GMOEX vs. GABFX

Last updated Jul 14, 2026

GMOEX (GMO Emerging Markets Fund) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GMOEX is a Emerging Markets Diversified fund managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 10 years, GMOEX returned 8.55%/yr vs 0.24%/yr for GABFX. At a correlation of -0.00, they often move in opposite directions. GMOEX charges 0.90%/yr vs 0.32%/yr for GABFX.

Performance

GMOEX vs. GABFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Markets Fund (GMOEX) 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, GMOEX achieves a 34.58% return, which is significantly higher than GABFX's -5.46% return. Over the past 10 years, GMOEX has outperformed GABFX with an annualized return of 8.55%, while GABFX has yielded a comparatively lower 0.24% annualized return.

GMOEX

• 1D: 0.72%
• 1M: -1.82%
• 6M: 27.50%
• YTD: 34.58%
• 1Y: 54.48%
• 3Y*: 27.19%
• 5Y*: 7.21%
• 10Y*: 8.55%

GABFX

• 1D: -0.40%
• 1M: -1.00%
• 6M: -5.15%
• YTD: -5.46%
• 1Y: -0.02%
• 3Y*: -1.05%
• 5Y*: -3.85%
• 10Y*: 0.24%

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

GMOEX vs. GABFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMOEX GMO Emerging Markets Fund	34.58%	33.86%	1.95%	17.68%	-31.57%	2.05%	5.50%	22.15%	-12.82%	32.05%
GABFX GMO Asset Allocation Bond Fund	-5.46%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%

Correlation

The correlation between GMOEX and GABFX is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.13
Correlation (3Y) Calculated over the trailing 3-year period	0.08
Correlation (5Y) Calculated over the trailing 5-year period	0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.01
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	-0.00

The correlation between GMOEX and GABFX shifts across timeframes, from -0.00 (all time) to 0.13 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GMOEX vs. GABFX — Risk / Return Rank

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

GMOEX

GMOEX Risk / Return Rank: 89
GMOEX Sharpe Ratio Rank: 90
GMOEX Sortino Ratio Rank: 86
GMOEX Omega Ratio Rank: 88
GMOEX Calmar Ratio Rank: 93
GMOEX Martin Ratio Rank: 89

GABFX

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

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.

GMOEX vs. GABFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Emerging Markets Fund (GMOEX) 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.

	GMOEX	GABFX	Difference
Sharpe ratio: Return per unit of total volatility	2.42	-0.14	+2.57
Sortino ratio: Return per unit of downside risk	3.33	-0.14	+3.46
Omega ratio: Gain probability vs. loss probability	1.50	0.98	+0.52
Calmar ratio: Return relative to maximum drawdown	4.08	-0.15	+4.23
Martin ratio: Return relative to average drawdown	13.14	-0.34	+13.48

GMOEX vs. GABFX - Sharpe Ratio Comparison

The current GMOEX Sharpe Ratio is 2.42, which is higher than the GABFX Sharpe Ratio of -0.14. The chart below compares the historical Sharpe Ratios of GMOEX 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

GMOEX vs. GABFX - Drawdown Comparison

The maximum GMOEX drawdown since its inception was -76.43%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GMOEX and GABFX.

Drawdown Indicators

	GMOEX	GABFX	Difference
Max Drawdown Largest peak-to-trough decline	-76.43%	-27.84%	-48.59%
Max Drawdown (1Y) Largest decline over 1 year	-13.38%	-9.58%	-3.80%
Max Drawdown (3Y) Largest decline over 3 years	-16.92%	-19.48%	+2.56%
Max Drawdown (5Y) Largest decline over 5 years	-41.78%	-27.84%	-13.94%
Max Drawdown (10Y) Largest decline over 10 years	-43.50%	-27.84%	-15.66%
Current Drawdown Current decline from peak	-8.24%	-19.08%	+10.84%
Average Drawdown Average peak-to-trough decline	-37.34%	-7.36%	-29.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.15%	4.20%	-0.05%

Volatility

GMOEX vs. GABFX - Volatility Comparison

GMO Emerging Markets Fund (GMOEX) has a higher volatility of 9.96% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.49%. This indicates that GMOEX'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

	GMOEX	GABFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.96%	2.49%	+7.47%
Volatility (6M) Calculated over the trailing 6-month period	20.73%	6.68%	+14.05%
Volatility (1Y) Calculated over the trailing 1-year period	22.55%	10.02%	+12.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.65%	14.04%	+3.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.39%	10.38%	+7.01%

GMOEX vs. GABFX - Expense Ratio Comparison

GMOEX has a 0.90% expense ratio, which is higher than GABFX's 0.32% expense ratio.

Dividends

GMOEX vs. GABFX - Dividend Comparison

GMOEX's dividend yield for the trailing twelve months is around 5.81%, more than GABFX's 2.91% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GABFX GMO Asset Allocation Bond Fund	2.91%	2.69%	4.19%	5.03%	0.71%	1.81%	1.20%	4.72%	5.13%	1.07%	0.00%	7.43%
GMOEX GMO Emerging Markets Fund	5.81%	5.01%	3.79%	6.00%	8.08%	4.48%	3.71%	4.63%	3.36%	2.56%	2.21%	1.15%

Frequently Asked Questions

Can I hold both GMOEX and GABFX in my portfolio?

GMOEX and GABFX have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMOEX or GABFX?

GMOEX has higher volatility (9.96%) compared to GABFX (2.49%). In terms of maximum drawdown, GMOEX dropped -76.43% vs GABFX's -27.84%.

Which has better risk-adjusted returns?

GMOEX currently has the higher Sharpe Ratio (2.42 vs -0.14), 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.