GBMFX vs. GIMFX

Last updated Jun 5, 2026

GBMFX (GMO Benchmark-Free Allocation Fund) and GIMFX (GMO Implementation Fund) are both Global Allocation funds from GMO. Over the past 10 years, GBMFX returned 6.93%/yr vs 7.25%/yr for GIMFX. With a 0.98 correlation, they move nearly in lockstep. GBMFX charges 0.74%/yr vs 0.02%/yr for GIMFX.

Performance

GBMFX vs. GIMFX - Performance Comparison

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

Returns By Period

In the year-to-date period, GBMFX achieves a 11.97% return, which is significantly lower than GIMFX's 14.03% return. Both investments have delivered pretty close results over the past 10 years, with GBMFX having a 6.93% annualized return and GIMFX not far ahead at 7.25%.

GBMFX

• 1D: 0.06%
• 1M: 2.79%
• YTD: 11.97%
• 6M: 14.01%
• 1Y: 28.78%
• 3Y*: 16.57%
• 5Y*: 8.54%
• 10Y*: 6.93%

GIMFX

• 1D: -0.11%
• 1M: 3.19%
• YTD: 14.03%
• 6M: 16.16%
• 1Y: 32.28%
• 3Y*: 17.70%
• 5Y*: 9.49%
• 10Y*: 7.25%

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

GBMFX vs. GIMFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GBMFX GMO Benchmark-Free Allocation Fund	11.97%	22.89%	4.33%	13.46%	-2.24%	2.97%	-2.50%	11.62%	-5.36%	13.05%
GIMFX GMO Implementation Fund	14.03%	25.37%	2.67%	14.75%	-1.24%	4.05%	-7.25%	13.24%	-5.58%	14.09%

Correlation

The correlation between GBMFX and GIMFX is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.99
Correlation (3Y) Calculated over the trailing 3-year period	0.99
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (10Y) Calculated over the trailing 10-year period	0.98
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.98

The correlation between GBMFX and GIMFX has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.

Return for Risk

GBMFX vs. GIMFX — Risk / Return Rank

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

GBMFX

GBMFX Risk / Return Rank: 95
GBMFX Sharpe Ratio Rank: 98
GBMFX Sortino Ratio Rank: 97
GBMFX Omega Ratio Rank: 96
GBMFX Calmar Ratio Rank: 92
GBMFX Martin Ratio Rank: 92

GIMFX

GIMFX Risk / Return Rank: 95
GIMFX Sharpe Ratio Rank: 99
GIMFX Sortino Ratio Rank: 97
GIMFX Omega Ratio Rank: 96
GIMFX Calmar Ratio Rank: 92
GIMFX Martin Ratio Rank: 93

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.

GBMFX vs. GIMFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and GMO Implementation Fund (GIMFX). 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.

	GBMFX	GIMFX	Difference
Sharpe ratio: Return per unit of total volatility	4.11	4.13	-0.02
Sortino ratio: Return per unit of downside risk	5.92	5.84	+0.08
Omega ratio: Gain probability vs. loss probability	1.83	1.83	0.00
Calmar ratio: Return relative to maximum drawdown	5.04	5.01	+0.03
Martin ratio: Return relative to average drawdown	19.35	19.44	-0.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GBMFX vs. GIMFX - Sharpe Ratio Comparison

The current GBMFX Sharpe Ratio is 4.11, which is comparable to the GIMFX Sharpe Ratio of 4.13. The chart below compares the historical Sharpe Ratios of GBMFX and GIMFX, 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

	GBMFX	GIMFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.11	4.13	-0.02
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.18	1.11	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.87	0.81	+0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.99	0.70	+0.28

Drawdowns

GBMFX vs. GIMFX - Drawdown Comparison

The maximum GBMFX drawdown since its inception was -23.40%, smaller than the maximum GIMFX drawdown of -25.87%. Use the drawdown chart below to compare losses from any high point for GBMFX and GIMFX.

Drawdown Indicators

	GBMFX	GIMFX	Difference
Max Drawdown Largest peak-to-trough decline	-23.40%	-25.87%	+2.47%
Max Drawdown (1Y) Largest decline over 1 year	-5.78%	-6.53%	+0.75%
Max Drawdown (3Y) Largest decline over 3 years	-7.16%	-8.02%	+0.86%
Max Drawdown (5Y) Largest decline over 5 years	-14.42%	-14.02%	-0.40%
Max Drawdown (10Y) Largest decline over 10 years	-23.40%	-25.87%	+2.47%
Current Drawdown Current decline from peak	0.00%	-0.11%	+0.11%
Average Drawdown Average peak-to-trough decline	-3.27%	-4.29%	+1.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.50%	1.68%	-0.18%

Volatility

GBMFX vs. GIMFX - Volatility Comparison

The current volatility for GMO Benchmark-Free Allocation Fund (GBMFX) is 2.36%, while GMO Implementation Fund (GIMFX) has a volatility of 2.78%. This indicates that GBMFX experiences smaller price fluctuations and is considered to be less risky than GIMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBMFX	GIMFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.36%	2.78%	-0.42%
Volatility (6M) Calculated over the trailing 6-month period	5.47%	6.21%	-0.74%
Volatility (1Y) Calculated over the trailing 1-year period	7.08%	7.92%	-0.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.30%	8.58%	-1.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.00%	8.98%	-0.98%

GBMFX vs. GIMFX - Expense Ratio Comparison

GBMFX has a 0.74% expense ratio, which is higher than GIMFX's 0.02% expense ratio.

Dividends

GBMFX vs. GIMFX - Dividend Comparison

GBMFX's dividend yield for the trailing twelve months is around 3.72%, which matches GIMFX's 3.75% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBMFX GMO Benchmark-Free Allocation Fund	3.72%	4.16%	5.14%	5.64%	3.20%	2.46%	3.73%	3.35%	3.67%	2.39%	1.60%	2.10%
GIMFX GMO Implementation Fund	3.75%	4.28%	3.39%	5.93%	3.59%	3.28%	2.25%	3.99%	4.59%	2.95%	1.98%	0.00%

Frequently Asked Questions

Can I hold both GBMFX and GIMFX in my portfolio?

With a correlation of 0.99, GBMFX and GIMFX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, GBMFX or GIMFX?

GIMFX has higher volatility (2.78%) compared to GBMFX (2.36%). In terms of maximum drawdown, GBMFX dropped -23.40% vs GIMFX's -25.87%.

Which has better risk-adjusted returns?

GIMFX currently has the higher Sharpe Ratio (4.13 vs 4.11), 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.