GABFX vs. GQETX
GABFX (GMO Asset Allocation Bond Fund) and GQETX (GMO Quality Fund) are both mutual funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while GQETX is a Quality Factor fund managed by GMO. Over the past 10 years, GABFX returned 0.17%/yr vs 15.76%/yr for GQETX. Their 0.02 correlation means their historical movements had little consistent relationship. GABFX charges 0.32%/yr vs 0.49%/yr for GQETX.
Performance
GABFX vs. GQETX - Performance Comparison
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Returns By Period
In the year-to-date period, GABFX achieves a -6.32% return, which is significantly lower than GQETX's 6.51% return. Over the past 10 years, GABFX has underperformed GQETX with an annualized return of 0.17%, while GQETX has yielded a comparatively higher 15.76% 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%
GQETX
- 1D
- 0.86%
- 1M
- -0.11%
- 6M
- 4.98%
- YTD
- 6.51%
- 1Y
- 21.59%
- 3Y*
- 15.78%
- 5Y*
- 12.56%
- 10Y*
- 15.76%
- ALL TIME*
- 11.67%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
GQETX GMO Quality Fund | $0.00 | $0.00 | $0.00 |
GABFX vs. GQETX - 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% |
GQETX GMO Quality Fund | 6.51% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 31.77% | 0.50% | 29.11% |
Correlation
The correlation between GABFX and GQETX is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.16 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.11 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.04 |
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009 | 0.02 |
Over the past year, GABFX and GQETX have become more correlated (0.27) than their long-term average of 0.02, meaning their price movements have been converging.
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Return for Risk
GABFX vs. GQETX — Risk / Return Rank
GABFX
GQETX
GABFX vs. GQETX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO Quality Fund (GQETX). 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 | GQETX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.69 | ||
| Sortino ratioReturn per unit of downside risk | -2.34 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.26 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.19 | 1.50 | -1.69 |
| Martin ratioReturn relative to average drawdown | -0.41 | 5.93 | -6.33 |
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Drawdowns
GABFX vs. GQETX - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum GQETX drawdown of -39.99%. Use the drawdown chart below to compare losses from any high point for GABFX and GQETX.
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Drawdown Indicators
| GABFX | GQETX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.84% | -39.99% | +12.15% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -12.76% | +2.66% |
Max Drawdown (3Y)Largest decline over 3 years | -19.48% | -15.54% | -3.94% |
Max Drawdown (5Y)Largest decline over 5 years | -27.81% | -24.22% | -3.59% |
Max Drawdown (10Y)Largest decline over 10 years | -27.84% | -30.44% | +2.60% |
Current DrawdownCurrent decline from peak | -19.81% | -0.36% | -19.45% |
Average DrawdownAverage peak-to-trough decline | -7.40% | -4.97% | -2.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.70% | 3.23% | +1.47% |
Volatility
GABFX vs. GQETX - Volatility Comparison
The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 2.17%, while GMO Quality Fund (GQETX) has a volatility of 3.13%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than GQETX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GABFX | GQETX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.17% | 3.13% | -0.96% |
Volatility (6M)Calculated over the trailing 6-month period | 6.62% | 10.17% | -3.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.70% | 12.81% | -3.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.06% | 15.93% | -1.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.39% | 17.06% | -6.67% |
GABFX vs. GQETX - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is lower than GQETX's 0.49% expense ratio.
Dividends
GABFX vs. GQETX - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 2.93%, less than GQETX's 11.24% 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% |
GQETX GMO Quality Fund | 11.24% | 11.16% | 3.91% | 3.43% | 11.85% | 10.19% | 13.61% | 8.08% | 21.66% | 8.10% | 3.56% | 17.25% |
Frequently Asked Questions
GABFX and GQETX have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GQETX has higher volatility (3.13%) compared to GABFX (2.17%). In terms of maximum drawdown, GABFX dropped -27.84% vs GQETX's -39.99%.
GQETX currently has the higher Sharpe Ratio (1.50 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.
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