GMWAX vs. GABFX
GMWAX (GMO Global Asset Allocation Fund) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GMWAX is a Global Allocation fund managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 10 years, GMWAX returned 7.39%/yr vs 0.17%/yr for GABFX. Their 0.12 correlation means their historical movements had little consistent relationship. GMWAX charges 0.00%/yr vs 0.32%/yr for GABFX.
Performance
GMWAX vs. GABFX - Performance Comparison
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Returns By Period
In the year-to-date period, GMWAX achieves a 12.58% return, which is significantly higher than GABFX's -6.32% return. Over the past 10 years, GMWAX has outperformed GABFX with an annualized return of 7.39%, while GABFX has yielded a comparatively lower 0.17% annualized return.
GMWAX
- 1D
- 1.08%
- 1M
- 1.64%
- 6M
- 8.00%
- YTD
- 12.58%
- 1Y
- 25.52%
- 3Y*
- 13.43%
- 5Y*
- 7.21%
- 10Y*
- 7.39%
- ALL TIME*
- 3.47%
GABFX
- 1D
- -0.51%
- 1M
- -2.02%
- 6M
- -5.61%
- YTD
- -6.32%
- 1Y
- -4.62%
- 3Y*
- -1.49%
- 5Y*
- -4.23%
- 10Y*
- 0.17%
- ALL TIME*
- 0.99%
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 |
GMWAX vs. GABFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 12.58% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 17.70% | -7.21% | 15.73% |
GABFX GMO Asset Allocation Bond Fund | -6.32% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 8.00% | 0.78% | 2.41% |
Correlation
The correlation between GMWAX and GABFX is 0.37, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.37 |
Correlation (3Y) Balances recent behavior with more history. | 0.34 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.27 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.15 |
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009 | 0.12 |
Over the past year, GMWAX and GABFX have become more correlated (0.37) than their long-term average of 0.12, meaning their price movements have been converging.
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Return for Risk
GMWAX vs. GABFX — Risk / Return Rank
GMWAX
GABFX
GMWAX vs. GABFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) 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.
| GMWAX | GABFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.92 | ||
| Sortino ratioReturn per unit of downside risk | +4.04 | ||
| Omega ratioGain probability vs. loss probability | 1.52 | 0.98 | +0.54 |
| Calmar ratioReturn relative to maximum drawdown | 3.65 | -0.19 | +3.84 |
| Martin ratioReturn relative to average drawdown | 13.64 | -0.41 | +14.05 |
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Drawdowns
GMWAX vs. GABFX - Drawdown Comparison
The maximum GMWAX drawdown since its inception was -41.69%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GMWAX and GABFX.
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Drawdown Indicators
| GMWAX | GABFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.69% | -27.84% | -13.85% |
Max Drawdown (1Y)Largest decline over 1 year | -6.87% | -10.10% | +3.23% |
Max Drawdown (3Y)Largest decline over 3 years | -13.17% | -19.48% | +6.31% |
Max Drawdown (5Y)Largest decline over 5 years | -21.47% | -27.81% | +6.34% |
Max Drawdown (10Y)Largest decline over 10 years | -25.12% | -27.84% | +2.72% |
Current DrawdownCurrent decline from peak | -0.14% | -19.81% | +19.67% |
Average DrawdownAverage peak-to-trough decline | -11.18% | -7.40% | -3.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.84% | 4.70% | -2.86% |
Volatility
GMWAX vs. GABFX - Volatility Comparison
GMO Global Asset Allocation Fund (GMWAX) has a higher volatility of 2.44% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.17%. This indicates that GMWAX'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
| GMWAX | GABFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.44% | 2.17% | +0.27% |
Volatility (6M)Calculated over the trailing 6-month period | 7.59% | 6.62% | +0.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.25% | 9.70% | -0.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.08% | 14.06% | -3.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 10.39% | -0.06% |
GMWAX vs. GABFX - Expense Ratio Comparison
GMWAX has a 0.00% expense ratio, which is lower than GABFX's 0.32% expense ratio.
Dividends
GMWAX vs. GABFX - Dividend Comparison
GMWAX's dividend yield for the trailing twelve months is around 4.42%, more than GABFX's 2.93% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 2.93% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
GMWAX GMO Global Asset Allocation Fund | 4.42% | 4.88% | 0.14% | 5.47% | 3.78% | 6.16% | 4.00% | 4.00% | 3.77% | 2.50% | 2.25% | 3.13% |
Frequently Asked Questions
GMWAX and GABFX have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GMWAX has higher volatility (2.44%) compared to GABFX (2.17%). In terms of maximum drawdown, GMWAX dropped -41.69% vs GABFX's -27.84%.
GMWAX currently has the higher Sharpe Ratio (2.72 vs -0.20), 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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