PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GABFX vs. GABF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GABFX and GABF is 0.10, 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.


-0.50.00.51.00.1

Performance

GABFX vs. GABF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Asset Allocation Bond Fund (GABFX) and Gabelli Financial Services Opportunities ETF (GABF). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
-11.84%
100.38%
GABFX
GABF

Key characteristics

Sharpe Ratio

GABFX:

-0.78

GABF:

2.82

Sortino Ratio

GABFX:

-0.96

GABF:

3.79

Omega Ratio

GABFX:

0.88

GABF:

1.51

Calmar Ratio

GABFX:

-0.60

GABF:

4.85

Martin Ratio

GABFX:

-1.60

GABF:

20.78

Ulcer Index

GABFX:

8.89%

GABF:

2.28%

Daily Std Dev

GABFX:

18.34%

GABF:

16.81%

Max Drawdown

GABFX:

-27.84%

GABF:

-17.14%

Current Drawdown

GABFX:

-23.28%

GABF:

-6.43%

Returns By Period

In the year-to-date period, GABFX achieves a -14.75% return, which is significantly lower than GABF's 43.66% return.


GABFX

YTD

-14.75%

1M

-6.09%

6M

-8.75%

1Y

-14.02%

5Y*

-2.36%

10Y*

-0.74%

GABF

YTD

43.66%

1M

-3.19%

6M

24.50%

1Y

45.52%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


GABFX vs. GABF - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is higher than GABF's 0.10% expense ratio.


GABFX
GMO Asset Allocation Bond Fund
Expense ratio chart for GABFX: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
Expense ratio chart for GABF: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

GABFX vs. GABF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and Gabelli Financial Services Opportunities ETF (GABF). 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.


Sharpe ratio
The chart of Sharpe ratio for GABFX, currently valued at -0.78, compared to the broader market-1.000.001.002.003.004.00-0.782.82
The chart of Sortino ratio for GABFX, currently valued at -0.96, compared to the broader market-2.000.002.004.006.008.0010.00-0.963.79
The chart of Omega ratio for GABFX, currently valued at 0.88, compared to the broader market0.501.001.502.002.503.003.500.881.51
The chart of Calmar ratio for GABFX, currently valued at -0.73, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.734.85
The chart of Martin ratio for GABFX, currently valued at -1.60, compared to the broader market0.0020.0040.0060.00-1.6020.78
GABFX
GABF

The current GABFX Sharpe Ratio is -0.78, which is lower than the GABF Sharpe Ratio of 2.82. The chart below compares the historical Sharpe Ratios of GABFX and GABF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
-0.78
2.82
GABFX
GABF

Dividends

GABFX vs. GABF - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 0.97%, less than GABF's 3.44% yield.


TTM20232022202120202019201820172016201520142013
GABFX
GMO Asset Allocation Bond Fund
0.97%5.03%0.72%1.81%1.21%4.72%5.13%1.08%0.00%7.43%2.78%0.21%
GABF
Gabelli Financial Services Opportunities ETF
3.44%4.95%1.31%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

GABFX vs. GABF - Drawdown Comparison

The maximum GABFX drawdown since its inception was -27.84%, which is greater than GABF's maximum drawdown of -17.14%. Use the drawdown chart below to compare losses from any high point for GABFX and GABF. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.82%
-6.43%
GABFX
GABF

Volatility

GABFX vs. GABF - Volatility Comparison

GMO Asset Allocation Bond Fund (GABFX) has a higher volatility of 7.52% compared to Gabelli Financial Services Opportunities ETF (GABF) at 5.03%. This indicates that GABFX's price experiences larger fluctuations and is considered to be riskier than GABF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.52%
5.03%
GABFX
GABF
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab