ACFIX vs. GMODX

Last updated Jun 3, 2026

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

The chart below illustrates the hypothetical performance of a $10,000 investment in Water Island Credit Opportunities Fund (ACFIX) and GMO Opportunistic Income Fund (GMODX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ACFIX achieves a 2.25% 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: 0.62%
• YTD: 2.25%
• 6M: 2.40%
• 1Y: 4.80%
• 3Y*: 5.51%
• 5Y*: 3.52%
• 10Y*: 3.77%

GMODX

• 1D: -0.08%
• 1M: 0.12%
• YTD: 1.10%
• 6M: 1.32%
• 1Y: 4.75%
• 3Y*: 5.86%
• 5Y*: 3.85%
• 10Y*: 4.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ACFIX vs. GMODX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ACFIX Water Island Credit Opportunities Fund	2.25%	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 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.17
Correlation (3Y) Calculated over the trailing 3-year period	0.16
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (10Y) Calculated over the trailing 10-year period	0.06
Correlation (All Time) Calculated using the full available price history since Oct 10, 2012	0.05

The correlation between ACFIX and GMODX shifts across timeframes, from 0.05 (all time) to 0.17 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ACFIX vs. GMODX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ACFIX

ACFIX Risk / Return Rank: 14
ACFIX Sharpe Ratio Rank: 3
ACFIX Sortino Ratio Rank: 4
ACFIX Omega Ratio Rank: 56
ACFIX Calmar Ratio Rank: 4
ACFIX Martin Ratio Rank: 3

GMODX

GMODX Risk / Return Rank: 97
GMODX Sharpe Ratio Rank: 96
GMODX Sortino Ratio Rank: 97
GMODX Omega Ratio Rank: 94
GMODX Calmar Ratio Rank: 97
GMODX Martin Ratio Rank: 98

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	ACFIX	GMODX	Difference
Sharpe ratio Return per unit of total volatility	0.14	3.47	-3.32
Sortino ratio Return per unit of downside risk	0.49	6.13	-5.65
Omega ratio Gain probability vs. loss probability	1.42	1.75	-0.34
Calmar ratio Return relative to maximum drawdown	0.25	7.33	-7.08
Martin ratio Return relative to average drawdown	0.30	30.81	-30.51
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ACFIX vs. GMODX - Sharpe Ratio Comparison

The current ACFIX Sharpe Ratio is 0.14, which is lower than the GMODX Sharpe Ratio of 3.47. The chart below compares the historical Sharpe Ratios of ACFIX and GMODX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ACFIX	GMODX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.14	3.47	-3.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.23	1.01	-0.78
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.35	1.40	-1.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	1.38	-1.02

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.

Drawdown Indicators

	ACFIX	GMODX	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-17.53%	-0.08%	-17.45%
Average Drawdown Average peak-to-trough decline	-1.68%	-0.70%	-0.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	17.05%	0.16%	+16.89%

Volatility

ACFIX vs. GMODX - Volatility Comparison

The current volatility for Water Island Credit Opportunities Fund (ACFIX) is 0.43%, while GMO Opportunistic Income Fund (GMODX) has a volatility of 0.46%. This indicates that ACFIX experiences smaller price fluctuations and is considered to be less risky than GMODX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ACFIX	GMODX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.43%	0.46%	-0.03%
Volatility (6M) Calculated over the trailing 6-month period	1.12%	0.92%	+0.20%
Volatility (1Y) Calculated over the trailing 1-year period	33.55%	1.35%	+32.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.13%	3.82%	+11.31%
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

Can I hold both ACFIX and GMODX in my portfolio?

ACFIX and GMODX have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ACFIX or GMODX?

GMODX has higher volatility (0.46%) compared to ACFIX (0.43%). In terms of maximum drawdown, ACFIX dropped -20.82% vs GMODX's -8.79%.

Which has better risk-adjusted returns?

GMODX currently has the higher Sharpe Ratio (3.47 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.