GABFX vs. QQQ
Compare and contrast key facts about GMO Asset Allocation Bond Fund (GABFX) and Invesco QQQ (QQQ).
GABFX is managed by GMO. It was launched on Mar 17, 2009. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GABFX or QQQ.
Key characteristics
| GABFX | QQQ | |
|---|---|---|
| YTD Return | -7.25% | 19.19% |
| 1Y Return | 6.23% | 33.08% |
| 3Y Return (Ann) | -5.24% | 7.58% |
| 5Y Return (Ann) | -0.65% | 20.31% |
| 10Y Return (Ann) | 0.19% | 17.95% |
| Sharpe Ratio | 0.46 | 2.01 |
| Sortino Ratio | 0.76 | 2.66 |
| Omega Ratio | 1.09 | 1.36 |
| Calmar Ratio | 0.37 | 2.56 |
| Martin Ratio | 1.13 | 9.32 |
| Ulcer Index | 7.56% | 3.72% |
| Daily Std Dev | 18.59% | 17.23% |
| Max Drawdown | -27.84% | -82.98% |
| Current Drawdown | -16.53% | -3.23% |
Correlation
The correlation between GABFX and QQQ is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
GABFX vs. QQQ - Performance Comparison
In the year-to-date period, GABFX achieves a -7.25% return, which is significantly lower than QQQ's 19.19% return. Over the past 10 years, GABFX has underperformed QQQ with an annualized return of 0.19%, while QQQ has yielded a comparatively higher 17.95% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GABFX vs. QQQ - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is higher than QQQ's 0.20% expense ratio.
Risk-Adjusted Performance
GABFX vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and Invesco QQQ (QQQ). 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.
Dividends
GABFX vs. QQQ - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 4.01%, more than QQQ's 0.62% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 4.01% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.37% | 4.35% | 0.21% |
QQQ Invesco QQQ | 0.62% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.01% |
Drawdowns
GABFX vs. QQQ - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for GABFX and QQQ. For additional features, visit the drawdowns tool.
Volatility
GABFX vs. QQQ - Volatility Comparison
The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 3.67%, while Invesco QQQ (QQQ) has a volatility of 4.47%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.