GBFFX vs. GAA
Compare and contrast key facts about GMO Benchmark-Free Fund (GBFFX) and Cambria Global Asset Allocation ETF (GAA).
GBFFX is managed by GMO. It was launched on Jun 14, 2011. GAA is an actively managed fund by Cambria. It was launched on Dec 9, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GBFFX or GAA.
Key characteristics
| GBFFX | GAA | |
|---|---|---|
| YTD Return | 6.31% | 9.44% |
| 1Y Return | 16.05% | 17.91% |
| 3Y Return (Ann) | 5.98% | 1.95% |
| 5Y Return (Ann) | 4.21% | 5.99% |
| Sharpe Ratio | 1.83 | 1.80 |
| Sortino Ratio | 2.45 | 2.57 |
| Omega Ratio | 1.35 | 1.32 |
| Calmar Ratio | 3.11 | 1.75 |
| Martin Ratio | 10.23 | 12.02 |
| Ulcer Index | 1.54% | 1.51% |
| Daily Std Dev | 8.61% | 10.11% |
| Max Drawdown | -32.38% | -26.57% |
| Current Drawdown | -3.87% | -1.18% |
Correlation
The correlation between GBFFX and GAA is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
GBFFX vs. GAA - Performance Comparison
In the year-to-date period, GBFFX achieves a 6.31% return, which is significantly lower than GAA's 9.44% 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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GBFFX vs. GAA - Expense Ratio Comparison
GBFFX has a 0.35% expense ratio, which is lower than GAA's 0.41% expense ratio.
Risk-Adjusted Performance
GBFFX vs. GAA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Fund (GBFFX) and Cambria Global Asset Allocation ETF (GAA). 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
GBFFX vs. GAA - Dividend Comparison
GBFFX's dividend yield for the trailing twelve months is around 6.46%, more than GAA's 4.52% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
GBFFX GMO Benchmark-Free Fund | 6.46% | 5.72% | 5.48% | 4.60% | 3.32% | 4.00% | 3.91% | 2.90% | 2.73% | 6.67% | 0.00% |
GAA Cambria Global Asset Allocation ETF | 4.52% | 3.73% | 6.05% | 4.21% | 2.73% | 3.32% | 3.00% | 2.35% | 2.81% | 2.49% | 0.57% |
Drawdowns
GBFFX vs. GAA - Drawdown Comparison
The maximum GBFFX drawdown since its inception was -32.38%, which is greater than GAA's maximum drawdown of -26.57%. Use the drawdown chart below to compare losses from any high point for GBFFX and GAA. For additional features, visit the drawdowns tool.
Volatility
GBFFX vs. GAA - Volatility Comparison
The current volatility for GMO Benchmark-Free Fund (GBFFX) is 2.34%, while Cambria Global Asset Allocation ETF (GAA) has a volatility of 2.87%. This indicates that GBFFX experiences smaller price fluctuations and is considered to be less risky than GAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.