GBFFX vs. HGLB

Last updated Apr 2, 2026

Compare and contrast key facts about GMO Benchmark-Free Fund (GBFFX) and Highland Global Allocation Fund (HGLB).

GBFFX is managed by GMO. It was launched on Jun 14, 2011. HGLB is managed by Highland Funds. It was launched on Jan 5, 1998.

Performance

GBFFX vs. HGLB - Performance Comparison

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

GBFFX vs. HGLB - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GBFFX GMO Benchmark-Free Fund	5.76%	24.07%	0.40%	15.24%	-3.36%	4.38%	-3.35%	7.72%
HGLB Highland Global Allocation Fund	-8.19%	51.74%	-1.52%	-6.15%	14.53%	53.22%	-17.98%	-31.46%

Returns By Period

In the year-to-date period, GBFFX achieves a 5.76% return, which is significantly higher than HGLB's -8.19% 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%

HGLB

• 1D: 1.37%
• 1M: -9.86%
• YTD: -8.19%
• 6M: -4.95%
• 1Y: 9.83%
• 3Y*: 9.35%
• 5Y*: 13.28%
• 10Y*: —

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

GBFFX vs. HGLB - Expense Ratio Comparison

GBFFX has a 0.35% expense ratio, which is higher than HGLB's 0.02% expense ratio.

GBFFX

GMO Benchmark-Free Fund

HGLB

Highland Global Allocation Fund

Return for Risk

GBFFX vs. HGLB — Risk / Return Rank

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

GBFFX

GBFFX Risk / Return Rank: 97
GBFFX Sharpe Ratio Rank: 98
GBFFX Sortino Ratio Rank: 97
GBFFX Omega Ratio Rank: 97
GBFFX Calmar Ratio Rank: 97
GBFFX Martin Ratio Rank: 96

HGLB

HGLB Risk / Return Rank: 11
HGLB Sharpe Ratio Rank: 11
HGLB Sortino Ratio Rank: 12
HGLB Omega Ratio Rank: 12
HGLB Calmar Ratio Rank: 10
HGLB Martin Ratio Rank: 9

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. HGLB - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Fund (GBFFX) and Highland Global Allocation Fund (HGLB). 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	HGLB	Difference
Sharpe ratio Return per unit of total volatility	3.08	0.39	+2.69
Sortino ratio Return per unit of downside risk	4.08	0.71	+3.37
Omega ratio Gain probability vs. loss probability	1.63	1.10	+0.52
Calmar ratio Return relative to maximum drawdown	3.94	0.44	+3.50
Martin ratio Return relative to average drawdown	15.49	1.16	+14.33
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. HGLB - Sharpe Ratio Comparison

The current GBFFX Sharpe Ratio is 3.08, which is higher than the HGLB Sharpe Ratio of 0.39. The chart below compares the historical Sharpe Ratios of GBFFX and HGLB, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	GBFFX	HGLB	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.08	0.39	+2.69
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.94	0.60	+0.35
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.74	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.12	+0.52

Correlation

The correlation between GBFFX and HGLB is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

GBFFX vs. HGLB - Dividend Comparison

GBFFX's dividend yield for the trailing twelve months is around 4.84%, less than HGLB's 12.86% 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%
HGLB Highland Global Allocation Fund	12.86%	11.57%	14.27%	12.82%	10.32%	9.39%	15.44%	11.35%	0.00%	0.00%	0.00%	0.00%

Drawdowns

GBFFX vs. HGLB - Drawdown Comparison

The maximum GBFFX drawdown since its inception was -26.62%, smaller than the maximum HGLB drawdown of -70.40%. Use the drawdown chart below to compare losses from any high point for GBFFX and HGLB.

Drawdown Indicators

	GBFFX	HGLB	Difference
Max Drawdown Largest peak-to-trough decline	-26.62%	-70.40%	+43.78%
Max Drawdown (1Y) Largest decline over 1 year	-6.04%	-23.34%	+17.30%
Max Drawdown (5Y) Largest decline over 5 years	-15.91%	-29.88%	+13.97%
Max Drawdown (10Y) Largest decline over 10 years	-26.62%	—	—
Current Drawdown Current decline from peak	-3.58%	-18.32%	+14.74%
Average Drawdown Average peak-to-trough decline	-4.42%	-18.21%	+13.79%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.56%	8.85%	-7.29%

Volatility

GBFFX vs. HGLB - Volatility Comparison

The current volatility for GMO Benchmark-Free Fund (GBFFX) is 3.36%, while Highland Global Allocation Fund (HGLB) has a volatility of 8.27%. This indicates that GBFFX experiences smaller price fluctuations and is considered to be less risky than HGLB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBFFX	HGLB	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.36%	8.27%	-4.91%
Volatility (6M) Calculated over the trailing 6-month period	5.27%	18.22%	-12.95%
Volatility (1Y) Calculated over the trailing 1-year period	7.98%	25.37%	-17.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.02%	22.36%	-14.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.07%	27.92%	-18.85%