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.
Performance
GABFX vs. XLF - Performance Comparison
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GABFX vs. XLF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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%
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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
GABFX
XLF
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.
| GABFX | XLF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.09 | 0.05 | +0.04 |
Sortino ratioReturn per unit of downside risk | 0.22 | 0.19 | +0.02 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.03 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 0.13 | 0.05 | +0.07 |
Martin ratioReturn relative to average drawdown | 0.28 | 0.16 | +0.12 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GABFX | XLF | Difference | |
|---|---|---|---|
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.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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
| GABFX | XLF | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -15.18% | -11.89% | -3.29% |
Average DrawdownAverage peak-to-trough decline | -7.20% | -20.10% | +12.90% |
Ulcer IndexDepth 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
| GABFX | XLF | Difference | |
|---|---|---|---|
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% |