GABFX vs. SPY

Last updated Jun 24, 2026

GABFX (GMO Asset Allocation Bond Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, GABFX returned 0.36%/yr vs 15.53%/yr for SPY. At a correlation of -0.01, they often move in opposite directions. GABFX charges 0.32%/yr vs 0.09%/yr for SPY.

Performance

GABFX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Asset Allocation Bond Fund (GABFX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GABFX achieves a -4.93% return, which is significantly lower than SPY's 8.15% return. Over the past 10 years, GABFX has underperformed SPY with an annualized return of 0.36%, while SPY has yielded a comparatively higher 15.53% annualized return.

GABFX

• 1D: -0.73%
• 1M: 0.74%
• YTD: -4.93%
• 6M: -4.57%
• 1Y: -1.30%
• 3Y*: -1.75%
• 5Y*: -3.54%
• 10Y*: 0.36%

SPY

• 1D: -1.45%
• 1M: -1.36%
• YTD: 8.15%
• 6M: 7.20%
• 1Y: 23.59%
• 3Y*: 20.68%
• 5Y*: 13.05%
• 10Y*: 15.53%

*Multi-year figures are annualized to reflect compound growth (CAGR)

GABFX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GABFX GMO Asset Allocation Bond Fund	-4.93%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%
SPY State Street SPDR S&P 500 ETF	8.15%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between GABFX and SPY is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.13
Correlation (5Y) Calculated over the trailing 5-year period	0.08
Correlation (10Y) Calculated over the trailing 10-year period	0.01
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	-0.01

The correlation between GABFX and SPY shifts across timeframes, from -0.01 (all time) to 0.21 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GABFX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GABFX

GABFX Risk / Return Rank: 3
GABFX Sharpe Ratio Rank: 3
GABFX Sortino Ratio Rank: 2
GABFX Omega Ratio Rank: 3
GABFX Calmar Ratio Rank: 3
GABFX Martin Ratio Rank: 3

SPY

SPY Risk / Return Rank: 59
SPY Sharpe Ratio Rank: 58
SPY Sortino Ratio Rank: 56
SPY Omega Ratio Rank: 57
SPY Calmar Ratio Rank: 56
SPY Martin Ratio Rank: 67

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GABFX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and State Street 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.

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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	-0.04	1.90	-1.94
Sortino ratio: Return per unit of downside risk	0.02	2.58	-2.56
Omega ratio: Gain probability vs. loss probability	1.00	1.34	-0.34
Calmar ratio: Return relative to maximum drawdown	-0.04	2.67	-2.71
Martin ratio: Return relative to average drawdown	-0.10	11.92	-12.02

GABFX vs. SPY - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is -0.04, which is lower than the SPY Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of GABFX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	GABFX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-27.84%	-55.19%	+27.35%
Max Drawdown (1Y) Largest decline over 1 year	-9.58%	-8.88%	-0.70%
Max Drawdown (3Y) Largest decline over 3 years	-19.48%	-18.76%	-0.72%
Max Drawdown (5Y) Largest decline over 5 years	-27.84%	-24.50%	-3.34%
Max Drawdown (10Y) Largest decline over 10 years	-27.84%	-33.72%	+5.88%
Current Drawdown Current decline from peak	-18.62%	-3.17%	-15.45%
Average Drawdown Average peak-to-trough decline	-7.33%	-9.04%	+1.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.92%	1.98%	+1.94%

Volatility

GABFX vs. SPY - Volatility Comparison

The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 2.31%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.87%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GABFX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.31%	4.87%	-2.56%
Volatility (6M) Calculated over the trailing 6-month period	6.59%	9.85%	-3.26%
Volatility (1Y) Calculated over the trailing 1-year period	10.22%	12.50%	-2.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.03%	17.15%	-3.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	17.95%	-7.58%

GABFX vs. SPY - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

GABFX vs. SPY - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.83%, more than SPY's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GABFX GMO Asset Allocation Bond Fund	2.83%	2.69%	4.19%	5.03%	0.71%	1.81%	1.20%	4.72%	5.13%	1.07%	0.00%	7.43%
SPY State Street SPDR S&P 500 ETF	1.03%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both GABFX and SPY in my portfolio?

GABFX and SPY have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GABFX or SPY?

SPY has higher volatility (4.87%) compared to GABFX (2.31%). In terms of maximum drawdown, GABFX dropped -27.84% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.90 vs -0.04), 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.