GABFX vs. GIOTX

Last updated Jun 24, 2026

GABFX (GMO Asset Allocation Bond Fund) and GIOTX (GMO International Developed Equity Allocation Fund) are both mutual funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while GIOTX is a Foreign Large Cap Equities fund managed by GMO. Over the past 10 years, GABFX returned 0.36%/yr vs 12.73%/yr for GIOTX. At a 0.04 correlation, their price movements are largely independent. GABFX charges 0.32%/yr vs 0.00%/yr for GIOTX.

Performance

GABFX vs. GIOTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Asset Allocation Bond Fund (GABFX) and GMO International Developed Equity Allocation Fund (GIOTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GABFX achieves a -4.93% return, which is significantly lower than GIOTX's 19.59% return. Over the past 10 years, GABFX has underperformed GIOTX with an annualized return of 0.36%, while GIOTX has yielded a comparatively higher 12.73% annualized return.

GABFX

• 1D: -0.73%
• 1M: 0.74%
• YTD: -4.93%
• 6M: -4.57%
• 1Y: -1.30%
• 3Y*: -1.75%
• 5Y*: -3.54%
• 10Y*: 0.36%

GIOTX

• 1D: 0.33%
• 1M: 2.51%
• YTD: 19.59%
• 6M: 18.89%
• 1Y: 43.89%
• 3Y*: 28.00%
• 5Y*: 14.80%
• 10Y*: 12.73%

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

GABFX vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GABFX GMO Asset Allocation Bond Fund	-4.93%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%
GIOTX GMO International Developed Equity Allocation Fund	19.59%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-19.66%	26.38%

Correlation

The correlation between GABFX and GIOTX is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.32
Correlation (3Y) Calculated over the trailing 3-year period	0.24
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (10Y) Calculated over the trailing 10-year period	0.07
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	0.04

Over the past year, GABFX and GIOTX have become more correlated (0.32) than their long-term average of 0.04, meaning their price movements have been converging.

Return for Risk

GABFX vs. GIOTX — Risk / Return Rank

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

GABFX

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

GIOTX

GIOTX Risk / Return Rank: 89
GIOTX Sharpe Ratio Rank: 92
GIOTX Sortino Ratio Rank: 88
GIOTX Omega Ratio Rank: 84
GIOTX Calmar Ratio Rank: 89
GIOTX Martin Ratio Rank: 90

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. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO International Developed Equity Allocation Fund (GIOTX). 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	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	-0.04	2.86	-2.90
Sortino ratio: Return per unit of downside risk	0.02	3.91	-3.89
Omega ratio: Gain probability vs. loss probability	1.00	1.52	-0.52
Calmar ratio: Return relative to maximum drawdown	-0.04	4.22	-4.26
Martin ratio: Return relative to average drawdown	-0.10	16.54	-16.64

GABFX vs. GIOTX - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is -0.04, which is lower than the GIOTX Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of GABFX and GIOTX, 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. GIOTX - Drawdown Comparison

The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for GABFX and GIOTX.

Drawdown Indicators

	GABFX	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-27.84%	-56.51%	+28.67%
Max Drawdown (1Y) Largest decline over 1 year	-9.58%	-10.66%	+1.08%
Max Drawdown (3Y) Largest decline over 3 years	-19.48%	-13.40%	-6.08%
Max Drawdown (5Y) Largest decline over 5 years	-27.84%	-28.34%	+0.50%
Max Drawdown (10Y) Largest decline over 10 years	-27.84%	-39.29%	+11.45%
Current Drawdown Current decline from peak	-18.62%	0.00%	-18.62%
Average Drawdown Average peak-to-trough decline	-7.33%	-14.20%	+6.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.92%	2.71%	+1.21%

Volatility

GABFX vs. GIOTX - Volatility Comparison

The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 2.31%, while GMO International Developed Equity Allocation Fund (GIOTX) has a volatility of 5.16%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than GIOTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GABFX	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.31%	5.16%	-2.85%
Volatility (6M) Calculated over the trailing 6-month period	6.59%	12.66%	-6.07%
Volatility (1Y) Calculated over the trailing 1-year period	10.22%	15.73%	-5.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.03%	15.48%	-1.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	16.33%	-5.96%

GABFX vs. GIOTX - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is higher than GIOTX's 0.00% expense ratio.

Dividends

GABFX vs. GIOTX - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.83%, less than GIOTX's 6.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GABFX GMO Asset Allocation Bond Fund	2.83%	2.69%	4.19%	5.03%	0.71%	1.81%	1.20%	4.72%	5.13%	1.07%	0.00%	7.43%
GIOTX GMO International Developed Equity Allocation Fund	6.72%	8.04%	5.07%	6.54%	4.45%	6.67%	4.48%	3.74%	3.90%	3.15%	4.04%	3.39%

Frequently Asked Questions

Can I hold both GABFX and GIOTX in my portfolio?

GABFX and GIOTX have a correlation of 0.32, 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 GIOTX?

GIOTX has higher volatility (5.16%) compared to GABFX (2.31%). In terms of maximum drawdown, GABFX dropped -27.84% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.86 vs -0.04), 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.