GABFX vs. GMAQX

Last updated Aug 1, 2026

GABFX (GMO Asset Allocation Bond Fund) and GMAQX (GMO Emerging Markets ex-China Fund) are both mutual funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while GMAQX is a Emerging Markets Equities fund managed by GMO. Over the past 3 years, GABFX returned -1.49%/yr vs 25.92%/yr for GMAQX. Their 0.07 correlation means their historical movements had little consistent relationship. GABFX charges 0.32%/yr vs 0.67%/yr for GMAQX.

Performance

GABFX vs. GMAQX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Asset Allocation Bond Fund (GABFX) and GMO Emerging Markets ex-China Fund (GMAQX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GABFX achieves a -6.32% return, which is significantly lower than GMAQX's 37.39% 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%

GMAQX

• 1D: 3.87%
• 1M: -3.47%
• 6M: 24.02%
• YTD: 37.39%
• 1Y: 60.19%
• 3Y*: 25.92%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 10.05%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GABFX GMO Asset Allocation Bond Fund	$0.00	$0.00	$0.00
GMAQX GMO Emerging Markets ex-China Fund	$0.00	$0.00	$0.00

GABFX vs. GMAQX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
GABFX GMO Asset Allocation Bond Fund	-6.32%	8.82%	-12.60%	8.33%	-14.86%	0.51%
GMAQX GMO Emerging Markets ex-China Fund	37.39%	32.09%	0.62%	27.41%	-32.38%	0.47%

Correlation

The correlation between GABFX and GMAQX is 0.13, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.13
Correlation (3Y) Balances recent behavior with more history.	0.09
Correlation (All Time) Calculated using the full available price history since Oct 18, 2021	0.07

Return for Risk

GABFX vs. GMAQX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GABFX

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

GMAQX

GMAQX Risk / Return Rank: 87
GMAQX Sharpe Ratio Rank: 89
GMAQX Sortino Ratio Rank: 83
GMAQX Omega Ratio Rank: 87
GMAQX Calmar Ratio Rank: 91
GMAQX Martin Ratio Rank: 86

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

GABFX vs. GMAQX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO Emerging Markets ex-China Fund (GMAQX). 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	GMAQX	Difference
Sharpe ratio: Return per unit of total volatility	-0.20	2.23	-2.43
Sortino ratio: Return per unit of downside risk	-0.22	2.99	-3.21
Omega ratio: Gain probability vs. loss probability	0.98	1.45	-0.47
Calmar ratio: Return relative to maximum drawdown	-0.19	3.49	-3.68
Martin ratio: Return relative to average drawdown	-0.41	11.14	-11.55

GABFX vs. GMAQX - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is -0.20, which is lower than the GMAQX Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of GABFX and GMAQX, 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. GMAQX - Drawdown Comparison

The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum GMAQX drawdown of -41.97%. Use the drawdown chart below to compare losses from any high point for GABFX and GMAQX.

Drawdown Indicators

	GABFX	GMAQX	Difference
Max Drawdown Largest peak-to-trough decline	-27.84%	-41.97%	+14.13%
Max Drawdown (1Y) Largest decline over 1 year	-10.10%	-16.27%	+6.17%
Max Drawdown (3Y) Largest decline over 3 years	-19.48%	-19.64%	+0.16%
Max Drawdown (5Y) Largest decline over 5 years	-27.84%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-27.84%	—	—
Current Drawdown Current decline from peak	-19.81%	-13.02%	-6.79%
Average Drawdown Average peak-to-trough decline	-7.40%	-16.45%	+9.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.70%	5.09%	-0.39%

Volatility

GABFX vs. GMAQX - Volatility Comparison

The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 2.17%, while GMO Emerging Markets ex-China Fund (GMAQX) has a volatility of 9.63%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than GMAQX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GABFX	GMAQX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.17%	9.63%	-7.46%
Volatility (6M) Calculated over the trailing 6-month period	6.62%	23.87%	-17.25%
Volatility (1Y) Calculated over the trailing 1-year period	9.70%	25.42%	-15.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.06%	18.28%	-4.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.39%	18.28%	-7.89%

GABFX vs. GMAQX - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is lower than GMAQX's 0.67% expense ratio.

Dividends

GABFX vs. GMAQX - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.93%, less than GMAQX's 12.03% 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%
GMAQX GMO Emerging Markets ex-China Fund	12.03%	9.43%	32.28%	6.76%	4.94%	0.66%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GABFX and GMAQX in my portfolio?

GABFX and GMAQX have a correlation of 0.13, 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 GMAQX?

GMAQX has higher volatility (9.63%) compared to GABFX (2.17%). In terms of maximum drawdown, GABFX dropped -27.84% vs GMAQX's -41.97%.

Which has better risk-adjusted returns?

GMAQX currently has the higher Sharpe Ratio (2.23 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.