GABFX vs. XLF

Last updated Aug 1, 2026

GABFX (GMO Asset Allocation Bond Fund) and XLF (State Street Financial Select Sector SPDR ETF) are both funds - GABFX is a Inflation-Protected Bonds fund managed by GMO, while XLF is a Financials Equities fund tracking the Financial Select Sector Index. Over the past 10 years, GABFX returned 0.17%/yr vs 13.69%/yr for XLF. Their -0.08 correlation means they have often moved in opposite directions in the past. GABFX charges 0.32%/yr vs 0.08%/yr for XLF.

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 State Street Financial Select Sector SPDR ETF (XLF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GABFX achieves a -6.32% return, which is significantly lower than XLF's 4.86% return. Over the past 10 years, GABFX has underperformed XLF with an annualized return of 0.17%, while XLF has yielded a comparatively higher 13.69% annualized return.

GABFX

• 1D: -0.51%
• 1M: -2.02%
• 6M: -5.61%
• YTD: -6.32%
• 1Y: -4.62%
• 3Y*: -1.49%
• 5Y*: -4.23%
• 10Y*: 0.17%
• ALL TIME*: 0.99%

XLF

• 1D: -0.11%
• 1M: 2.37%
• 6M: 7.47%
• YTD: 4.86%
• 1Y: 12.50%
• 3Y*: 19.11%
• 5Y*: 11.20%
• 10Y*: 13.69%
• ALL TIME*: 6.09%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GABFX GMO Asset Allocation Bond Fund	$0.00	$0.00	$0.00
XLF State Street Financial Select Sector SPDR ETF	$1.84B	$1.93B	$1.92B

GABFX vs. XLF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GABFX GMO Asset Allocation Bond Fund	-6.32%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%
XLF State Street Financial Select Sector SPDR ETF	4.86%	14.90%	30.56%	12.03%	-10.59%	34.80%	-1.74%	31.88%	-13.06%	22.00%

Correlation

The correlation between GABFX and XLF is 0.12, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.12
Correlation (3Y) Balances recent behavior with more history.	0.08
Correlation (5Y) Shows whether the relationship held over a longer period.	0.02
Correlation (10Y) Provides a long-term view across more market conditions.	-0.10
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	-0.08

The correlation between GABFX and XLF shifts across timeframes, from -0.10 (10 years) to 0.12 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GABFX vs. XLF — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GABFX

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

XLF

XLF Risk / Return Rank: 27
XLF Sharpe Ratio Rank: 29
XLF Sortino Ratio Rank: 28
XLF Omega Ratio Rank: 28
XLF Calmar Ratio Rank: 24
XLF Martin Ratio Rank: 24

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

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 State Street Financial Select Sector SPDR ETF (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.

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	XLF	Difference
Sharpe ratio: Return per unit of total volatility	-0.20	0.71	-0.91
Sortino ratio: Return per unit of downside risk	-0.22	1.05	-1.27
Omega ratio: Gain probability vs. loss probability	0.98	1.13	-0.15
Calmar ratio: Return relative to maximum drawdown	-0.19	0.71	-0.90
Martin ratio: Return relative to average drawdown	-0.41	1.80	-2.21

GABFX vs. XLF - Sharpe Ratio Comparison

The current GABFX Sharpe Ratio is -0.20, which is lower than the XLF Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of GABFX and XLF, 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. 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.

Drawdown Indicators

	GABFX	XLF	Difference
Max Drawdown Largest peak-to-trough decline	-27.84%	-82.69%	+54.85%
Max Drawdown (1Y) Largest decline over 1 year	-10.10%	-14.79%	+4.69%
Max Drawdown (3Y) Largest decline over 3 years	-19.48%	-15.54%	-3.94%
Max Drawdown (5Y) Largest decline over 5 years	-27.81%	-25.81%	-2.00%
Max Drawdown (10Y) Largest decline over 10 years	-27.84%	-42.86%	+15.02%
Current Drawdown Current decline from peak	-19.81%	-1.15%	-18.66%
Average Drawdown Average peak-to-trough decline	-7.40%	-19.92%	+12.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.70%	5.79%	-1.09%

Volatility

GABFX vs. XLF - Volatility Comparison

The current volatility for GMO Asset Allocation Bond Fund (GABFX) is 2.17%, while State Street Financial Select Sector SPDR ETF (XLF) has a volatility of 4.07%. 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.

Volatility by Period

	GABFX	XLF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.17%	4.07%	-1.90%
Volatility (6M) Calculated over the trailing 6-month period	6.62%	11.10%	-4.48%
Volatility (1Y) Calculated over the trailing 1-year period	9.70%	14.77%	-5.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.06%	18.45%	-4.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.39%	22.08%	-11.69%

GABFX vs. XLF - Expense Ratio Comparison

GABFX has a 0.32% expense ratio, which is higher than XLF's 0.08% expense ratio.

Dividends

GABFX vs. XLF - Dividend Comparison

GABFX's dividend yield for the trailing twelve months is around 2.93%, more than XLF's 1.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GABFX GMO Asset Allocation Bond Fund	2.93%	2.69%	4.19%	5.03%	0.71%	1.81%	1.20%	4.72%	5.13%	1.07%	0.00%	7.43%
XLF State Street Financial Select Sector SPDR ETF	1.42%	1.31%	1.42%	1.71%	2.04%	1.63%	2.03%	1.87%	2.08%	1.48%	21.10%	1.95%

Frequently Asked Questions

Can I hold both GABFX and XLF in my portfolio?

GABFX and XLF have a correlation of 0.12, 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 XLF?

XLF has higher volatility (4.07%) compared to GABFX (2.17%). In terms of maximum drawdown, GABFX dropped -27.84% vs XLF's -82.69%.

Which has better risk-adjusted returns?

XLF currently has the higher Sharpe Ratio (0.71 vs -0.20), 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.