GABFX vs. XLF
Compare and contrast key facts about GMO Asset Allocation Bond Fund (GABFX) and Financial Select Sector SPDR Fund (XLF).
GABFX is managed by GMO. It was launched on Mar 17, 2009. XLF is a passively managed fund by State Street that tracks the performance of the Financial Select Sector Index. It was launched on Dec 16, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GABFX or XLF.
Key characteristics
| GABFX | XLF | |
|---|---|---|
| YTD Return | -7.25% | 24.49% |
| 1Y Return | 6.23% | 39.25% |
| 3Y Return (Ann) | -5.24% | 6.96% |
| 5Y Return (Ann) | -0.65% | 11.55% |
| 10Y Return (Ann) | 0.19% | 13.56% |
| Sharpe Ratio | 0.46 | 3.32 |
| Sortino Ratio | 0.76 | 4.34 |
| Omega Ratio | 1.09 | 1.57 |
| Calmar Ratio | 0.37 | 2.54 |
| Martin Ratio | 1.13 | 21.37 |
| Ulcer Index | 7.56% | 1.92% |
| Daily Std Dev | 18.59% | 12.36% |
| Max Drawdown | -27.84% | -82.43% |
| Current Drawdown | -16.53% | -2.81% |
Correlation
The correlation between GABFX and XLF is -0.11. 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. XLF - Performance Comparison
In the year-to-date period, GABFX achieves a -7.25% return, which is significantly lower than XLF's 24.49% return. Over the past 10 years, GABFX has underperformed XLF with an annualized return of 0.19%, while XLF has yielded a comparatively higher 13.56% 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. XLF - Expense Ratio Comparison
GABFX has a 0.32% expense ratio, which is higher than XLF's 0.13% expense ratio.
Risk-Adjusted Performance
GABFX vs. XLF - Risk-Adjusted Performance 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.
Dividends
GABFX vs. XLF - Dividend Comparison
GABFX's dividend yield for the trailing twelve months is around 4.01%, more than XLF's 1.44% 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% |
XLF Financial Select Sector SPDR Fund | 1.44% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 1.63% | 2.40% | 1.98% | 1.81% |
Drawdowns
GABFX vs. XLF - Drawdown Comparison
The maximum GABFX drawdown since its inception was -27.84%, smaller than the maximum XLF drawdown of -82.43%. Use the drawdown chart below to compare losses from any high point for GABFX and XLF. For additional features, visit the drawdowns tool.
Volatility
GABFX vs. XLF - Volatility Comparison
The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 3.67%, while Financial Select Sector SPDR Fund (XLF) has a volatility of 3.98%. 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.