GABFX vs. GMWAX
Compare and contrast key facts about GMO Asset Allocation Bond Fund (GABFX) and GMO Global Asset Allocation Fund (GMWAX).
GABFX is managed by GMO. It was launched on Mar 17, 2009. GMWAX is managed by GMO. It was launched on Oct 21, 1996.
Performance
GABFX vs. GMWAX - Performance Comparison
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GABFX vs. GMWAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | -1.12% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 8.00% | 0.78% | 2.41% |
GMWAX GMO Global Asset Allocation Fund | 1.62% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 17.70% | -7.21% | 15.73% |
Returns By Period
In the year-to-date period, GABFX achieves a -1.12% return, which is significantly lower than GMWAX's 1.62% return. Over the past 10 years, GABFX has underperformed GMWAX with an annualized return of 0.76%, while GMWAX has yielded a comparatively higher 6.66% annualized return.
GABFX
- 1D
- 1.43%
- 1M
- -4.35%
- YTD
- -1.12%
- 6M
- -0.76%
- 1Y
- 0.95%
- 3Y*
- -1.13%
- 5Y*
- -2.21%
- 10Y*
- 0.76%
GMWAX
- 1D
- 0.10%
- 1M
- -6.59%
- YTD
- 1.62%
- 6M
- 7.26%
- 1Y
- 21.34%
- 3Y*
- 11.75%
- 5Y*
- 5.45%
- 10Y*
- 6.66%
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GABFX vs. GMWAX - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is higher than GMWAX's 0.00% expense ratio.
Return for Risk
GABFX vs. GMWAX — Risk / Return Rank
GABFX
GMWAX
GABFX vs. GMWAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO Global Asset Allocation Fund (GMWAX). 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.
| GABFX | GMWAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.09 | 2.05 | -1.96 |
Sortino ratioReturn per unit of downside risk | 0.22 | 2.77 | -2.55 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.41 | -0.38 |
Calmar ratioReturn relative to maximum drawdown | 0.30 | 2.54 | -2.24 |
Martin ratioReturn relative to average drawdown | 0.65 | 10.61 | -9.96 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GABFX | GMWAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.09 | 2.05 | -1.96 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.16 | 0.55 | -0.71 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.07 | 0.65 | -0.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.15 | 0.29 | -0.14 |
Correlation
The correlation between GABFX and GMWAX is 0.11, 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.
Dividends
GABFX vs. GMWAX - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 2.72%, less than GMWAX's 4.80% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 2.72% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
GMWAX GMO Global Asset Allocation Fund | 4.80% | 4.88% | 0.14% | 5.47% | 3.78% | 6.16% | 4.00% | 4.00% | 3.77% | 2.50% | 2.25% | 3.13% |
Drawdowns
GABFX vs. GMWAX - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum GMWAX drawdown of -41.69%. Use the drawdown chart below to compare losses from any high point for GABFX and GMWAX.
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Drawdown Indicators
| GABFX | GMWAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.84% | -41.69% | +13.85% |
Max Drawdown (1Y)Largest decline over 1 year | -11.04% | -8.00% | -3.04% |
Max Drawdown (5Y)Largest decline over 5 years | -27.84% | -22.47% | -5.37% |
Max Drawdown (10Y)Largest decline over 10 years | -27.84% | -25.12% | -2.72% |
Current DrawdownCurrent decline from peak | -15.37% | -6.65% | -8.72% |
Average DrawdownAverage peak-to-trough decline | -7.20% | -11.29% | +4.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.03% | 1.91% | +3.12% |
Volatility
GABFX vs. GMWAX - Volatility Comparison
The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 3.57%, while GMO Global Asset Allocation Fund (GMWAX) has a volatility of 3.79%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than GMWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GABFX | GMWAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.57% | 3.79% | -0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 6.77% | 6.51% | +0.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.22% | 10.42% | +2.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.92% | 9.93% | +3.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.28% | 10.28% | 0.00% |