GBMFX vs. DMO
GBMFX (GMO Benchmark-Free Allocation Fund) and DMO (Dimensional Multi-Asset Fund) are both Global Allocation funds. Over the past 10 years, GBMFX returned 6.82%/yr vs 3.74%/yr for DMO. Their 0.20 correlation means their historical movements had little consistent relationship. GBMFX charges 0.74%/yr vs 0.04%/yr for DMO.
Performance
GBMFX vs. DMO - Performance Comparison
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Returns By Period
In the year-to-date period, GBMFX achieves a 12.95% return, which is significantly higher than DMO's 1.47% return. Over the past 10 years, GBMFX has outperformed DMO with an annualized return of 6.82%, while DMO has yielded a comparatively lower 3.74% annualized return.
GBMFX
- 1D
- 0.00%
- 1M
- 3.31%
- 6M
- 7.96%
- YTD
- 12.95%
- 1Y
- 26.03%
- 3Y*
- 15.10%
- 5Y*
- 9.81%
- 10Y*
- 6.82%
- ALL TIME*
- 7.69%
DMO
- 1D
- 0.48%
- 1M
- -1.97%
- 6M
- 1.09%
- YTD
- 1.47%
- 1Y
- -0.18%
- 3Y*
- 11.35%
- 5Y*
- 3.74%
- 10Y*
- 3.74%
- ALL TIME*
- 8.27%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $390.22K | $423.19K | $410.94K | |
| $0.00 | $0.00 | $0.00 |
GBMFX vs. DMO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GBMFX GMO Benchmark-Free Allocation Fund | 12.95% | 22.89% | 4.33% | 13.46% | -2.24% | 2.97% | -2.50% | 11.62% | -5.36% | 13.05% |
DMO Dimensional Multi-Asset Fund | 1.47% | 6.95% | 20.24% | 16.79% | -21.64% | 17.12% | -22.32% | 9.10% | -2.04% | 23.46% |
Correlation
The correlation between GBMFX and DMO is 0.21, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.21 |
Correlation (3Y) Balances recent behavior with more history. | 0.20 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.21 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.22 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2010 | 0.21 |
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Return for Risk
GBMFX vs. DMO — Risk / Return Rank
GBMFX
DMO
GBMFX vs. DMO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and Dimensional Multi-Asset Fund (DMO). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GBMFX | DMO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.71 | ||
| Sortino ratioReturn per unit of downside risk | +5.27 | ||
| Omega ratioGain probability vs. loss probability | 1.74 | 1.01 | +0.74 |
| Calmar ratioReturn relative to maximum drawdown | 4.59 | -0.02 | +4.62 |
| Martin ratioReturn relative to average drawdown | 16.59 | -0.05 | +16.64 |
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Drawdowns
GBMFX vs. DMO - Drawdown Comparison
The maximum GBMFX drawdown since its inception was -23.40%, smaller than the maximum DMO drawdown of -49.16%. Use the drawdown chart below to compare losses from any high point for GBMFX and DMO.
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Drawdown Indicators
| GBMFX | DMO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.40% | -49.16% | +25.76% |
Max Drawdown (1Y)Largest decline over 1 year | -5.78% | -8.37% | +2.59% |
Max Drawdown (3Y)Largest decline over 3 years | -7.16% | -9.04% | +1.88% |
Max Drawdown (5Y)Largest decline over 5 years | -13.20% | -29.04% | +15.84% |
Max Drawdown (10Y)Largest decline over 10 years | -23.40% | -49.16% | +25.76% |
Current DrawdownCurrent decline from peak | 0.00% | -4.67% | +4.67% |
Average DrawdownAverage peak-to-trough decline | -3.26% | -9.54% | +6.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.60% | 3.59% | -1.99% |
Volatility
GBMFX vs. DMO - Volatility Comparison
GMO Benchmark-Free Allocation Fund (GBMFX) has a higher volatility of 1.67% compared to Dimensional Multi-Asset Fund (DMO) at 1.57%. This indicates that GBMFX's price experiences larger fluctuations and is considered to be riskier than DMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GBMFX | DMO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.67% | 1.57% | +0.10% |
Volatility (6M)Calculated over the trailing 6-month period | 5.90% | 7.77% | -1.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.21% | 10.08% | -2.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.34% | 12.61% | -5.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.97% | 19.92% | -11.95% |
GBMFX vs. DMO - Expense Ratio Comparison
GBMFX has a 0.74% expense ratio, which is higher than DMO's 0.04% expense ratio.
Dividends
GBMFX vs. DMO - Dividend Comparison
GBMFX's dividend yield for the trailing twelve months is around 3.75%, less than DMO's 14.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 14.24% | 14.01% | 12.92% | 11.46% | 11.51% | 8.88% | 10.95% | 9.63% | 18.93% | 13.30% | 13.19% | 14.09% |
GBMFX GMO Benchmark-Free Allocation Fund | 3.75% | 4.16% | 5.14% | 5.64% | 3.20% | 2.46% | 3.73% | 3.35% | 3.67% | 2.39% | 1.60% | 2.10% |
Frequently Asked Questions
GBMFX and DMO have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GBMFX has higher volatility (1.67%) compared to DMO (1.57%). In terms of maximum drawdown, GBMFX dropped -23.40% vs DMO's -49.16%.
GBMFX currently has the higher Sharpe Ratio (3.69 vs -0.02), 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.
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