GABFX vs. DFAAX

Last updated Jul 14, 2026

GABFX (GMO Asset Allocation Bond Fund) and DFAAX (DFA Global Core Plus Real Return Portfolio) are both Inflation-Protected Bonds funds. Over the past 5 years, GABFX returned -3.85%/yr vs 4.92%/yr for DFAAX. A 0.59 correlation means they provide meaningful diversification when combined. GABFX charges 0.32%/yr vs 0.29%/yr for DFAAX.

Performance

GABFX vs. DFAAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Asset Allocation Bond Fund (GABFX) and DFA Global Core Plus Real Return Portfolio (DFAAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GABFX achieves a -5.46% return, which is significantly lower than DFAAX's 2.46% return.

GABFX

• 1D: -0.40%
• 1M: -1.00%
• 6M: -5.15%
• YTD: -5.46%
• 1Y: -0.02%
• 3Y*: -1.05%
• 5Y*: -3.85%
• 10Y*: 0.24%

DFAAX

• 1D: 0.10%
• 1M: -0.18%
• 6M: 1.82%
• YTD: 2.46%
• 1Y: 4.23%
• 3Y*: 6.30%
• 5Y*: 4.92%
• 10Y*: —

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

GABFX vs. DFAAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
GABFX GMO Asset Allocation Bond Fund	-5.46%	8.82%	-12.60%	8.33%	-14.86%	0.92%
DFAAX DFA Global Core Plus Real Return Portfolio	2.46%	5.18%	4.41%	9.49%	-13.40%	20.47%

Correlation

The correlation between GABFX and DFAAX is 0.55, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.55
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (5Y) Calculated over the trailing 5-year period	0.59
Correlation (All Time) Calculated using the full available price history since May 5, 2021	0.59

The correlation between GABFX and DFAAX has been stable across timeframes, ranging from 0.55 to 0.64 - a consistent structural relationship.

Return for Risk

GABFX vs. DFAAX — Risk / Return Rank

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

GABFX

GABFX Risk / Return Rank: 2
GABFX Sharpe Ratio Rank: 3
GABFX Sortino Ratio Rank: 2
GABFX Omega Ratio Rank: 2
GABFX Calmar Ratio Rank: 2
GABFX Martin Ratio Rank: 2

DFAAX

DFAAX Risk / Return Rank: 39
DFAAX Sharpe Ratio Rank: 40
DFAAX Sortino Ratio Rank: 45
DFAAX Omega Ratio Rank: 43
DFAAX Calmar Ratio Rank: 33
DFAAX Martin Ratio Rank: 34

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.

GABFX vs. DFAAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and DFA Global Core Plus Real Return Portfolio (DFAAX). 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.

	GABFX	DFAAX	Difference
Sharpe ratio: Return per unit of total volatility	-0.14	1.42	-1.56
Sortino ratio: Return per unit of downside risk	-0.14	2.16	-2.30
Omega ratio: Gain probability vs. loss probability	0.98	1.27	-0.28
Calmar ratio: Return relative to maximum drawdown	-0.15	1.68	-1.83
Martin ratio: Return relative to average drawdown	-0.34	5.97	-6.31

GABFX vs. DFAAX - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is -0.14, which is lower than the DFAAX Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of GABFX and DFAAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GABFX vs. DFAAX - Drawdown Comparison

The maximum GABFX drawdown since its inception was -27.84%, which is greater than DFAAX's maximum drawdown of -16.64%. Use the drawdown chart below to compare losses from any high point for GABFX and DFAAX.

Drawdown Indicators

	GABFX	DFAAX	Difference
Max Drawdown Largest peak-to-trough decline	-27.84%	-16.64%	-11.20%
Max Drawdown (1Y) Largest decline over 1 year	-9.58%	-2.55%	-7.03%
Max Drawdown (3Y) Largest decline over 3 years	-19.48%	-3.44%	-16.04%
Max Drawdown (5Y) Largest decline over 5 years	-27.84%	-16.64%	-11.20%
Max Drawdown (10Y) Largest decline over 10 years	-27.84%	—	—
Current Drawdown Current decline from peak	-19.08%	-0.59%	-18.49%
Average Drawdown Average peak-to-trough decline	-7.36%	-4.46%	-2.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.20%	0.71%	+3.49%

Volatility

GABFX vs. DFAAX - Volatility Comparison

GMO Asset Allocation Bond Fund (GABFX) has a higher volatility of 2.49% compared to DFA Global Core Plus Real Return Portfolio (DFAAX) at 0.87%. This indicates that GABFX's price experiences larger fluctuations and is considered to be riskier than DFAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GABFX	DFAAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.49%	0.87%	+1.62%
Volatility (6M) Calculated over the trailing 6-month period	6.68%	2.33%	+4.35%
Volatility (1Y) Calculated over the trailing 1-year period	10.02%	3.01%	+7.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.04%	8.37%	+5.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.38%	8.25%	+2.13%

GABFX vs. DFAAX - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is higher than DFAAX's 0.29% expense ratio.

Dividends

GABFX vs. DFAAX - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.91%, less than DFAAX's 4.58% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAAX DFA Global Core Plus Real Return Portfolio	4.58%	2.90%	4.09%	3.96%	2.06%	13.05%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
GABFX GMO Asset Allocation Bond Fund	2.91%	2.69%	4.19%	5.03%	0.71%	1.81%	1.20%	4.72%	5.13%	1.07%	0.00%	7.43%

Frequently Asked Questions

Can I hold both GABFX and DFAAX in my portfolio?

GABFX and DFAAX have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GABFX or DFAAX?

GABFX has higher volatility (2.49%) compared to DFAAX (0.87%). In terms of maximum drawdown, GABFX dropped -27.84% vs DFAAX's -16.64%.

Which has better risk-adjusted returns?

DFAAX currently has the higher Sharpe Ratio (1.42 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.