GABFX vs. GBFFX
GABFX (GMO Asset Allocation Bond Fund) and GBFFX (GMO Benchmark-Free Fund) are both mutual funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while GBFFX is a Global Allocation fund managed by GMO. Over the past 10 years, GABFX returned 0.17%/yr vs 6.99%/yr for GBFFX. Their 0.12 correlation means their historical movements had little consistent relationship. GABFX charges 0.32%/yr vs 0.35%/yr for GBFFX.
Performance
GABFX vs. GBFFX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, GABFX achieves a -6.32% return, which is significantly lower than GBFFX's 13.32% return. Over the past 10 years, GABFX has underperformed GBFFX with an annualized return of 0.17%, while GBFFX has yielded a comparatively higher 6.99% annualized return.
GABFX
- 1D
- -0.51%
- 1M
- -2.02%
- 6M
- -5.61%
- YTD
- -6.32%
- 1Y
- -4.62%
- 3Y*
- -1.49%
- 5Y*
- -4.23%
- 10Y*
- 0.17%
- ALL TIME*
- 0.99%
GBFFX
- 1D
- 0.86%
- 1M
- 3.35%
- 6M
- 8.61%
- YTD
- 13.32%
- 1Y
- 26.59%
- 3Y*
- 14.01%
- 5Y*
- 9.38%
- 10Y*
- 6.99%
- ALL TIME*
- 6.38%
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 |
GABFX vs. GBFFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | -6.32% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 8.00% | 0.78% | 2.41% |
GBFFX GMO Benchmark-Free Fund | 13.32% | 24.07% | 0.40% | 15.24% | -3.36% | 4.38% | -3.35% | 13.79% | -7.12% | 17.06% |
Correlation
The correlation between GABFX and GBFFX is 0.39, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.39 |
Correlation (3Y) Balances recent behavior with more history. | 0.30 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.21 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.10 |
Correlation (All Time) Calculated using the full available price history since Jul 10, 2015 | 0.12 |
Over the past year, GABFX and GBFFX have become more correlated (0.39) than their long-term average of 0.12, meaning their price movements have been converging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
GABFX vs. GBFFX — Risk / Return Rank
GABFX
GBFFX
GABFX vs. GBFFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO Benchmark-Free Fund (GBFFX). 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 | GBFFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.93 | ||
| Sortino ratioReturn per unit of downside risk | -5.57 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.75 | -0.77 |
| Calmar ratioReturn relative to maximum drawdown | -0.19 | 4.69 | -4.88 |
| Martin ratioReturn relative to average drawdown | -0.41 | 17.01 | -17.42 |
Loading charts...
Drawdowns
GABFX vs. GBFFX - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, roughly equal to the maximum GBFFX drawdown of -26.62%. Use the drawdown chart below to compare losses from any high point for GABFX and GBFFX.
Loading charts...
Drawdown Indicators
| GABFX | GBFFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.84% | -26.62% | -1.22% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -5.67% | -4.43% |
Max Drawdown (3Y)Largest decline over 3 years | -19.48% | -10.18% | -9.30% |
Max Drawdown (5Y)Largest decline over 5 years | -27.81% | -15.16% | -12.65% |
Max Drawdown (10Y)Largest decline over 10 years | -27.84% | -26.62% | -1.22% |
Current DrawdownCurrent decline from peak | -19.81% | 0.00% | -19.81% |
Average DrawdownAverage peak-to-trough decline | -7.40% | -4.33% | -3.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.70% | 1.56% | +3.14% |
Volatility
GABFX vs. GBFFX - Volatility Comparison
GMO Asset Allocation Bond Fund (GABFX) has a higher volatility of 2.17% compared to GMO Benchmark-Free Fund (GBFFX) at 1.83%. This indicates that GABFX's price experiences larger fluctuations and is considered to be riskier than GBFFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| GABFX | GBFFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.17% | 1.83% | +0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 6.62% | 5.84% | +0.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.70% | 7.14% | +2.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.06% | 8.11% | +5.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.39% | 9.03% | +1.36% |
GABFX vs. GBFFX - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is lower than GBFFX's 0.35% expense ratio.
Dividends
GABFX vs. GBFFX - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 2.93%, less than GBFFX's 4.90% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 2.93% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
GBFFX GMO Benchmark-Free Fund | 4.90% | 5.11% | 1.81% | 5.72% | 5.48% | 4.60% | 3.32% | 4.00% | 3.92% | 2.90% | 2.72% | 6.67% |
Frequently Asked Questions
GABFX and GBFFX have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GABFX has higher volatility (2.17%) compared to GBFFX (1.83%). In terms of maximum drawdown, GABFX dropped -27.84% vs GBFFX's -26.62%.
GBFFX currently has the higher Sharpe Ratio (3.73 vs -0.20), 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.
Find the right allocation for GABFX and GBFFX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer