over the last twelve months, with an annual payout of $1.26 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $1.26 | $1.26 | $1.32 | $1.46 | $0.77 | $0.63 | $0.95 | $0.91 | $0.92 | $0.66 | $0.40 | $0.51 |
Dividend yield | 3.72% | 4.16% | 5.14% | 5.64% | 3.20% | 2.46% | 3.73% | 3.35% | 3.67% | 2.39% | 1.60% | 2.10% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | $0.05 | $0.00 | $0.00 | $0.00 | $0.00 | $1.22 | $1.26 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.00 | $0.00 | $1.27 | $1.32 |
| 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 |
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.
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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.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -23.40%Mar 2020 | 2mo 2d | 11mo 15d | 1y 1moJan 2020 - Mar 2021 |
Financial crisis2007–2009 | -19.97%Mar 2009 | 1y 4mo | 6mo 11d | 1y 10moNov 2007 - Sep 2009 |
2016 correction2016 | -14.74%Feb 2016 | 8mo 21d | 1y 2mo | 1y 11moMay 2015 - Apr 2017 |
Bear market2022 | -14.42%Sep 2022 | 1y 3mo | 10mo 2d | 2y 1moJun 2021 - Jul 2023 |
Rate-hike selloffLate 2018 | -10.48%Dec 2018 | 10mo 29d | 11mo 27d | 1y 10moJan 2018 - Dec 2019 |
Drawdown Indicators
| GBMFX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.40% | -56.78% | +33.38% |
Max Drawdown (1Y)Largest decline over 1 year | -5.78% | -9.10% | +3.32% |
Max Drawdown (3Y)Largest decline over 3 years | -7.16% | -18.90% | +11.74% |
Max Drawdown (5Y)Largest decline over 5 years | -14.42% | -25.43% | +11.01% |
Max Drawdown (10Y)Largest decline over 10 years | -23.40% | -33.92% | +10.52% |
Current DrawdownCurrent decline from peak | 0.00% | -0.74% | +0.74% |
Average DrawdownAverage peak-to-trough decline | -3.28% | -10.72% | +7.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.50% | 1.97% | -0.47% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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