GABFX vs. SPY
Compare and contrast key facts about GMO Asset Allocation Bond Fund (GABFX) and SPDR S&P 500 ETF (SPY).
GABFX is managed by GMO. It was launched on Mar 17, 2009. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GABFX or SPY.
Key characteristics
| GABFX | SPY | |
|---|---|---|
| YTD Return | -7.25% | 21.01% |
| 1Y Return | 6.23% | 32.86% |
| 3Y Return (Ann) | -5.24% | 8.37% |
| 5Y Return (Ann) | -0.65% | 14.97% |
| 10Y Return (Ann) | 0.19% | 12.86% |
| Sharpe Ratio | 0.46 | 2.83 |
| Sortino Ratio | 0.76 | 3.76 |
| Omega Ratio | 1.09 | 1.53 |
| Calmar Ratio | 0.37 | 4.05 |
| Martin Ratio | 1.13 | 18.38 |
| Ulcer Index | 7.56% | 1.85% |
| Daily Std Dev | 18.59% | 12.02% |
| Max Drawdown | -27.84% | -55.19% |
| Current Drawdown | -16.53% | -2.53% |
Correlation
The correlation between GABFX and SPY is -0.02. 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. SPY - Performance Comparison
In the year-to-date period, GABFX achieves a -7.25% return, which is significantly lower than SPY's 21.01% return. Over the past 10 years, GABFX has underperformed SPY with an annualized return of 0.19%, while SPY has yielded a comparatively higher 12.86% 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. SPY - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
GABFX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and SPDR S&P 500 ETF (SPY). 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. SPY - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 4.01%, more than SPY's 1.23% 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% |
SPY SPDR S&P 500 ETF | 1.23% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
GABFX vs. SPY - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GABFX and SPY. For additional features, visit the drawdowns tool.
Volatility
GABFX vs. SPY - Volatility Comparison
GMO Asset Allocation Bond Fund (GABFX) has a higher volatility of 3.67% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that GABFX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.