GBMFX vs. VOO
Compare and contrast key facts about GMO Benchmark-Free Allocation Fund (GBMFX) and Vanguard S&P 500 ETF (VOO).
GBMFX is managed by GMO. It was launched on Jul 22, 2003. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Performance
GBMFX vs. VOO - Performance Comparison
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GBMFX vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GBMFX GMO Benchmark-Free Allocation Fund | 5.61% | 22.89% | 4.33% | 13.46% | -2.24% | 2.97% | -2.50% | 11.62% | -5.36% | 13.05% |
VOO Vanguard S&P 500 ETF | -3.66% | 17.82% | 24.98% | 26.32% | -18.17% | 28.79% | 18.32% | 31.37% | -4.50% | 21.77% |
Returns By Period
In the year-to-date period, GBMFX achieves a 5.61% return, which is significantly higher than VOO's -3.66% return. Over the past 10 years, GBMFX has underperformed VOO with an annualized return of 6.41%, while VOO has yielded a comparatively higher 14.14% annualized 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%
VOO
- 1D
- 0.79%
- 1M
- -4.29%
- YTD
- -3.66%
- 6M
- -1.41%
- 1Y
- 18.17%
- 3Y*
- 18.58%
- 5Y*
- 11.93%
- 10Y*
- 14.14%
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GBMFX vs. VOO - Expense Ratio Comparison
GBMFX has a 0.74% expense ratio, which is higher than VOO's 0.03% expense ratio.
Return for Risk
GBMFX vs. VOO — Risk / Return Rank
GBMFX
VOO
GBMFX vs. VOO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Benchmark-Free Allocation Fund (GBMFX) and Vanguard S&P 500 ETF (VOO). 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 | VOO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.02 | 1.01 | +2.01 |
Sortino ratioReturn per unit of downside risk | 4.00 | 1.53 | +2.46 |
Omega ratioGain probability vs. loss probability | 1.61 | 1.23 | +0.38 |
Calmar ratioReturn relative to maximum drawdown | 3.91 | 1.55 | +2.36 |
Martin ratioReturn relative to average drawdown | 15.09 | 7.31 | +7.78 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GBMFX | VOO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.02 | 1.01 | +2.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.11 | 0.71 | +0.40 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.81 | 0.79 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.96 | 0.83 | +0.12 |
Correlation
The correlation between GBMFX and VOO is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
GBMFX vs. VOO - Dividend Comparison
GBMFX's dividend yield for the trailing twelve months is around 3.94%, more than VOO's 1.18% 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% |
VOO Vanguard S&P 500 ETF | 1.18% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Drawdowns
GBMFX vs. VOO - Drawdown Comparison
The maximum GBMFX drawdown since its inception was -23.40%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GBMFX and VOO.
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Drawdown Indicators
| GBMFX | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.40% | -33.99% | +10.59% |
Max Drawdown (1Y)Largest decline over 1 year | -5.98% | -11.98% | +6.00% |
Max Drawdown (5Y)Largest decline over 5 years | -14.42% | -24.52% | +10.10% |
Max Drawdown (10Y)Largest decline over 10 years | -23.40% | -33.99% | +10.59% |
Current DrawdownCurrent decline from peak | -3.64% | -5.55% | +1.91% |
Average DrawdownAverage peak-to-trough decline | -3.29% | -3.72% | +0.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.57% | 2.55% | -0.98% |
Volatility
GBMFX vs. VOO - Volatility Comparison
The current volatility for GMO Benchmark-Free Allocation Fund (GBMFX) is 3.44%, while Vanguard S&P 500 ETF (VOO) has a volatility of 5.34%. This indicates that GBMFX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GBMFX | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.44% | 5.34% | -1.90% |
Volatility (6M)Calculated over the trailing 6-month period | 5.30% | 9.47% | -4.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.97% | 18.11% | -10.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.22% | 16.82% | -9.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.97% | 17.99% | -10.02% |