GBMFX vs. SAWMX

Last updated Jun 24, 2026

GBMFX (GMO Benchmark-Free Allocation Fund) and SAWMX (SA Worldwide Moderate Growth Fund) are both Global Allocation funds. Over the past 10 years, GBMFX returned 6.97%/yr vs 9.02%/yr for SAWMX. A 0.80 correlation means they provide meaningful diversification when combined. GBMFX charges 0.74%/yr vs 0.00%/yr for SAWMX.

Performance

GBMFX vs. SAWMX - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with GBMFX having a 10.39% return and SAWMX slightly higher at 10.67%. Over the past 10 years, GBMFX has underperformed SAWMX with an annualized return of 6.97%, while SAWMX has yielded a comparatively higher 9.02% annualized return.

GBMFX

• 1D: 0.06%
• 1M: 0.18%
• YTD: 10.39%
• 6M: 10.64%
• 1Y: 26.37%
• 3Y*: 15.68%
• 5Y*: 8.87%
• 10Y*: 6.97%

SAWMX

• 1D: 0.14%
• 1M: 1.38%
• YTD: 10.67%
• 6M: 10.33%
• 1Y: 23.06%
• 3Y*: 14.55%
• 5Y*: 8.31%
• 10Y*: 9.02%

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

GBMFX vs. SAWMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GBMFX GMO Benchmark-Free Allocation Fund	10.39%	22.89%	4.33%	13.46%	-2.24%	2.97%	-2.50%	11.62%	-5.36%	13.05%
SAWMX SA Worldwide Moderate Growth Fund	10.67%	18.15%	6.40%	13.60%	-8.96%	16.67%	4.12%	17.03%	-7.87%	13.89%

Correlation

The correlation between GBMFX and SAWMX is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.78
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.80

The correlation between GBMFX and SAWMX has been stable across timeframes, ranging from 0.75 to 0.80 - a consistent structural relationship.

Return for Risk

GBMFX vs. SAWMX — 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: 95
GBMFX Calmar Ratio Rank: 92
GBMFX Martin Ratio Rank: 92

SAWMX

SAWMX Risk / Return Rank: 93
SAWMX Sharpe Ratio Rank: 97
SAWMX Sortino Ratio Rank: 96
SAWMX Omega Ratio Rank: 92
SAWMX Calmar Ratio Rank: 91
SAWMX Martin Ratio Rank: 92

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. SAWMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and SA Worldwide Moderate Growth Fund (SAWMX). 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	SAWMX	Difference
Sharpe ratio: Return per unit of total volatility	3.66	3.42	+0.24
Sortino ratio: Return per unit of downside risk	5.24	4.96	+0.28
Omega ratio: Gain probability vs. loss probability	1.73	1.65	+0.08
Calmar ratio: Return relative to maximum drawdown	4.62	4.45	+0.17
Martin ratio: Return relative to average drawdown	17.48	17.63	-0.15

GBMFX vs. SAWMX - Sharpe Ratio Comparison

The current GBMFX Sharpe Ratio is 3.66, which is comparable to the SAWMX Sharpe Ratio of 3.42. The chart below compares the historical Sharpe Ratios of GBMFX and SAWMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GBMFX vs. SAWMX - Drawdown Comparison

The maximum GBMFX drawdown since its inception was -23.40%, smaller than the maximum SAWMX drawdown of -30.56%. Use the drawdown chart below to compare losses from any high point for GBMFX and SAWMX.

Drawdown Indicators

	GBMFX	SAWMX	Difference
Max Drawdown Largest peak-to-trough decline	-23.40%	-30.56%	+7.16%
Max Drawdown (1Y) Largest decline over 1 year	-5.78%	-5.79%	+0.01%
Max Drawdown (3Y) Largest decline over 3 years	-7.16%	-11.86%	+4.70%
Max Drawdown (5Y) Largest decline over 5 years	-13.20%	-17.57%	+4.37%
Max Drawdown (10Y) Largest decline over 10 years	-23.40%	-30.56%	+7.16%
Current Drawdown Current decline from peak	-1.41%	-0.43%	-0.98%
Average Drawdown Average peak-to-trough decline	-3.27%	-3.68%	+0.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.53%	1.40%	+0.13%

Volatility

GBMFX vs. SAWMX - Volatility Comparison

GMO Benchmark-Free Allocation Fund (GBMFX) and SA Worldwide Moderate Growth Fund (SAWMX) have volatilities of 2.31% and 2.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GBMFX	SAWMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.31%	2.42%	-0.11%
Volatility (6M) Calculated over the trailing 6-month period	5.77%	5.81%	-0.04%
Volatility (1Y) Calculated over the trailing 1-year period	7.32%	7.55%	-0.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.34%	9.91%	-2.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.01%	11.09%	-3.08%

GBMFX vs. SAWMX - Expense Ratio Comparison

GBMFX has a 0.74% expense ratio, which is higher than SAWMX's 0.00% expense ratio.

Dividends

GBMFX vs. SAWMX - Dividend Comparison

GBMFX's dividend yield for the trailing twelve months is around 3.77%, less than SAWMX's 5.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBMFX GMO Benchmark-Free Allocation Fund	3.77%	4.16%	5.14%	5.64%	3.20%	2.46%	3.73%	3.35%	3.67%	2.39%	1.60%	2.10%
SAWMX SA Worldwide Moderate Growth Fund	5.38%	5.95%	3.34%	4.20%	8.36%	4.52%	4.88%	5.66%	6.82%	1.28%	1.96%	0.00%

Frequently Asked Questions

Can I hold both GBMFX and SAWMX in my portfolio?

GBMFX and SAWMX have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GBMFX or SAWMX?

SAWMX has higher volatility (2.42%) compared to GBMFX (2.31%). In terms of maximum drawdown, GBMFX dropped -23.40% vs SAWMX's -30.56%.

Which has better risk-adjusted returns?

GBMFX currently has the higher Sharpe Ratio (3.66 vs 3.42), 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.