GBMFX vs. HGLB
Compare and contrast key facts about GMO Benchmark-Free Allocation Fund (GBMFX) and Highland Global Allocation Fund (HGLB).
GBMFX is managed by GMO. It was launched on Jul 22, 2003. HGLB is managed by Highland Funds. It was launched on Jan 5, 1998.
Performance
GBMFX vs. HGLB - Performance Comparison
Loading graphics...
GBMFX vs. HGLB - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GBMFX GMO Benchmark-Free Allocation Fund | 5.61% | 22.89% | 4.33% | 13.46% | -2.24% | 2.97% | -2.50% | 6.40% |
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, GBMFX achieves a 5.61% return, which is significantly higher than HGLB's -8.19% return.
GBMFX
- 1D
- 1.07%
- 1M
- -3.00%
- YTD
- 5.61%
- 6M
- 11.79%
- 1Y
- 23.90%
- 3Y*
- 14.40%
- 5Y*
- 8.00%
- 10Y*
- 6.41%
HGLB
- 1D
- 1.37%
- 1M
- -9.86%
- YTD
- -8.19%
- 6M
- -4.95%
- 1Y
- 9.83%
- 3Y*
- 9.35%
- 5Y*
- 13.28%
- 10Y*
- —
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
GBMFX vs. HGLB - Expense Ratio Comparison
GBMFX has a 0.74% expense ratio, which is higher than HGLB's 0.02% expense ratio.
Return for Risk
GBMFX vs. HGLB — Risk / Return Rank
GBMFX
HGLB
GBMFX vs. HGLB - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) 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.
| GBMFX | HGLB | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.02 | 0.39 | +2.63 |
Sortino ratioReturn per unit of downside risk | 4.00 | 0.71 | +3.29 |
Omega ratioGain probability vs. loss probability | 1.61 | 1.10 | +0.51 |
Calmar ratioReturn relative to maximum drawdown | 3.91 | 0.44 | +3.47 |
Martin ratioReturn relative to average drawdown | 15.09 | 1.16 | +13.93 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| GBMFX | HGLB | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.02 | 0.39 | +2.63 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.11 | 0.60 | +0.52 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.81 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.96 | 0.12 | +0.84 |
Correlation
The correlation between GBMFX 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
GBMFX vs. HGLB - Dividend Comparison
GBMFX's dividend yield for the trailing twelve months is around 3.94%, less than HGLB's 12.86% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GBMFX GMO Benchmark-Free Allocation Fund | 3.94% | 4.16% | 5.14% | 5.64% | 3.20% | 2.46% | 3.73% | 3.35% | 3.67% | 2.39% | 1.60% | 2.10% |
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
GBMFX vs. HGLB - Drawdown Comparison
The maximum GBMFX drawdown since its inception was -23.40%, smaller than the maximum HGLB drawdown of -70.40%. Use the drawdown chart below to compare losses from any high point for GBMFX and HGLB.
Loading graphics...
Drawdown Indicators
| GBMFX | HGLB | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.40% | -70.40% | +47.00% |
Max Drawdown (1Y)Largest decline over 1 year | -5.98% | -23.34% | +17.36% |
Max Drawdown (5Y)Largest decline over 5 years | -14.42% | -29.88% | +15.46% |
Max Drawdown (10Y)Largest decline over 10 years | -23.40% | — | — |
Current DrawdownCurrent decline from peak | -3.64% | -18.32% | +14.68% |
Average DrawdownAverage peak-to-trough decline | -3.29% | -18.21% | +14.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.57% | 8.85% | -7.28% |
Volatility
GBMFX vs. HGLB - Volatility Comparison
The current volatility for GMO Benchmark-Free Allocation Fund (GBMFX) is 3.44%, while Highland Global Allocation Fund (HGLB) has a volatility of 8.27%. This indicates that GBMFX 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.
Loading graphics...
Volatility by Period
| GBMFX | HGLB | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.44% | 8.27% | -4.83% |
Volatility (6M)Calculated over the trailing 6-month period | 5.30% | 18.22% | -12.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.97% | 25.37% | -17.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.22% | 22.36% | -15.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.97% | 27.92% | -19.95% |