FARYX vs. GAAVX
FARYX (Fulcrum Diversified Absolute Return Fund) and GAAVX (GMO Alternative Allocation Fund) are both Multistrategy funds. Over the past 5 years, FARYX returned 4.93%/yr vs 4.33%/yr for GAAVX. Their 0.10 correlation means their historical movements had little consistent relationship. FARYX charges 1.04%/yr vs 0.61%/yr for GAAVX.
Performance
FARYX vs. GAAVX - Performance Comparison
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Returns By Period
In the year-to-date period, FARYX achieves a 1.82% return, which is significantly lower than GAAVX's 4.73% return.
FARYX
- 1D
- 0.00%
- 1M
- -1.08%
- 6M
- -4.74%
- YTD
- 1.82%
- 1Y
- 10.10%
- 3Y*
- 8.03%
- 5Y*
- 4.93%
- 10Y*
- 4.83%
- ALL TIME*
- 4.44%
GAAVX
- 1D
- -0.54%
- 1M
- 4.16%
- 6M
- 3.16%
- YTD
- 4.73%
- 1Y
- 15.26%
- 3Y*
- 5.62%
- 5Y*
- 4.33%
- 10Y*
- —
- ALL TIME*
- 2.84%
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 |
FARYX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FARYX Fulcrum Diversified Absolute Return Fund | 1.82% | 13.34% | 7.19% | 0.79% | 2.19% | 4.30% | 9.81% | 3.37% |
GAAVX GMO Alternative Allocation Fund | 4.73% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Correlation
The correlation between FARYX 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. | -0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.03 |
Correlation (All Time) Calculated using the full available price history since May 9, 2019 | 0.10 |
The correlation between FARYX and GAAVX shifts across timeframes, from -0.08 (1 year) to 0.10 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
FARYX vs. GAAVX — Risk / Return Rank
FARYX
GAAVX
FARYX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fulcrum Diversified Absolute Return Fund (FARYX) 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.
| FARYX | GAAVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.04 | ||
| Sortino ratioReturn per unit of downside risk | -1.85 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.44 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 1.48 | 3.66 | -2.18 |
| Martin ratioReturn relative to average drawdown | 4.32 | 10.35 | -6.03 |
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Drawdowns
FARYX vs. GAAVX - Drawdown Comparison
The maximum FARYX drawdown since its inception was -7.41%, smaller than the maximum GAAVX drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for FARYX and GAAVX.
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Drawdown Indicators
| FARYX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -7.41% | -9.59% | +2.18% |
Max Drawdown (1Y)Largest decline over 1 year | -6.77% | -4.29% | -2.48% |
Max Drawdown (3Y)Largest decline over 3 years | -6.77% | -7.73% | +0.96% |
Max Drawdown (5Y)Largest decline over 5 years | -6.87% | -7.73% | +0.86% |
Max Drawdown (10Y)Largest decline over 10 years | -7.41% | — | — |
Current DrawdownCurrent decline from peak | -6.77% | -0.54% | -6.23% |
Average DrawdownAverage peak-to-trough decline | -1.89% | -3.06% | +1.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.32% | 1.52% | +0.80% |
Volatility
FARYX vs. GAAVX - Volatility Comparison
The current volatility for Fulcrum Diversified Absolute Return Fund (FARYX) is 1.75%, while GMO Alternative Allocation Fund (GAAVX) has a volatility of 2.07%. This indicates that FARYX 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
| FARYX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.75% | 2.07% | -0.32% |
Volatility (6M)Calculated over the trailing 6-month period | 5.40% | 5.41% | -0.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.88% | 6.80% | +1.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.31% | 5.93% | +0.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.84% | 5.95% | -0.11% |
FARYX vs. GAAVX - Expense Ratio Comparison
FARYX has a 1.04% expense ratio, which is higher than GAAVX's 0.61% expense ratio.
Dividends
FARYX vs. GAAVX - Dividend Comparison
FARYX's dividend yield for the trailing twelve months is around 7.05%, less than GAAVX's 8.83% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
FARYX Fulcrum Diversified Absolute Return Fund | 7.05% | 7.18% | 4.39% | 0.89% | 1.28% | 8.96% | 7.79% | 0.63% | 8.88% | 3.39% | 0.40% |
GAAVX GMO Alternative Allocation Fund | 8.83% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FARYX 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.
GAAVX has higher volatility (2.07%) compared to FARYX (1.75%). In terms of maximum drawdown, FARYX dropped -7.41% vs GAAVX's -9.59%.
GAAVX currently has the higher Sharpe Ratio (2.31 vs 1.27), 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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