GBMFX vs. TTMIX
GBMFX (GMO Benchmark-Free Allocation Fund) and TTMIX (T. Rowe Price Total Return Fund Class I) are both Global Allocation funds. Over the past 10 years, GBMFX returned 6.82%/yr vs 13.33%/yr for TTMIX. Their 0.50 correlation means their historical movements had little consistent relationship. GBMFX charges 0.74%/yr vs 0.37%/yr for TTMIX.
Performance
GBMFX vs. TTMIX - 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 TTMIX's -5.63% return. Over the past 10 years, GBMFX has underperformed TTMIX with an annualized return of 6.82%, while TTMIX has yielded a comparatively higher 13.33% 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%
TTMIX
- 1D
- 0.26%
- 1M
- -4.75%
- 6M
- -4.27%
- YTD
- -5.63%
- 1Y
- -6.24%
- 3Y*
- 14.75%
- 5Y*
- 2.34%
- 10Y*
- 13.33%
- ALL TIME*
- 13.89%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
GBMFX vs. TTMIX - 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% |
TTMIX T. Rowe Price Total Return Fund Class I | -5.63% | 6.97% | 38.33% | 39.41% | -40.85% | 9.92% | 53.86% | 35.84% | -1.73% | 33.14% |
Correlation
The correlation between GBMFX and TTMIX is 0.46, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.46 |
Correlation (3Y) Balances recent behavior with more history. | 0.44 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.41 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.49 |
Correlation (All Time) Calculated using the full available price history since Mar 28, 2016 | 0.50 |
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Return for Risk
GBMFX vs. TTMIX — Risk / Return Rank
GBMFX
TTMIX
GBMFX vs. TTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and T. Rowe Price Total Return Fund Class I (TTMIX). 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 | TTMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +4.16 | ||
| Sortino ratioReturn per unit of downside risk | +5.86 | ||
| Omega ratioGain probability vs. loss probability | 1.74 | 0.94 | +0.81 |
| Calmar ratioReturn relative to maximum drawdown | 4.59 | -0.43 | +5.03 |
| Martin ratioReturn relative to average drawdown | 16.59 | -0.93 | +17.52 |
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Drawdowns
GBMFX vs. TTMIX - Drawdown Comparison
The maximum GBMFX drawdown since its inception was -23.40%, smaller than the maximum TTMIX drawdown of -47.11%. Use the drawdown chart below to compare losses from any high point for GBMFX and TTMIX.
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Drawdown Indicators
| GBMFX | TTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.40% | -47.11% | +23.71% |
Max Drawdown (1Y)Largest decline over 1 year | -5.78% | -17.25% | +11.47% |
Max Drawdown (3Y)Largest decline over 3 years | -7.16% | -20.68% | +13.52% |
Max Drawdown (5Y)Largest decline over 5 years | -13.20% | -47.11% | +33.91% |
Max Drawdown (10Y)Largest decline over 10 years | -23.40% | -47.11% | +23.71% |
Current DrawdownCurrent decline from peak | 0.00% | -13.05% | +13.05% |
Average DrawdownAverage peak-to-trough decline | -3.26% | -10.25% | +6.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.60% | 8.04% | -6.44% |
Volatility
GBMFX vs. TTMIX - Volatility Comparison
The current volatility for GMO Benchmark-Free Allocation Fund (GBMFX) is 1.67%, while T. Rowe Price Total Return Fund Class I (TTMIX) has a volatility of 5.71%. This indicates that GBMFX experiences smaller price fluctuations and is considered to be less risky than TTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GBMFX | TTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.67% | 5.71% | -4.04% |
Volatility (6M)Calculated over the trailing 6-month period | 5.90% | 13.43% | -7.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.21% | 16.15% | -8.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.34% | 21.45% | -14.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.97% | 20.82% | -12.85% |
GBMFX vs. TTMIX - Expense Ratio Comparison
GBMFX has a 0.74% expense ratio, which is higher than TTMIX's 0.37% expense ratio.
Dividends
GBMFX vs. TTMIX - Dividend Comparison
GBMFX's dividend yield for the trailing twelve months is around 3.75%, less than TTMIX's 26.78% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
TTMIX T. Rowe Price Total Return Fund Class I | 26.78% | 25.27% | 7.45% | 7.80% | 17.43% | 8.53% | 5.27% | 2.44% | 1.41% | 2.47% | 2.23% | 0.00% |
Frequently Asked Questions
GBMFX and TTMIX have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TTMIX has higher volatility (5.71%) compared to GBMFX (1.67%). In terms of maximum drawdown, GBMFX dropped -23.40% vs TTMIX's -47.11%.
GBMFX currently has the higher Sharpe Ratio (3.69 vs -0.46), 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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