GMUEX vs. GABFX

Last updated Jun 24, 2026

GMUEX (GMO U.S. Equity Fund) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GMUEX is a Large Cap Value Equities fund managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 10 years, GMUEX returned 14.68%/yr vs 0.36%/yr for GABFX. At a correlation of -0.02, they often move in opposite directions. GMUEX charges 0.47%/yr vs 0.32%/yr for GABFX.

Performance

GMUEX vs. GABFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Equity Fund (GMUEX) 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, GMUEX achieves a 15.12% return, which is significantly higher than GABFX's -4.93% return. Over the past 10 years, GMUEX has outperformed GABFX with an annualized return of 14.68%, while GABFX has yielded a comparatively lower 0.36% annualized return.

GMUEX

• 1D: -0.18%
• 1M: 1.15%
• YTD: 15.12%
• 6M: 14.02%
• 1Y: 39.06%
• 3Y*: 23.76%
• 5Y*: 13.70%
• 10Y*: 14.68%

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)

GMUEX vs. GABFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMUEX GMO U.S. Equity Fund	15.12%	22.24%	20.97%	22.02%	-12.66%	24.28%	13.56%	28.62%	-9.77%	18.46%
GABFX GMO Asset Allocation Bond Fund	-4.93%	8.82%	-12.60%	8.33%	-14.86%	1.34%	11.28%	8.00%	0.78%	2.41%

Correlation

The correlation between GMUEX and GABFX is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.11
Correlation (5Y) Calculated over the trailing 5-year period	0.06
Correlation (10Y) Calculated over the trailing 10-year period	-0.02
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009	-0.02

The correlation between GMUEX and GABFX shifts across timeframes, from -0.02 (all time) to 0.21 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GMUEX vs. GABFX — Risk / Return Rank

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

GMUEX

GMUEX Risk / Return Rank: 89
GMUEX Sharpe Ratio Rank: 92
GMUEX Sortino Ratio Rank: 86
GMUEX Omega Ratio Rank: 82
GMUEX Calmar Ratio Rank: 90
GMUEX Martin Ratio Rank: 93

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.

GMUEX vs. GABFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Equity Fund (GMUEX) 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.

	GMUEX	GABFX	Difference
Sharpe ratio: Return per unit of total volatility	2.86	-0.04	+2.90
Sortino ratio: Return per unit of downside risk	3.81	0.02	+3.79
Omega ratio: Gain probability vs. loss probability	1.50	1.00	+0.50
Calmar ratio: Return relative to maximum drawdown	4.42	-0.04	+4.46
Martin ratio: Return relative to average drawdown	18.38	-0.10	+18.48

GMUEX vs. GABFX - Sharpe Ratio Comparison

The current GMUEX Sharpe Ratio is 2.86, which is higher than the GABFX Sharpe Ratio of -0.04. The chart below compares the historical Sharpe Ratios of GMUEX 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

GMUEX vs. GABFX - Drawdown Comparison

The maximum GMUEX drawdown since its inception was -60.66%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GMUEX and GABFX.

Drawdown Indicators

	GMUEX	GABFX	Difference
Max Drawdown Largest peak-to-trough decline	-60.66%	-27.84%	-32.82%
Max Drawdown (1Y) Largest decline over 1 year	-9.19%	-9.58%	+0.39%
Max Drawdown (3Y) Largest decline over 3 years	-20.85%	-19.48%	-1.37%
Max Drawdown (5Y) Largest decline over 5 years	-28.95%	-27.84%	-1.11%
Max Drawdown (10Y) Largest decline over 10 years	-33.90%	-27.84%	-6.06%
Current Drawdown Current decline from peak	-1.59%	-18.62%	+17.03%
Average Drawdown Average peak-to-trough decline	-17.23%	-7.33%	-9.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.20%	3.92%	-1.72%

Volatility

GMUEX vs. GABFX - Volatility Comparison

GMO U.S. Equity Fund (GMUEX) has a higher volatility of 5.20% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.31%. This indicates that GMUEX'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

	GMUEX	GABFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.20%	2.31%	+2.89%
Volatility (6M) Calculated over the trailing 6-month period	11.26%	6.59%	+4.67%
Volatility (1Y) Calculated over the trailing 1-year period	14.24%	10.22%	+4.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.89%	14.03%	+5.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.55%	10.37%	+9.18%

GMUEX vs. GABFX - Expense Ratio Comparison

GMUEX has a 0.47% expense ratio, which is higher than GABFX's 0.32% expense ratio.

Dividends

GMUEX vs. GABFX - Dividend Comparison

GMUEX's dividend yield for the trailing twelve months is around 10.15%, more 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%
GMUEX GMO U.S. Equity Fund	10.15%	11.68%	17.31%	12.10%	6.99%	14.17%	9.16%	12.24%	21.90%	11.22%	11.27%	12.88%

Frequently Asked Questions

Can I hold both GMUEX and GABFX in my portfolio?

GMUEX and GABFX have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMUEX or GABFX?

GMUEX has higher volatility (5.20%) compared to GABFX (2.31%). In terms of maximum drawdown, GMUEX dropped -60.66% vs GABFX's -27.84%.

Which has better risk-adjusted returns?

GMUEX currently has the higher Sharpe Ratio (2.86 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.