GABFX vs. GMUEX

Last updated Jun 26, 2026

GABFX (GMO Asset Allocation Bond Fund) and GMUEX (GMO U.S. Equity Fund) are both mutual funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while GMUEX is a Large Cap Value Equities fund managed by GMO. Over the past 10 years, GABFX returned 0.51%/yr vs 14.54%/yr for GMUEX. At a correlation of -0.02, they often move in opposite directions. GABFX charges 0.32%/yr vs 0.47%/yr for GMUEX.

Performance

GABFX vs. GMUEX - Performance Comparison

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

Returns By Period

In the year-to-date period, GABFX achieves a -3.48% return, which is significantly lower than GMUEX's 13.68% return. Over the past 10 years, GABFX has underperformed GMUEX with an annualized return of 0.51%, while GMUEX has yielded a comparatively higher 14.54% annualized return.

GABFX

• 1D: 1.18%
• 1M: 1.12%
• YTD: -3.48%
• 6M: -3.69%
• 1Y: -0.23%
• 3Y*: -1.26%
• 5Y*: -3.20%
• 10Y*: 0.51%

GMUEX

• 1D: -0.12%
• 1M: -0.96%
• YTD: 13.68%
• 6M: 12.14%
• 1Y: 36.11%
• 3Y*: 23.24%
• 5Y*: 13.12%
• 10Y*: 14.54%

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

GABFX vs. GMUEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GABFX GMO Asset Allocation Bond Fund	-3.48%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%
GMUEX GMO U.S. Equity Fund	13.68%	22.24%	20.97%	22.02%	-12.66%	24.28%	13.56%	28.62%	-9.77%	18.46%

Correlation

The correlation between GABFX and GMUEX is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.19
Correlation (3Y) Calculated over the trailing 3-year period	0.11
Correlation (5Y) Calculated over the trailing 5-year period	0.06
Correlation (10Y) Calculated over the trailing 10-year period	-0.02
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	-0.02

The correlation between GABFX and GMUEX shifts across timeframes, from -0.02 (all time) to 0.19 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GABFX vs. GMUEX — 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: 3
GABFX Omega Ratio Rank: 3
GABFX Calmar Ratio Rank: 3
GABFX Martin Ratio Rank: 3

GMUEX

GMUEX Risk / Return Rank: 87
GMUEX Sharpe Ratio Rank: 89
GMUEX Sortino Ratio Rank: 84
GMUEX Omega Ratio Rank: 81
GMUEX Calmar Ratio Rank: 90
GMUEX Martin Ratio Rank: 92

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. GMUEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO U.S. Equity Fund (GMUEX). 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	GMUEX	Difference
Sharpe ratio: Return per unit of total volatility	-0.02	2.54	-2.56
Sortino ratio: Return per unit of downside risk	0.04	3.42	-3.38
Omega ratio: Gain probability vs. loss probability	1.00	1.44	-0.44
Calmar ratio: Return relative to maximum drawdown	-0.02	3.92	-3.95
Martin ratio: Return relative to average drawdown	-0.06	16.23	-16.29

GABFX vs. GMUEX - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is -0.02, which is lower than the GMUEX Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of GABFX and GMUEX, 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. GMUEX - Drawdown Comparison

The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum GMUEX drawdown of -60.66%. Use the drawdown chart below to compare losses from any high point for GABFX and GMUEX.

Drawdown Indicators

	GABFX	GMUEX	Difference
Max Drawdown Largest peak-to-trough decline	-27.84%	-60.66%	+32.82%
Max Drawdown (1Y) Largest decline over 1 year	-9.58%	-9.19%	-0.39%
Max Drawdown (3Y) Largest decline over 3 years	-19.48%	-20.85%	+1.37%
Max Drawdown (5Y) Largest decline over 5 years	-27.84%	-28.95%	+1.11%
Max Drawdown (10Y) Largest decline over 10 years	-27.84%	-33.90%	+6.06%
Current Drawdown Current decline from peak	-17.38%	-2.82%	-14.56%
Average Drawdown Average peak-to-trough decline	-7.34%	-17.23%	+9.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.97%	2.22%	+1.75%

Volatility

GABFX vs. GMUEX - Volatility Comparison

The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 2.57%, while GMO U.S. Equity Fund (GMUEX) has a volatility of 5.19%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than GMUEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GABFX	GMUEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.57%	5.19%	-2.62%
Volatility (6M) Calculated over the trailing 6-month period	6.68%	11.27%	-4.59%
Volatility (1Y) Calculated over the trailing 1-year period	10.23%	14.24%	-4.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.04%	19.89%	-5.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	19.52%	-9.15%

GABFX vs. GMUEX - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is lower than GMUEX's 0.47% expense ratio.

Dividends

GABFX vs. GMUEX - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.79%, less than GMUEX's 10.28% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GABFX GMO Asset Allocation Bond Fund	2.79%	2.69%	4.19%	5.03%	0.71%	1.81%	1.20%	4.72%	5.13%	1.07%	0.00%	7.43%
GMUEX GMO U.S. Equity Fund	10.28%	11.68%	17.31%	12.10%	6.99%	14.17%	9.16%	12.24%	21.90%	11.22%	11.27%	12.88%

Frequently Asked Questions

Can I hold both GABFX and GMUEX in my portfolio?

GABFX and GMUEX have a correlation of 0.19, 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 GMUEX?

GMUEX has higher volatility (5.19%) compared to GABFX (2.57%). In terms of maximum drawdown, GABFX dropped -27.84% vs GMUEX's -60.66%.

Which has better risk-adjusted returns?

GMUEX currently has the higher Sharpe Ratio (2.54 vs -0.02), 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.