GCAVX vs. GABFX

Last updated Jun 24, 2026

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 11.21%/yr vs -3.54%/yr for GABFX. At a 0.03 correlation, their price movements are largely independent. GCAVX charges 0.42%/yr vs 0.32%/yr for GABFX.

Performance

GCAVX vs. GABFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Small Cap Value Fund (GCAVX) and GMO Asset Allocation Bond Fund (GABFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GCAVX achieves a 18.63% return, which is significantly higher than GABFX's -4.93% return.

GCAVX

• 1D: 0.11%
• 1M: 2.78%
• YTD: 18.63%
• 6M: 16.53%
• 1Y: 42.41%
• 3Y*: 21.27%
• 5Y*: 11.21%
• 10Y*: —

GABFX

• 1D: -0.73%
• 1M: 0.74%
• YTD: -4.93%
• 6M: -4.57%
• 1Y: -1.30%
• 3Y*: -1.75%
• 5Y*: -3.54%
• 10Y*: 0.36%

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

GCAVX vs. GABFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GCAVX GMO U.S. Small Cap Value Fund	18.63%	15.27%	11.16%	22.72%	-14.22%	35.66%	2.38%	7.27%
GABFX GMO Asset Allocation Bond Fund	-4.93%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	1.40%

Correlation

The correlation between GCAVX and GABFX is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.17
Correlation (5Y) Calculated over the trailing 5-year period	0.09
Correlation (All Time) Calculated using the full available price history since Jul 5, 2019	0.03

Over the past year, GCAVX and GABFX have become more correlated (0.24) than their long-term average of 0.03, meaning their price movements have been converging.

Return for Risk

GCAVX vs. GABFX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GCAVX

GCAVX Risk / Return Rank: 77
GCAVX Sharpe Ratio Rank: 77
GCAVX Sortino Ratio Rank: 76
GCAVX Omega Ratio Rank: 61
GCAVX Calmar Ratio Rank: 89
GCAVX Martin Ratio Rank: 84

GABFX

GABFX Risk / Return Rank: 3
GABFX Sharpe Ratio Rank: 3
GABFX Sortino Ratio Rank: 2
GABFX Omega Ratio Rank: 3
GABFX Calmar Ratio Rank: 3
GABFX Martin Ratio Rank: 3

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.

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 ratio: Return per unit of total volatility	2.36	-0.04	+2.40
Sortino ratio: Return per unit of downside risk	3.33	0.02	+3.31
Omega ratio: Gain probability vs. loss probability	1.40	1.00	+0.39
Calmar ratio: Return relative to maximum drawdown	4.19	-0.04	+4.23
Martin ratio: Return relative to average drawdown	14.69	-0.10	+14.79

GCAVX vs. GABFX - Sharpe Ratio Comparison

The current GCAVX Sharpe Ratio is 2.36, which is higher than the GABFX Sharpe Ratio of -0.04. The chart below compares the historical Sharpe Ratios of GCAVX and GABFX, 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

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.

Drawdown Indicators

	GCAVX	GABFX	Difference
Max Drawdown Largest peak-to-trough decline	-48.22%	-27.84%	-20.38%
Max Drawdown (1Y) Largest decline over 1 year	-10.64%	-9.58%	-1.06%
Max Drawdown (3Y) Largest decline over 3 years	-26.15%	-19.48%	-6.67%
Max Drawdown (5Y) Largest decline over 5 years	-26.15%	-27.84%	+1.69%
Max Drawdown (10Y) Largest decline over 10 years	—	-27.84%	—
Current Drawdown Current decline from peak	-1.21%	-18.62%	+17.41%
Average Drawdown Average peak-to-trough decline	-8.49%	-7.33%	-1.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	3.92%	-0.89%

Volatility

GCAVX vs. GABFX - Volatility Comparison

GMO U.S. Small Cap Value Fund (GCAVX) has a higher volatility of 5.16% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.31%. 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.

Volatility by Period

	GCAVX	GABFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.16%	2.31%	+2.85%
Volatility (6M) Calculated over the trailing 6-month period	12.90%	6.59%	+6.31%
Volatility (1Y) Calculated over the trailing 1-year period	18.92%	10.22%	+8.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.85%	14.03%	+7.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.58%	10.37%	+16.21%

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 2.48%, less than GABFX's 2.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GABFX GMO Asset Allocation Bond Fund	2.83%	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	2.48%	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

Can I hold both GCAVX and GABFX in my portfolio?

GCAVX and GABFX have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GCAVX or GABFX?

GCAVX has higher volatility (5.16%) compared to GABFX (2.31%). In terms of maximum drawdown, GCAVX dropped -48.22% vs GABFX's -27.84%.

Which has better risk-adjusted returns?

GCAVX currently has the higher Sharpe Ratio (2.36 vs -0.04), 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.