GCAVX vs. GABFX
GCAVX (GMO U.S. Small Cap Value Fund) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GCAVX is a Small Cap Value Equities fund managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 5 years, GCAVX returned 11.98%/yr vs -4.43%/yr for GABFX. Their 0.04 correlation means their historical movements had little consistent relationship. GCAVX charges 0.42%/yr vs 0.32%/yr for GABFX.
Performance
GCAVX vs. GABFX - Performance Comparison
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Returns By Period
In the year-to-date period, GCAVX achieves a 20.34% return, which is significantly higher than GABFX's -7.28% return.
GCAVX
- 1D
- -0.49%
- 1M
- 1.70%
- 6M
- 11.86%
- YTD
- 20.34%
- 1Y
- 42.36%
- 3Y*
- 18.08%
- 5Y*
- 11.98%
- 10Y*
- —
- ALL TIME*
- 13.30%
GABFX
- 1D
- -1.03%
- 1M
- -3.04%
- 6M
- -6.08%
- YTD
- -7.28%
- 1Y
- -5.61%
- 3Y*
- -1.50%
- 5Y*
- -4.43%
- 10Y*
- 0.09%
- ALL TIME*
- 0.93%
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 |
GCAVX vs. GABFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GCAVX GMO U.S. Small Cap Value Fund | 20.34% | 15.27% | 11.16% | 22.72% | -14.22% | 35.66% | 2.38% | 7.27% |
GABFX GMO Asset Allocation Bond Fund | -7.28% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 1.40% |
Correlation
The correlation between GCAVX and GABFX is 0.26, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.26 |
Correlation (3Y) Balances recent behavior with more history. | 0.17 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.10 |
Correlation (All Time) Calculated using the full available price history since Jul 5, 2019 | 0.04 |
Over the past year, GCAVX and GABFX have become more correlated (0.26) than their long-term average of 0.04, meaning their price movements have been converging.
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Return for Risk
GCAVX vs. GABFX — Risk / Return Rank
GCAVX
GABFX
GCAVX vs. GABFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Small Cap Value Fund (GCAVX) and GMO Asset Allocation Bond Fund (GABFX). 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.
| GCAVX | GABFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.50 | ||
| Sortino ratioReturn per unit of downside risk | +3.54 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 0.96 | +0.41 |
| Calmar ratioReturn relative to maximum drawdown | 3.78 | -0.31 | +4.09 |
| Martin ratioReturn relative to average drawdown | 13.49 | -0.67 | +14.17 |
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Drawdowns
GCAVX vs. GABFX - Drawdown Comparison
The maximum GCAVX drawdown since its inception was -48.22%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GCAVX and GABFX.
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Drawdown Indicators
| GCAVX | GABFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.22% | -27.84% | -20.38% |
Max Drawdown (1Y)Largest decline over 1 year | -10.64% | -10.31% | -0.33% |
Max Drawdown (3Y)Largest decline over 3 years | -26.15% | -19.48% | -6.67% |
Max Drawdown (5Y)Largest decline over 5 years | -26.15% | -27.55% | +1.40% |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.84% | — |
Current DrawdownCurrent decline from peak | -2.00% | -20.64% | +18.64% |
Average DrawdownAverage peak-to-trough decline | -8.38% | -7.40% | -0.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.98% | 4.74% | -1.76% |
Volatility
GCAVX vs. GABFX - Volatility Comparison
GMO U.S. Small Cap Value Fund (GCAVX) has a higher volatility of 4.33% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.29%. This indicates that GCAVX's price experiences larger fluctuations and is considered to be riskier than GABFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GCAVX | GABFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.33% | 2.29% | +2.04% |
Volatility (6M)Calculated over the trailing 6-month period | 12.44% | 6.68% | +5.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.55% | 9.71% | +8.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.65% | 14.06% | +7.59% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.43% | 10.40% | +16.03% |
GCAVX vs. GABFX - Expense Ratio Comparison
GCAVX has a 0.42% expense ratio, which is higher than GABFX's 0.32% expense ratio.
Dividends
GCAVX vs. GABFX - Dividend Comparison
GCAVX's dividend yield for the trailing twelve months is around 8.69%, more than GABFX's 2.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 2.96% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
GCAVX GMO U.S. Small Cap Value Fund | 8.69% | 2.94% | 1.68% | 1.85% | 10.92% | 41.19% | 1.54% | 0.83% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GCAVX and GABFX have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GCAVX has higher volatility (4.33%) compared to GABFX (2.29%). In terms of maximum drawdown, GCAVX dropped -48.22% vs GABFX's -27.84%.
GCAVX currently has the higher Sharpe Ratio (2.17 vs -0.33), 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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