GMWAX vs. TIBAX
GMWAX (GMO Global Asset Allocation Fund) and TIBAX (Thornburg Investment Income Builder Fund) are both Global Allocation funds. Over the past 10 years, GMWAX returned 7.62%/yr vs 12.62%/yr for TIBAX. Their correlation of 0.84 suggests significant overlap in exposure. GMWAX charges 0.00%/yr vs 1.14%/yr for TIBAX.
Performance
GMWAX vs. TIBAX - Performance Comparison
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Returns By Period
In the year-to-date period, GMWAX achieves a 10.41% return, which is significantly lower than TIBAX's 16.64% return. Over the past 10 years, GMWAX has underperformed TIBAX with an annualized return of 7.62%, while TIBAX has yielded a comparatively higher 12.62% annualized return.
GMWAX
- 1D
- -1.36%
- 1M
- -0.26%
- YTD
- 10.41%
- 6M
- 9.98%
- 1Y
- 25.08%
- 3Y*
- 14.31%
- 5Y*
- 6.46%
- 10Y*
- 7.62%
TIBAX
- 1D
- -0.68%
- 1M
- -0.18%
- YTD
- 16.64%
- 6M
- 17.07%
- 1Y
- 35.15%
- 3Y*
- 25.73%
- 5Y*
- 15.96%
- 10Y*
- 12.62%
GMWAX vs. TIBAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GMWAX GMO Global Asset Allocation Fund | 10.41% | 23.40% | 0.23% | 16.17% | -12.71% | 7.03% | 6.15% | 17.70% | -7.21% | 15.73% |
TIBAX Thornburg Investment Income Builder Fund | 16.64% | 36.62% | 13.23% | 18.01% | -7.95% | 20.08% | -0.67% | 17.72% | -4.54% | 14.83% |
Correlation
The correlation between GMWAX and TIBAX is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.71 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.77 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Dec 24, 2002 | 0.84 |
The correlation between GMWAX and TIBAX shifts across timeframes, from 0.71 (1 year) to 0.84 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
GMWAX vs. TIBAX — Risk / Return Rank
GMWAX
TIBAX
GMWAX vs. TIBAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Global Asset Allocation Fund (GMWAX) and Thornburg Investment Income Builder Fund (TIBAX). 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 | TIBAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.28 | ||
| Sortino ratioReturn per unit of downside risk | -1.87 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 1.81 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | 3.83 | 6.67 | -2.84 |
| Martin ratioReturn relative to average drawdown | 14.54 | 25.46 | -10.92 |
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Drawdowns
GMWAX vs. TIBAX - Drawdown Comparison
The maximum GMWAX drawdown since its inception was -41.69%, smaller than the maximum TIBAX drawdown of -49.12%. Use the drawdown chart below to compare losses from any high point for GMWAX and TIBAX.
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Drawdown Indicators
| GMWAX | TIBAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.69% | -49.12% | +7.43% |
Max Drawdown (1Y)Largest decline over 1 year | -6.87% | -5.43% | -1.44% |
Max Drawdown (3Y)Largest decline over 3 years | -13.17% | -9.20% | -3.97% |
Max Drawdown (5Y)Largest decline over 5 years | -21.47% | -20.94% | -0.53% |
Max Drawdown (10Y)Largest decline over 10 years | -25.12% | -34.85% | +9.73% |
Current DrawdownCurrent decline from peak | -2.06% | -1.08% | -0.98% |
Average DrawdownAverage peak-to-trough decline | -11.21% | -5.98% | -5.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.81% | 1.42% | +0.39% |
Volatility
GMWAX vs. TIBAX - Volatility Comparison
GMO Global Asset Allocation Fund (GMWAX) has a higher volatility of 3.51% compared to Thornburg Investment Income Builder Fund (TIBAX) at 2.91%. This indicates that GMWAX's price experiences larger fluctuations and is considered to be riskier than TIBAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMWAX | TIBAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.51% | 2.91% | +0.60% |
Volatility (6M)Calculated over the trailing 6-month period | 7.51% | 7.36% | +0.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.28% | 8.78% | +0.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.09% | 11.15% | -1.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 13.42% | -3.09% |
GMWAX vs. TIBAX - Expense Ratio Comparison
GMWAX has a 0.00% expense ratio, which is lower than TIBAX's 1.14% expense ratio.
Dividends
GMWAX vs. TIBAX - Dividend Comparison
GMWAX's dividend yield for the trailing twelve months is around 4.42%, less than TIBAX's 4.97% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
TIBAX Thornburg Investment Income Builder Fund | 4.97% | 5.64% | 5.44% | 4.67% | 5.62% | 5.10% | 4.11% | 4.23% | 4.49% | 4.22% | 3.83% | 4.31% |
Frequently Asked Questions
GMWAX and TIBAX have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GMWAX has higher volatility (3.51%) compared to TIBAX (2.91%). In terms of maximum drawdown, GMWAX dropped -41.69% vs TIBAX's -49.12%.
TIBAX currently has the higher Sharpe Ratio (4.12 vs 2.84), 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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