GABFX vs. GTMIX
Compare and contrast key facts about GMO Asset Allocation Bond Fund (GABFX) and GMO Tax-Managed International Equities Fund (GTMIX).
GABFX is managed by GMO. It was launched on Mar 17, 2009. GTMIX is managed by GMO. It was launched on Jul 28, 1998.
Performance
GABFX vs. GTMIX - Performance Comparison
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GABFX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | -0.91% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 8.00% | 0.78% | 2.41% |
GTMIX GMO Tax-Managed International Equities Fund | 8.42% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Returns By Period
In the year-to-date period, GABFX achieves a -0.91% return, which is significantly lower than GTMIX's 8.42% return. Over the past 10 years, GABFX has underperformed GTMIX with an annualized return of 0.78%, while GTMIX has yielded a comparatively higher 9.87% annualized return.
GABFX
- 1D
- 0.22%
- 1M
- -2.99%
- YTD
- -0.91%
- 6M
- -1.17%
- 1Y
- -0.47%
- 3Y*
- -1.06%
- 5Y*
- -2.21%
- 10Y*
- 0.78%
GTMIX
- 1D
- 2.48%
- 1M
- -3.58%
- YTD
- 8.42%
- 6M
- 17.91%
- 1Y
- 41.17%
- 3Y*
- 20.26%
- 5Y*
- 11.29%
- 10Y*
- 9.87%
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GABFX vs. GTMIX - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is lower than GTMIX's 0.68% expense ratio.
Return for Risk
GABFX vs. GTMIX — Risk / Return Rank
GABFX
GTMIX
GABFX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and GMO Tax-Managed International Equities Fund (GTMIX). 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 | GTMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.09 | 2.67 | -2.58 |
Sortino ratioReturn per unit of downside risk | 0.22 | 3.40 | -3.18 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.52 | -0.50 |
Calmar ratioReturn relative to maximum drawdown | 0.13 | 3.54 | -3.42 |
Martin ratioReturn relative to average drawdown | 0.28 | 16.76 | -16.48 |
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 | GTMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.09 | 2.67 | -2.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.16 | 0.76 | -0.92 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.08 | 0.62 | -0.54 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.16 | 0.40 | -0.24 |
Correlation
The correlation between GABFX and GTMIX is 0.03, 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. GTMIX - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 2.71%, less than GTMIX's 20.69% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 2.71% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
Drawdowns
GABFX vs. GTMIX - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for GABFX and GTMIX.
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Drawdown Indicators
| GABFX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.84% | -58.31% | +30.47% |
Max Drawdown (1Y)Largest decline over 1 year | -11.04% | -11.24% | +0.20% |
Max Drawdown (5Y)Largest decline over 5 years | -27.84% | -28.81% | +0.97% |
Max Drawdown (10Y)Largest decline over 10 years | -27.84% | -40.32% | +12.48% |
Current DrawdownCurrent decline from peak | -15.18% | -4.51% | -10.67% |
Average DrawdownAverage peak-to-trough decline | -7.20% | -12.75% | +5.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.04% | 2.38% | +2.66% |
Volatility
GABFX vs. GTMIX - Volatility Comparison
The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 3.44%, while GMO Tax-Managed International Equities Fund (GTMIX) has a volatility of 5.97%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GABFX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.44% | 5.97% | -2.53% |
Volatility (6M)Calculated over the trailing 6-month period | 6.72% | 9.56% | -2.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.20% | 15.56% | -2.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.92% | 14.91% | -0.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.28% | 16.06% | -5.78% |