GBFFX vs. GAOSX

Last updated Jun 6, 2026

GBFFX (GMO Benchmark-Free Fund) and GAOSX (JPMorgan Global Allocation Fund) are both Global Allocation funds. Over the past 10 years, GBFFX returned 7.12%/yr vs 7.31%/yr for GAOSX. A 0.78 correlation means they provide meaningful diversification when combined. GBFFX charges 0.35%/yr vs 0.77%/yr for GAOSX.

Performance

GBFFX vs. GAOSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Benchmark-Free Fund (GBFFX) and JPMorgan Global Allocation Fund (GAOSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GBFFX achieves a 11.97% return, which is significantly higher than GAOSX's 5.63% return. Both investments have delivered pretty close results over the past 10 years, with GBFFX having a 7.12% annualized return and GAOSX not far ahead at 7.31%.

GBFFX

• 1D: -0.16%
• 1M: 1.79%
• YTD: 11.97%
• 6M: 14.15%
• 1Y: 29.31%
• 3Y*: 15.75%
• 5Y*: 8.03%
• 10Y*: 7.12%

GAOSX

• 1D: 0.23%
• 1M: 1.05%
• YTD: 5.63%
• 6M: 6.19%
• 1Y: 15.71%
• 3Y*: 12.19%
• 5Y*: 4.35%
• 10Y*: 7.31%

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

GBFFX vs. GAOSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GBFFX GMO Benchmark-Free Fund	11.97%	24.07%	0.40%	15.24%	-3.36%	4.38%	-3.35%	13.79%	-7.12%	17.06%
GAOSX JPMorgan Global Allocation Fund	5.63%	14.96%	8.21%	13.02%	-18.59%	9.54%	15.55%	16.27%	-5.81%	17.12%

Correlation

The correlation between GBFFX and GAOSX is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (10Y) Calculated over the trailing 10-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jul 13, 2015	0.78

The correlation between GBFFX and GAOSX has been stable across timeframes, ranging from 0.71 to 0.78 - a consistent structural relationship.

Return for Risk

GBFFX vs. GAOSX — Risk / Return Rank

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

GBFFX

GBFFX Risk / Return Rank: 96
GBFFX Sharpe Ratio Rank: 99
GBFFX Sortino Ratio Rank: 98
GBFFX Omega Ratio Rank: 96
GBFFX Calmar Ratio Rank: 93
GBFFX Martin Ratio Rank: 93

GAOSX

GAOSX Risk / Return Rank: 31
GAOSX Sharpe Ratio Rank: 33
GAOSX Sortino Ratio Rank: 32
GAOSX Omega Ratio Rank: 34
GAOSX Calmar Ratio Rank: 24
GAOSX Martin Ratio Rank: 33

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.

GBFFX vs. GAOSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Fund (GBFFX) and JPMorgan Global Allocation Fund (GAOSX). 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.

	GBFFX	GAOSX	Difference
Sharpe ratio: Return per unit of total volatility	4.17	1.58	+2.59
Sortino ratio: Return per unit of downside risk	6.03	2.25	+3.77
Omega ratio: Gain probability vs. loss probability	1.84	1.29	+0.55
Calmar ratio: Return relative to maximum drawdown	5.15	1.74	+3.41
Martin ratio: Return relative to average drawdown	19.79	7.22	+12.57
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GBFFX vs. GAOSX - Sharpe Ratio Comparison

The current GBFFX Sharpe Ratio is 4.17, which is higher than the GAOSX Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of GBFFX and GAOSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GBFFX	GAOSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.17	1.58	+2.59
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.00	0.40	+0.60
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.79	0.68	+0.11
Sharpe Ratio (All Time) Calculated using the full available price history	0.70	0.68	+0.02

Drawdowns

GBFFX vs. GAOSX - Drawdown Comparison

The maximum GBFFX drawdown since its inception was -26.62%, which is greater than GAOSX's maximum drawdown of -24.98%. Use the drawdown chart below to compare losses from any high point for GBFFX and GAOSX.

Drawdown Indicators

	GBFFX	GAOSX	Difference
Max Drawdown Largest peak-to-trough decline	-26.62%	-24.98%	-1.64%
Max Drawdown (1Y) Largest decline over 1 year	-5.67%	-8.93%	+3.26%
Max Drawdown (3Y) Largest decline over 3 years	-10.18%	-10.84%	+0.66%
Max Drawdown (5Y) Largest decline over 5 years	-15.83%	-24.98%	+9.15%
Max Drawdown (10Y) Largest decline over 10 years	-26.62%	-24.98%	-1.64%
Current Drawdown Current decline from peak	-0.16%	-0.54%	+0.38%
Average Drawdown Average peak-to-trough decline	-4.37%	-4.69%	+0.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.47%	2.15%	-0.68%

Volatility

GBFFX vs. GAOSX - Volatility Comparison

The current volatility for GMO Benchmark-Free Fund (GBFFX) is 1.95%, while JPMorgan Global Allocation Fund (GAOSX) has a volatility of 2.90%. This indicates that GBFFX experiences smaller price fluctuations and is considered to be less risky than GAOSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBFFX	GAOSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.95%	2.90%	-0.95%
Volatility (6M) Calculated over the trailing 6-month period	5.38%	8.15%	-2.77%
Volatility (1Y) Calculated over the trailing 1-year period	6.99%	9.83%	-2.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.07%	10.94%	-2.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.08%	10.78%	-1.70%

GBFFX vs. GAOSX - Expense Ratio Comparison

GBFFX has a 0.35% expense ratio, which is lower than GAOSX's 0.77% expense ratio.

Dividends

GBFFX vs. GAOSX - Dividend Comparison

GBFFX's dividend yield for the trailing twelve months is around 4.57%, less than GAOSX's 9.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAOSX JPMorgan Global Allocation Fund	9.82%	10.23%	2.52%	0.00%	4.86%	10.17%	1.67%	2.65%	2.71%	3.18%	2.76%	1.16%
GBFFX GMO Benchmark-Free Fund	4.57%	5.11%	1.81%	5.72%	5.48%	4.60%	3.32%	4.00%	3.92%	2.90%	2.72%	6.67%

Frequently Asked Questions

Can I hold both GBFFX and GAOSX in my portfolio?

GBFFX and GAOSX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GBFFX or GAOSX?

GAOSX has higher volatility (2.90%) compared to GBFFX (1.95%). In terms of maximum drawdown, GBFFX dropped -26.62% vs GAOSX's -24.98%.

Which has better risk-adjusted returns?

GBFFX currently has the higher Sharpe Ratio (4.17 vs 1.58), 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.