BAMBX vs. GAAVX
Compare and contrast key facts about BlackRock Systematic Multi-Strategy Fund (BAMBX) and GMO Alternative Allocation Fund (GAAVX).
BAMBX is a passively managed fund by BlackRock that tracks the performance of the ICE BofA 3 Month Treasury Bill Index (G0O1) (USD). It was launched on Sep 29, 2020. GAAVX is managed by GMO. It was launched on May 1, 2019.
Performance
BAMBX vs. GAAVX - Performance Comparison
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BAMBX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
BAMBX BlackRock Systematic Multi-Strategy Fund | 1.16% | 4.59% | 6.61% | 6.19% | -3.23% | 5.84% | 3.34% | 3.94% |
GAAVX GMO Alternative Allocation Fund | 3.33% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Returns By Period
In the year-to-date period, BAMBX achieves a 1.16% return, which is significantly lower than GAAVX's 3.33% return.
BAMBX
- 1D
- 0.19%
- 1M
- -2.60%
- YTD
- 1.16%
- 6M
- 3.04%
- 1Y
- 2.95%
- 3Y*
- 6.31%
- 5Y*
- 3.91%
- 10Y*
- 4.45%
GAAVX
- 1D
- 0.00%
- 1M
- -0.37%
- YTD
- 3.33%
- 6M
- 10.87%
- 1Y
- 13.78%
- 3Y*
- 5.94%
- 5Y*
- 3.63%
- 10Y*
- —
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BAMBX vs. GAAVX - Expense Ratio Comparison
BAMBX has a 1.20% expense ratio, which is higher than GAAVX's 0.61% expense ratio.
Return for Risk
BAMBX vs. GAAVX — Risk / Return Rank
BAMBX
GAAVX
BAMBX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Systematic Multi-Strategy Fund (BAMBX) and GMO Alternative Allocation Fund (GAAVX). 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.
| BAMBX | GAAVX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.74 | 1.95 | -1.22 |
Sortino ratioReturn per unit of downside risk | 1.09 | 3.08 | -1.99 |
Omega ratioGain probability vs. loss probability | 1.13 | 1.38 | -0.24 |
Calmar ratioReturn relative to maximum drawdown | 0.90 | 3.79 | -2.89 |
Martin ratioReturn relative to average drawdown | 3.15 | 9.05 | -5.90 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| BAMBX | GAAVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.74 | 1.95 | -1.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.63 | +0.47 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.26 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.36 | 0.47 | +0.88 |
Correlation
The correlation between BAMBX and GAAVX is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
BAMBX vs. GAAVX - Dividend Comparison
BAMBX's dividend yield for the trailing twelve months is around 1.94%, less than GAAVX's 8.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
BAMBX BlackRock Systematic Multi-Strategy Fund | 1.94% | 1.97% | 3.86% | 4.13% | 4.70% | 2.39% | 1.09% | 3.73% | 8.70% | 3.81% | 4.82% |
GAAVX GMO Alternative Allocation Fund | 8.49% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% | 0.00% |
Drawdowns
BAMBX vs. GAAVX - Drawdown Comparison
The maximum BAMBX drawdown since its inception was -8.84%, smaller than the maximum GAAVX drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for BAMBX and GAAVX.
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Drawdown Indicators
| BAMBX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -8.84% | -9.59% | +0.75% |
Max Drawdown (1Y)Largest decline over 1 year | -3.61% | -3.09% | -0.52% |
Max Drawdown (5Y)Largest decline over 5 years | -6.66% | -9.59% | +2.93% |
Max Drawdown (10Y)Largest decline over 10 years | -8.84% | — | — |
Current DrawdownCurrent decline from peak | -2.97% | -1.20% | -1.77% |
Average DrawdownAverage peak-to-trough decline | -1.21% | -3.11% | +1.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.03% | 1.54% | -0.51% |
Volatility
BAMBX vs. GAAVX - Volatility Comparison
The current volatility for BlackRock Systematic Multi-Strategy Fund (BAMBX) is 1.51%, while GMO Alternative Allocation Fund (GAAVX) has a volatility of 1.85%. This indicates that BAMBX experiences smaller price fluctuations and is considered to be less risky than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BAMBX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.51% | 1.85% | -0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 2.83% | 4.81% | -1.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.02% | 6.82% | -2.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.56% | 5.81% | -2.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.54% | 5.87% | -2.33% |