GIOTX vs. GABFX

Last updated Aug 4, 2026

GIOTX (GMO International Developed Equity Allocation Fund) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GIOTX is a Foreign Large Cap Equities fund managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 10 years, GIOTX returned 12.13%/yr vs 0.09%/yr for GABFX. Their 0.04 correlation means their historical movements had little consistent relationship. GIOTX charges 0.00%/yr vs 0.32%/yr for GABFX.

Performance

GIOTX vs. GABFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Developed Equity Allocation Fund (GIOTX) 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, GIOTX achieves a 20.64% return, which is significantly higher than GABFX's -7.28% return. Over the past 10 years, GIOTX has outperformed GABFX with an annualized return of 12.13%, while GABFX has yielded a comparatively lower 0.09% annualized return.

GIOTX

• 1D: -0.59%
• 1M: 2.95%
• 6M: 12.62%
• YTD: 20.64%
• 1Y: 40.94%
• 3Y*: 26.35%
• 5Y*: 15.19%
• 10Y*: 12.13%
• ALL TIME*: 6.50%

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%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GABFX GMO Asset Allocation Bond Fund	$0.00	$0.00	$0.00
GIOTX GMO International Developed Equity Allocation Fund	$0.00	$0.00	$0.00

GIOTX vs. GABFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GIOTX GMO International Developed Equity Allocation Fund	20.64%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-19.66%	26.38%
GABFX GMO Asset Allocation Bond Fund	-7.28%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%

Correlation

The correlation between GIOTX and GABFX is 0.30, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.30
Correlation (3Y) Balances recent behavior with more history.	0.23
Correlation (5Y) Shows whether the relationship held over a longer period.	0.17
Correlation (10Y) Provides a long-term view across more market conditions.	0.07
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	0.04

Over the past year, GIOTX and GABFX have become more correlated (0.30) than their long-term average of 0.04, meaning their price movements have been converging.

Return for Risk

GIOTX vs. GABFX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GIOTX

GIOTX Risk / Return Rank: 92
GIOTX Sharpe Ratio Rank: 95
GIOTX Sortino Ratio Rank: 91
GIOTX Omega Ratio Rank: 88
GIOTX Calmar Ratio Rank: 93
GIOTX Martin Ratio Rank: 94

GABFX

GABFX Risk / Return Rank: 2
GABFX Sharpe Ratio Rank: 2
GABFX Sortino Ratio Rank: 1
GABFX Omega Ratio Rank: 2
GABFX Calmar Ratio Rank: 2
GABFX Martin Ratio Rank: 2

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

GIOTX vs. GABFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO International Developed Equity Allocation Fund (GIOTX) 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.

	GIOTX	GABFX	Difference
Sharpe ratio: Return per unit of total volatility	2.56	-0.33	+2.89
Sortino ratio: Return per unit of downside risk	3.52	-0.42	+3.94
Omega ratio: Gain probability vs. loss probability	1.46	0.96	+0.51
Calmar ratio: Return relative to maximum drawdown	3.89	-0.31	+4.20
Martin ratio: Return relative to average drawdown	15.11	-0.67	+15.78

GIOTX vs. GABFX - Sharpe Ratio Comparison

The current GIOTX Sharpe Ratio is 2.56, which is higher than the GABFX Sharpe Ratio of -0.33. The chart below compares the historical Sharpe Ratios of GIOTX 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

GIOTX vs. GABFX - Drawdown Comparison

The maximum GIOTX drawdown since its inception was -56.51%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GIOTX and GABFX.

Drawdown Indicators

	GIOTX	GABFX	Difference
Max Drawdown Largest peak-to-trough decline	-56.51%	-27.84%	-28.67%
Max Drawdown (1Y) Largest decline over 1 year	-10.66%	-10.31%	-0.35%
Max Drawdown (3Y) Largest decline over 3 years	-13.40%	-19.48%	+6.08%
Max Drawdown (5Y) Largest decline over 5 years	-28.34%	-27.55%	-0.79%
Max Drawdown (10Y) Largest decline over 10 years	-39.29%	-27.84%	-11.45%
Current Drawdown Current decline from peak	-0.59%	-20.64%	+20.05%
Average Drawdown Average peak-to-trough decline	-14.13%	-7.40%	-6.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.74%	4.74%	-2.00%

Volatility

GIOTX vs. GABFX - Volatility Comparison

GMO International Developed Equity Allocation Fund (GIOTX) has a higher volatility of 5.03% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.29%. This indicates that GIOTX'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

	GIOTX	GABFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.03%	2.29%	+2.74%
Volatility (6M) Calculated over the trailing 6-month period	13.48%	6.68%	+6.80%
Volatility (1Y) Calculated over the trailing 1-year period	16.21%	9.71%	+6.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.55%	14.06%	+1.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.18%	10.40%	+5.78%

GIOTX vs. GABFX - Expense Ratio Comparison

GIOTX has a 0.00% expense ratio, which is lower than GABFX's 0.32% expense ratio.

Dividends

GIOTX vs. GABFX - Dividend Comparison

GIOTX's dividend yield for the trailing twelve months is around 8.44%, 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%
GIOTX GMO International Developed Equity Allocation Fund	8.44%	8.04%	5.07%	6.54%	4.45%	6.67%	4.48%	3.74%	3.90%	3.15%	4.04%	3.39%

Frequently Asked Questions

Can I hold both GIOTX and GABFX in my portfolio?

GIOTX and GABFX have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GIOTX or GABFX?

GIOTX has higher volatility (5.03%) compared to GABFX (2.29%). In terms of maximum drawdown, GIOTX dropped -56.51% vs GABFX's -27.84%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.56 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.