EBSIX vs. GAAVX
EBSIX (Campbell Systematic Macro Fund Class I Shares) and GAAVX (GMO Alternative Allocation Fund) are both Multistrategy funds. Over the past 5 years, EBSIX returned 8.13%/yr vs 4.75%/yr for GAAVX. Their 0.06 correlation means their historical movements had little consistent relationship. EBSIX charges 1.75%/yr vs 0.61%/yr for GAAVX.
Performance
EBSIX vs. GAAVX - Performance Comparison
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Returns By Period
In the year-to-date period, EBSIX achieves a 5.77% return, which is significantly higher than GAAVX's 5.35% return.
EBSIX
- 1D
- -0.20%
- 1M
- -1.00%
- 6M
- 4.43%
- YTD
- 5.77%
- 1Y
- 5.00%
- 3Y*
- 4.16%
- 5Y*
- 8.13%
- 10Y*
- —
- ALL TIME*
- 9.83%
GAAVX
- 1D
- -0.85%
- 1M
- 4.78%
- 6M
- 2.39%
- YTD
- 5.35%
- 1Y
- 15.61%
- 3Y*
- 5.87%
- 5Y*
- 4.75%
- 10Y*
- —
- ALL TIME*
- 2.92%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
EBSIX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EBSIX Campbell Systematic Macro Fund Class I Shares | 5.77% | -1.14% | 11.63% | -1.83% | 30.91% | 9.05% | 4.94% |
GAAVX GMO Alternative Allocation Fund | 5.35% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | 1.70% |
Correlation
The correlation between EBSIX and GAAVX is 0.08, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.08 |
Correlation (3Y) Balances recent behavior with more history. | -0.00 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.00 |
Correlation (All Time) Calculated using the full available price history since Oct 28, 2020 | 0.06 |
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Return for Risk
EBSIX vs. GAAVX — Risk / Return Rank
EBSIX
GAAVX
EBSIX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) 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.
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.
| EBSIX | GAAVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.63 | ||
| Sortino ratioReturn per unit of downside risk | -2.68 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.44 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | 0.91 | 3.73 | -2.82 |
| Martin ratioReturn relative to average drawdown | 2.07 | 10.54 | -8.47 |
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Drawdowns
EBSIX vs. GAAVX - Drawdown Comparison
The maximum EBSIX drawdown since its inception was -10.96%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for EBSIX and GAAVX.
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Drawdown Indicators
| EBSIX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -10.96% | -9.59% | -1.37% |
Max Drawdown (1Y)Largest decline over 1 year | -5.88% | -4.29% | -1.59% |
Max Drawdown (3Y)Largest decline over 3 years | -10.26% | -7.73% | -2.53% |
Max Drawdown (5Y)Largest decline over 5 years | -10.96% | -7.73% | -3.23% |
Current DrawdownCurrent decline from peak | -4.44% | -0.85% | -3.59% |
Average DrawdownAverage peak-to-trough decline | -3.05% | -3.06% | +0.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.58% | 1.52% | +1.06% |
Volatility
EBSIX vs. GAAVX - Volatility Comparison
Campbell Systematic Macro Fund Class I Shares (EBSIX) and GMO Alternative Allocation Fund (GAAVX) have volatilities of 2.65% and 2.63%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EBSIX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.65% | 2.63% | +0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 5.94% | 5.60% | +0.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.08% | 7.00% | +1.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.52% | 5.98% | +3.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.42% | 5.98% | +3.44% |
EBSIX vs. GAAVX - Expense Ratio Comparison
EBSIX has a 1.75% expense ratio, which is higher than GAAVX's 0.61% expense ratio.
Dividends
EBSIX vs. GAAVX - Dividend Comparison
EBSIX's dividend yield for the trailing twelve months is around 2.99%, less than GAAVX's 8.78% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
EBSIX Campbell Systematic Macro Fund Class I Shares | 2.99% | 3.16% | 2.90% | 1.82% | 15.10% | 7.73% | 0.00% | 0.00% |
GAAVX GMO Alternative Allocation Fund | 8.78% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% |
Frequently Asked Questions
EBSIX and GAAVX have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EBSIX has higher volatility (2.65%) compared to GAAVX (2.63%). In terms of maximum drawdown, EBSIX dropped -10.96% vs GAAVX's -9.59%.
GAAVX currently has the higher Sharpe Ratio (2.29 vs 0.66), 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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