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GBFFX vs. MAFIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

GBFFX vs. MAFIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Benchmark-Free Fund (GBFFX) and Abbey Capital Multi Asset Fund Class I (MAFIX). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-1.05%
-2.85%
GBFFX
MAFIX

Returns By Period

In the year-to-date period, GBFFX achieves a 5.06% return, which is significantly lower than MAFIX's 9.55% return.


GBFFX

YTD

5.06%

1M

-1.12%

6M

-1.05%

1Y

11.24%

5Y (annualized)

4.10%

10Y (annualized)

N/A

MAFIX

YTD

9.55%

1M

3.20%

6M

-2.85%

1Y

11.53%

5Y (annualized)

11.80%

10Y (annualized)

N/A

Key characteristics


GBFFXMAFIX
Sharpe Ratio1.320.85
Sortino Ratio1.771.20
Omega Ratio1.251.16
Calmar Ratio2.020.88
Martin Ratio6.092.40
Ulcer Index1.85%4.80%
Daily Std Dev8.50%13.48%
Max Drawdown-32.38%-13.28%
Current Drawdown-4.99%-4.96%

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GBFFX vs. MAFIX - Expense Ratio Comparison

GBFFX has a 0.35% expense ratio, which is lower than MAFIX's 1.79% expense ratio.


MAFIX
Abbey Capital Multi Asset Fund Class I
Expense ratio chart for MAFIX: current value at 1.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.79%
Expense ratio chart for GBFFX: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.00.4

The correlation between GBFFX and MAFIX is 0.43, 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.

Risk-Adjusted Performance

GBFFX vs. MAFIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Fund (GBFFX) and Abbey Capital Multi Asset Fund Class I (MAFIX). 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.


Sharpe ratio
The chart of Sharpe ratio for GBFFX, currently valued at 1.32, compared to the broader market-1.000.001.002.003.004.005.001.320.85
The chart of Sortino ratio for GBFFX, currently valued at 1.77, compared to the broader market0.005.0010.001.771.20
The chart of Omega ratio for GBFFX, currently valued at 1.25, compared to the broader market1.002.003.004.001.251.16
The chart of Calmar ratio for GBFFX, currently valued at 2.02, compared to the broader market0.005.0010.0015.0020.002.020.88
The chart of Martin ratio for GBFFX, currently valued at 6.09, compared to the broader market0.0020.0040.0060.0080.00100.006.092.40
GBFFX
MAFIX

The current GBFFX Sharpe Ratio is 1.32, which is higher than the MAFIX Sharpe Ratio of 0.85. The chart below compares the historical Sharpe Ratios of GBFFX and MAFIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.32
0.85
GBFFX
MAFIX

Dividends

GBFFX vs. MAFIX - Dividend Comparison

GBFFX's dividend yield for the trailing twelve months is around 6.53%, more than MAFIX's 0.90% yield.


TTM202320222021202020192018201720162015
GBFFX
GMO Benchmark-Free Fund
6.53%5.72%5.48%4.60%3.32%4.00%3.91%2.90%2.73%6.67%
MAFIX
Abbey Capital Multi Asset Fund Class I
0.90%0.99%3.84%3.04%1.64%10.10%9.36%0.00%0.00%0.00%

Drawdowns

GBFFX vs. MAFIX - Drawdown Comparison

The maximum GBFFX drawdown since its inception was -32.38%, which is greater than MAFIX's maximum drawdown of -13.28%. Use the drawdown chart below to compare losses from any high point for GBFFX and MAFIX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.99%
-4.96%
GBFFX
MAFIX

Volatility

GBFFX vs. MAFIX - Volatility Comparison

The current volatility for GMO Benchmark-Free Fund (GBFFX) is 2.27%, while Abbey Capital Multi Asset Fund Class I (MAFIX) has a volatility of 4.07%. This indicates that GBFFX experiences smaller price fluctuations and is considered to be less risky than MAFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.27%
4.07%
GBFFX
MAFIX