GBFFX vs. GIOTX
Compare and contrast key facts about GMO Benchmark-Free Fund (GBFFX) and GMO International Developed Equity Allocation Fund (GIOTX).
GBFFX is managed by GMO. It was launched on Jun 14, 2011. GIOTX is managed by GMO. It was launched on Jun 4, 2006.
Performance
GBFFX vs. GIOTX - Performance Comparison
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GBFFX vs. GIOTX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GBFFX GMO Benchmark-Free Fund | 5.76% | 24.07% | 0.40% | 15.24% | -3.36% | 4.38% | -3.35% | 13.79% | -7.12% | 17.06% |
GIOTX GMO International Developed Equity Allocation Fund | 6.03% | 43.70% | 10.66% | 21.03% | -12.41% | 11.14% | 7.43% | 24.45% | -19.66% | 26.38% |
Returns By Period
The year-to-date returns for both investments are quite close, with GBFFX having a 5.76% return and GIOTX slightly higher at 6.03%. Over the past 10 years, GBFFX has underperformed GIOTX with an annualized return of 6.70%, while GIOTX has yielded a comparatively higher 11.04% annualized return.
GBFFX
- 1D
- 1.05%
- 1M
- -2.94%
- YTD
- 5.76%
- 6M
- 12.11%
- 1Y
- 24.44%
- 3Y*
- 13.80%
- 5Y*
- 7.51%
- 10Y*
- 6.70%
GIOTX
- 1D
- 3.10%
- 1M
- -6.01%
- YTD
- 6.03%
- 6M
- 15.30%
- 1Y
- 38.36%
- 3Y*
- 23.95%
- 5Y*
- 12.82%
- 10Y*
- 11.04%
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GBFFX vs. GIOTX - Expense Ratio Comparison
GBFFX has a 0.35% expense ratio, which is higher than GIOTX's 0.00% expense ratio.
Return for Risk
GBFFX vs. GIOTX — Risk / Return Rank
GBFFX
GIOTX
GBFFX vs. GIOTX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Fund (GBFFX) and GMO International Developed Equity Allocation Fund (GIOTX). 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 | GIOTX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.08 | 2.29 | +0.79 |
Sortino ratioReturn per unit of downside risk | 4.08 | 2.95 | +1.13 |
Omega ratioGain probability vs. loss probability | 1.63 | 1.44 | +0.18 |
Calmar ratioReturn relative to maximum drawdown | 3.94 | 3.48 | +0.46 |
Martin ratioReturn relative to average drawdown | 15.49 | 13.25 | +2.24 |
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
| GBFFX | GIOTX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.08 | 2.29 | +0.79 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.94 | 0.85 | +0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.74 | 0.68 | +0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.65 | 0.31 | +0.34 |
Correlation
The correlation between GBFFX and GIOTX is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
GBFFX vs. GIOTX - Dividend Comparison
GBFFX's dividend yield for the trailing twelve months is around 4.84%, less than GIOTX's 7.58% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GBFFX GMO Benchmark-Free Fund | 4.84% | 5.11% | 1.81% | 5.72% | 5.48% | 4.60% | 3.32% | 4.00% | 3.92% | 2.90% | 2.72% | 6.67% |
GIOTX GMO International Developed Equity Allocation Fund | 7.58% | 8.04% | 5.07% | 6.54% | 4.45% | 6.67% | 4.48% | 3.74% | 3.90% | 3.15% | 4.04% | 3.39% |
Drawdowns
GBFFX vs. GIOTX - Drawdown Comparison
The maximum GBFFX drawdown since its inception was -26.62%, smaller than the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for GBFFX and GIOTX.
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Drawdown Indicators
| GBFFX | GIOTX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.62% | -56.51% | +29.89% |
Max Drawdown (1Y)Largest decline over 1 year | -6.04% | -10.66% | +4.62% |
Max Drawdown (5Y)Largest decline over 5 years | -15.91% | -29.68% | +13.77% |
Max Drawdown (10Y)Largest decline over 10 years | -26.62% | -39.29% | +12.67% |
Current DrawdownCurrent decline from peak | -3.58% | -7.34% | +3.76% |
Average DrawdownAverage peak-to-trough decline | -4.42% | -14.35% | +9.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.56% | 2.80% | -1.24% |
Volatility
GBFFX vs. GIOTX - Volatility Comparison
The current volatility for GMO Benchmark-Free Fund (GBFFX) is 3.36%, while GMO International Developed Equity Allocation Fund (GIOTX) has a volatility of 7.58%. This indicates that GBFFX experiences smaller price fluctuations and is considered to be less risky than GIOTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GBFFX | GIOTX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.36% | 7.58% | -4.22% |
Volatility (6M)Calculated over the trailing 6-month period | 5.27% | 11.71% | -6.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.98% | 16.91% | -8.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.02% | 15.23% | -7.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.07% | 16.27% | -7.20% |