GOFIX vs. NLY

Last updated Apr 2, 2026

Compare and contrast key facts about GMO Resources Fund (GOFIX) and Annaly Capital Management, Inc. (NLY).

GOFIX is managed by GMO. It was launched on Dec 27, 2011.

Performance

GOFIX vs. NLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Resources Fund (GOFIX) and Annaly Capital Management, Inc. (NLY). The values are adjusted to include any dividend payments, if applicable.

GOFIX vs. NLY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GOFIX GMO Resources Fund	30.03%	23.10%	-17.91%	-1.38%	-0.80%	32.01%	22.47%	20.10%	-6.73%	28.42%
NLY Annaly Capital Management, Inc.	-2.28%	40.00%	8.07%	4.94%	-21.41%	2.48%	2.38%	7.22%	-7.22%	31.92%

Returns By Period

In the year-to-date period, GOFIX achieves a 30.03% return, which is significantly higher than NLY's -2.28% return. Over the past 10 years, GOFIX has outperformed NLY with an annualized return of 14.57%, while NLY has yielded a comparatively lower 5.83% annualized return.

GOFIX

• 1D: 1.85%
• 1M: 5.29%
• YTD: 30.03%
• 6M: 39.95%
• 1Y: 68.15%
• 3Y*: 9.73%
• 5Y*: 8.52%
• 10Y*: 14.57%

NLY

• 1D: -0.09%
• 1M: -5.86%
• YTD: -2.28%
• 6M: 9.23%
• 1Y: 20.39%
• 3Y*: 18.25%
• 5Y*: 3.38%
• 10Y*: 5.83%

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

Return for Risk

GOFIX vs. NLY — Risk / Return Rank

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

GOFIX

GOFIX Risk / Return Rank: 95
GOFIX Sharpe Ratio Rank: 97
GOFIX Sortino Ratio Rank: 95
GOFIX Omega Ratio Rank: 92
GOFIX Calmar Ratio Rank: 95
GOFIX Martin Ratio Rank: 97

NLY

NLY Risk / Return Rank: 67
NLY Sharpe Ratio Rank: 71
NLY Sortino Ratio Rank: 62
NLY Omega Ratio Rank: 63
NLY Calmar Ratio Rank: 67
NLY Martin Ratio Rank: 71

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.

GOFIX vs. NLY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Resources Fund (GOFIX) and Annaly Capital Management, Inc. (NLY). 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.

	GOFIX	NLY	Difference
Sharpe ratio Return per unit of total volatility	2.61	0.92	+1.70
Sortino ratio Return per unit of downside risk	3.14	1.28	+1.86
Omega ratio Gain probability vs. loss probability	1.45	1.18	+0.27
Calmar ratio Return relative to maximum drawdown	3.48	1.28	+2.20
Martin ratio Return relative to average drawdown	16.25	3.79	+12.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GOFIX vs. NLY - Sharpe Ratio Comparison

The current GOFIX Sharpe Ratio is 2.61, which is higher than the NLY Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of GOFIX and NLY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	GOFIX	NLY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.61	0.92	+1.70
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.34	0.13	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.57	0.21	+0.36
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.31	+0.04

Correlation

The correlation between GOFIX and NLY is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

GOFIX vs. NLY - Dividend Comparison

GOFIX's dividend yield for the trailing twelve months is around 3.37%, less than NLY's 13.25% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GOFIX GMO Resources Fund	3.37%	4.38%	3.01%	5.90%	10.25%	17.81%	3.66%	2.99%	4.06%	3.86%	2.89%	3.30%
NLY Annaly Capital Management, Inc.	13.25%	12.52%	14.21%	13.42%	16.70%	11.25%	10.77%	11.15%	12.22%	10.09%	12.04%	12.79%

Drawdowns

GOFIX vs. NLY - Drawdown Comparison

The maximum GOFIX drawdown since its inception was -51.77%, smaller than the maximum NLY drawdown of -60.09%. Use the drawdown chart below to compare losses from any high point for GOFIX and NLY.

Drawdown Indicators

	GOFIX	NLY	Difference
Max Drawdown Largest peak-to-trough decline	-51.77%	-60.09%	+8.32%
Max Drawdown (1Y) Largest decline over 1 year	-19.68%	-14.88%	-4.80%
Max Drawdown (5Y) Largest decline over 5 years	-45.10%	-52.12%	+7.02%
Max Drawdown (10Y) Largest decline over 10 years	-45.98%	-60.09%	+14.11%
Current Drawdown Current decline from peak	0.00%	-10.45%	+10.45%
Average Drawdown Average peak-to-trough decline	-13.74%	-13.79%	+0.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.22%	5.03%	-0.81%

Volatility

GOFIX vs. NLY - Volatility Comparison

The current volatility for GMO Resources Fund (GOFIX) is 5.78%, while Annaly Capital Management, Inc. (NLY) has a volatility of 8.54%. This indicates that GOFIX experiences smaller price fluctuations and is considered to be less risky than NLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GOFIX	NLY	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.78%	8.54%	-2.76%
Volatility (6M) Calculated over the trailing 6-month period	15.52%	14.56%	+0.96%
Volatility (1Y) Calculated over the trailing 1-year period	26.98%	22.40%	+4.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.31%	25.46%	-0.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.57%	28.06%	-2.49%