GQEFX vs. GABFX
GQEFX (GMO Quality Fund Class IV) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GQEFX is a Quality Factor fund actively managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 5 years, GQEFX returned 12.55%/yr vs -4.23%/yr for GABFX. Their 0.04 correlation means their historical movements had little consistent relationship. GQEFX charges 0.47%/yr vs 0.32%/yr for GABFX.
Performance
GQEFX vs. GABFX - Performance Comparison
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Returns By Period
In the year-to-date period, GQEFX achieves a 6.55% return, which is significantly higher than GABFX's -6.32% return.
GQEFX
- 1D
- 0.86%
- 1M
- -0.11%
- 6M
- 4.99%
- YTD
- 6.55%
- 1Y
- 21.67%
- 3Y*
- 15.73%
- 5Y*
- 12.55%
- 10Y*
- —
- ALL TIME*
- 15.53%
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 |
GQEFX vs. GABFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GQEFX GMO Quality Fund Class IV | 6.55% | 19.64% | 17.54% | 28.95% | -15.30% | 31.76% | 18.39% | 31.87% | 0.54% | 10.45% |
GABFX GMO Asset Allocation Bond Fund | -6.32% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 8.00% | 0.78% | 0.89% |
Correlation
The correlation between GQEFX and GABFX is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.16 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jun 12, 2017 | 0.04 |
Over the past year, GQEFX and GABFX have become more correlated (0.27) than their long-term average of 0.04, meaning their price movements have been converging.
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Return for Risk
GQEFX vs. GABFX — Risk / Return Rank
GQEFX
GABFX
GQEFX vs. GABFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund Class IV (GQEFX) 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.
| GQEFX | GABFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.70 | ||
| Sortino ratioReturn per unit of downside risk | +2.35 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 0.98 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 1.51 | -0.19 | +1.70 |
| Martin ratioReturn relative to average drawdown | 5.97 | -0.41 | +6.37 |
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Drawdowns
GQEFX vs. GABFX - Drawdown Comparison
The maximum GQEFX drawdown since its inception was -30.42%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GQEFX and GABFX.
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Drawdown Indicators
| GQEFX | GABFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.42% | -27.84% | -2.58% |
Max Drawdown (1Y)Largest decline over 1 year | -12.74% | -10.10% | -2.64% |
Max Drawdown (3Y)Largest decline over 3 years | -15.55% | -19.48% | +3.93% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -27.81% | +3.59% |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.84% | — |
Current DrawdownCurrent decline from peak | -0.36% | -19.81% | +19.45% |
Average DrawdownAverage peak-to-trough decline | -4.11% | -7.40% | +3.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.22% | 4.70% | -1.48% |
Volatility
GQEFX vs. GABFX - Volatility Comparison
GMO Quality Fund Class IV (GQEFX) has a higher volatility of 3.14% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.17%. This indicates that GQEFX'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
| GQEFX | GABFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.14% | 2.17% | +0.97% |
Volatility (6M)Calculated over the trailing 6-month period | 10.16% | 6.62% | +3.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.80% | 9.70% | +3.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.94% | 14.06% | +1.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.69% | 10.39% | +7.30% |
GQEFX vs. GABFX - Expense Ratio Comparison
GQEFX has a 0.47% expense ratio, which is higher than GABFX's 0.32% expense ratio.
Dividends
GQEFX vs. GABFX - Dividend Comparison
GQEFX's dividend yield for the trailing twelve months is around 11.25%, 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% |
GQEFX GMO Quality Fund Class IV | 11.25% | 11.15% | 3.70% | 3.43% | 11.84% | 10.23% | 13.62% | 8.09% | 21.69% | 7.08% | 0.00% | 0.00% |
Frequently Asked Questions
GQEFX and GABFX have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GQEFX has higher volatility (3.14%) compared to GABFX (2.17%). In terms of maximum drawdown, GQEFX dropped -30.42% vs GABFX's -27.84%.
GQEFX currently has the higher Sharpe Ratio (1.50 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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