ACFIX vs. GMODX
ACFIX (Water Island Credit Opportunities Fund) and GMODX (GMO Opportunistic Income Fund) are both Nontraditional Bonds funds. Over the past 10 years, ACFIX returned 3.77%/yr vs 4.24%/yr for GMODX. At a 0.05 correlation, their price movements are largely independent. ACFIX charges 0.98%/yr vs 0.47%/yr for GMODX.
Performance
ACFIX vs. GMODX - Performance Comparison
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Returns By Period
In the year-to-date period, ACFIX achieves a 2.04% return, which is significantly higher than GMODX's 1.10% return. Over the past 10 years, ACFIX has underperformed GMODX with an annualized return of 3.77%, while GMODX has yielded a comparatively higher 4.24% annualized return.
ACFIX
- 1D
- -0.10%
- 1M
- 0.32%
- YTD
- 2.04%
- 6M
- 2.41%
- 1Y
- 4.59%
- 3Y*
- 5.33%
- 5Y*
- 3.48%
- 10Y*
- 3.77%
GMODX
- 1D
- -0.08%
- 1M
- 0.24%
- YTD
- 1.10%
- 6M
- 1.24%
- 1Y
- 4.19%
- 3Y*
- 5.79%
- 5Y*
- 3.82%
- 10Y*
- 4.24%
ACFIX vs. GMODX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ACFIX Water Island Credit Opportunities Fund | 2.04% | 4.79% | 5.51% | 6.54% | -2.70% | 3.24% | 6.71% | 5.68% | 1.85% | 1.45% |
GMODX GMO Opportunistic Income Fund | 1.10% | 6.47% | 6.11% | 7.07% | -2.09% | 2.83% | 3.34% | 3.83% | 4.01% | 6.41% |
Correlation
The correlation between ACFIX and GMODX is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Oct 9, 2012 | 0.05 |
The correlation between ACFIX and GMODX shifts across timeframes, from 0.05 (all time) to 0.22 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ACFIX vs. GMODX — Risk / Return Rank
ACFIX
GMODX
ACFIX vs. GMODX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Water Island Credit Opportunities Fund (ACFIX) and GMO Opportunistic Income Fund (GMODX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
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.
| ACFIX | GMODX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.16 | ||
| Sortino ratioReturn per unit of downside risk | -5.34 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.71 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | 0.23 | 6.70 | -6.48 |
| Martin ratioReturn relative to average drawdown | 0.27 | 28.07 | -27.80 |
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Drawdowns
ACFIX vs. GMODX - Drawdown Comparison
The maximum ACFIX drawdown since its inception was -20.82%, which is greater than GMODX's maximum drawdown of -8.79%. Use the drawdown chart below to compare losses from any high point for ACFIX and GMODX.
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Drawdown Indicators
| ACFIX | GMODX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.82% | -8.79% | -12.03% |
Max Drawdown (1Y)Largest decline over 1 year | -20.82% | -0.65% | -20.17% |
Max Drawdown (3Y)Largest decline over 3 years | -20.82% | -4.97% | -15.85% |
Max Drawdown (5Y)Largest decline over 5 years | -20.82% | -5.79% | -15.03% |
Max Drawdown (10Y)Largest decline over 10 years | -20.82% | -8.79% | -12.03% |
Current DrawdownCurrent decline from peak | -17.70% | -0.21% | -17.49% |
Average DrawdownAverage peak-to-trough decline | -1.75% | -0.70% | -1.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.55% | 0.16% | +17.39% |
Volatility
ACFIX vs. GMODX - Volatility Comparison
Water Island Credit Opportunities Fund (ACFIX) has a higher volatility of 0.52% compared to GMO Opportunistic Income Fund (GMODX) at 0.42%. This indicates that ACFIX's price experiences larger fluctuations and is considered to be riskier than GMODX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ACFIX | GMODX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.52% | 0.42% | +0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 1.05% | 0.95% | +0.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 33.56% | 1.33% | +32.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.13% | 3.83% | +11.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.89% | 3.04% | +7.85% |
ACFIX vs. GMODX - Expense Ratio Comparison
ACFIX has a 0.98% expense ratio, which is higher than GMODX's 0.47% expense ratio.
Dividends
ACFIX vs. GMODX - Dividend Comparison
ACFIX's dividend yield for the trailing twelve months is around 3.85%, less than GMODX's 5.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ACFIX Water Island Credit Opportunities Fund | 3.85% | 4.17% | 4.71% | 4.00% | 3.55% | 2.59% | 2.95% | 3.52% | 2.92% | 3.01% | 2.38% | 2.91% |
GMODX GMO Opportunistic Income Fund | 5.01% | 4.99% | 5.28% | 6.17% | 5.44% | 2.10% | 4.15% | 5.69% | 4.35% | 2.66% | 2.55% | 1.71% |
Frequently Asked Questions
ACFIX and GMODX have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ACFIX has higher volatility (0.52%) compared to GMODX (0.42%). In terms of maximum drawdown, ACFIX dropped -20.82% vs GMODX's -8.79%.
GMODX currently has the higher Sharpe Ratio (3.30 vs 0.14), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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