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GABFX vs. XLF
Performance
Return for Risk
Dividends
Drawdowns
Volatility

Performance

GABFX vs. XLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Asset Allocation Bond Fund (GABFX) and Financial Select Sector SPDR Fund (XLF). The values are adjusted to include any dividend payments, if applicable.

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GABFX vs. XLF - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
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%
XLF
Financial Select Sector SPDR Fund
-9.27%14.90%30.56%12.03%-10.59%34.80%-1.74%31.88%-13.06%22.00%

Returns By Period

In the year-to-date period, GABFX achieves a -0.91% return, which is significantly higher than XLF's -9.27% return. Over the past 10 years, GABFX has underperformed XLF with an annualized return of 0.78%, while XLF has yielded a comparatively higher 12.45% 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%

XLF

1D
0.14%
1M
-3.13%
YTD
-9.27%
6M
-6.60%
1Y
0.91%
3Y*
17.30%
5Y*
9.37%
10Y*
12.45%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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GABFX vs. XLF - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is higher than XLF's 0.13% expense ratio.


Return for Risk

GABFX vs. XLF — Risk / Return Rank

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

GABFX
GABFX Risk / Return Rank: 66
Overall Rank
GABFX Sharpe Ratio Rank: 55
Sharpe Ratio Rank
GABFX Sortino Ratio Rank: 55
Sortino Ratio Rank
GABFX Omega Ratio Rank: 55
Omega Ratio Rank
GABFX Calmar Ratio Rank: 77
Calmar Ratio Rank
GABFX Martin Ratio Rank: 66
Martin Ratio Rank

XLF
XLF Risk / Return Rank: 1313
Overall Rank
XLF Sharpe Ratio Rank: 1313
Sharpe Ratio Rank
XLF Sortino Ratio Rank: 1212
Sortino Ratio Rank
XLF Omega Ratio Rank: 1212
Omega Ratio Rank
XLF Calmar Ratio Rank: 1313
Calmar Ratio Rank
XLF Martin Ratio Rank: 1313
Martin Ratio Rank
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. XLF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Asset Allocation Bond Fund (GABFX) and Financial Select Sector SPDR Fund (XLF). 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.


GABFXXLFDifference

Sharpe ratio

Return per unit of total volatility

0.09

0.05

+0.04

Sortino ratio

Return per unit of downside risk

0.22

0.19

+0.02

Omega ratio

Gain probability vs. loss probability

1.03

1.03

0.00

Calmar ratio

Return relative to maximum drawdown

0.13

0.05

+0.07

Martin ratio

Return relative to average drawdown

0.28

0.16

+0.12

GABFX vs. XLF - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is 0.09, which is higher than the XLF Sharpe Ratio of 0.05. The chart below compares the historical Sharpe Ratios of GABFX and XLF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Sharpe Ratios by Period


GABFXXLFDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.09

0.05

+0.04

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

-0.16

0.50

-0.66

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.08

0.56

-0.49

Sharpe Ratio (All Time)

Calculated using the full available price history

0.16

0.20

-0.04

Correlation

The correlation between GABFX and XLF is -0.09. 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.


Dividends

GABFX vs. XLF - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.71%, more than XLF's 1.60% yield.


TTM20252024202320222021202020192018201720162015
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%
XLF
Financial Select Sector SPDR Fund
1.60%1.31%1.42%1.71%2.04%1.63%2.03%1.87%2.08%1.48%21.10%1.95%

Drawdowns

GABFX vs. XLF - Drawdown Comparison

The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum XLF drawdown of -82.69%. Use the drawdown chart below to compare losses from any high point for GABFX and XLF.


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Drawdown Indicators


GABFXXLFDifference

Max Drawdown

Largest peak-to-trough decline

-27.84%

-82.69%

+54.85%

Max Drawdown (1Y)

Largest decline over 1 year

-11.04%

-14.79%

+3.75%

Max Drawdown (5Y)

Largest decline over 5 years

-27.84%

-25.81%

-2.03%

Max Drawdown (10Y)

Largest decline over 10 years

-27.84%

-42.86%

+15.02%

Current Drawdown

Current decline from peak

-15.18%

-11.89%

-3.29%

Average Drawdown

Average peak-to-trough decline

-7.20%

-20.10%

+12.90%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.04%

4.96%

+0.08%

Volatility

GABFX vs. XLF - Volatility Comparison

The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 3.44%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 4.76%. This indicates that GABFX experiences smaller price fluctuations and is considered to be less risky than XLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


GABFXXLFDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.44%

4.76%

-1.32%

Volatility (6M)

Calculated over the trailing 6-month period

6.72%

11.45%

-4.73%

Volatility (1Y)

Calculated over the trailing 1-year period

13.20%

19.25%

-6.05%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.92%

18.69%

-4.77%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

10.28%

22.18%

-11.90%