GQETX vs. GABFX
GQETX (GMO Quality Fund) and GABFX (GMO Asset Allocation Bond Fund) are both mutual funds - GQETX is a Quality Factor fund managed by GMO, while GABFX is a Inflation-Protected Bonds fund managed by GMO. Over the past 10 years, GQETX returned 15.89%/yr vs 0.09%/yr for GABFX. Their 0.02 correlation means their historical movements had little consistent relationship. GQETX charges 0.49%/yr vs 0.32%/yr for GABFX.
Performance
GQETX vs. GABFX - Performance Comparison
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Returns By Period
In the year-to-date period, GQETX achieves a 7.37% return, which is significantly higher than GABFX's -7.28% return. Over the past 10 years, GQETX has outperformed GABFX with an annualized return of 15.89%, while GABFX has yielded a comparatively lower 0.09% annualized return.
GQETX
- 1D
- 0.80%
- 1M
- 0.69%
- 6M
- 4.85%
- YTD
- 7.37%
- 1Y
- 22.56%
- 3Y*
- 16.24%
- 5Y*
- 12.74%
- 10Y*
- 15.89%
- ALL TIME*
- 11.71%
GABFX
- 1D
- -1.03%
- 1M
- -3.04%
- 6M
- -6.08%
- YTD
- -7.28%
- 1Y
- -5.61%
- 3Y*
- -1.50%
- 5Y*
- -4.43%
- 10Y*
- 0.09%
- ALL TIME*
- 0.93%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
GQETX GMO Quality Fund | $0.00 | $0.00 | $0.00 |
GQETX vs. GABFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 7.37% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 31.77% | 0.50% | 29.11% |
GABFX GMO Asset Allocation Bond Fund | -7.28% | 8.82% | -12.60% | 8.33% | -14.86% | 1.34% | 11.28% | 8.00% | 0.78% | 2.41% |
Correlation
The correlation between GQETX 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. | 0.15 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.11 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.04 |
Correlation (All Time) Calculated using the full available price history since Mar 18, 2009 | 0.02 |
Over the past year, GQETX and GABFX have become more correlated (0.27) than their long-term average of 0.02, meaning their price movements have been converging.
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Return for Risk
GQETX vs. GABFX — Risk / Return Rank
GQETX
GABFX
GQETX vs. GABFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) 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.
| GQETX | GABFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.99 | ||
| Sortino ratioReturn per unit of downside risk | +2.74 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 0.96 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | 1.66 | -0.31 | +1.97 |
| Martin ratioReturn relative to average drawdown | 6.56 | -0.67 | +7.23 |
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Drawdowns
GQETX vs. GABFX - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, which is greater than GABFX's maximum drawdown of -27.84%. Use the drawdown chart below to compare losses from any high point for GQETX and GABFX.
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Drawdown Indicators
| GQETX | GABFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.99% | -27.84% | -12.15% |
Max Drawdown (1Y)Largest decline over 1 year | -12.76% | -10.31% | -2.45% |
Max Drawdown (3Y)Largest decline over 3 years | -15.54% | -19.48% | +3.94% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -27.55% | +3.33% |
Max Drawdown (10Y)Largest decline over 10 years | -30.44% | -27.84% | -2.60% |
Current DrawdownCurrent decline from peak | 0.00% | -20.64% | +20.64% |
Average DrawdownAverage peak-to-trough decline | -4.97% | -7.40% | +2.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.23% | 4.74% | -1.51% |
Volatility
GQETX vs. GABFX - Volatility Comparison
GMO Quality Fund (GQETX) has a higher volatility of 3.19% compared to GMO Asset Allocation Bond Fund (GABFX) at 2.29%. This indicates that GQETX'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
| GQETX | GABFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 2.29% | +0.90% |
Volatility (6M)Calculated over the trailing 6-month period | 10.18% | 6.68% | +3.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.83% | 9.71% | +3.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.93% | 14.06% | +1.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 10.40% | +6.66% |
GQETX vs. GABFX - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is higher than GABFX's 0.32% expense ratio.
Dividends
GQETX vs. GABFX - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 11.15%, more than GABFX's 2.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GABFX GMO Asset Allocation Bond Fund | 2.96% | 2.69% | 4.19% | 5.03% | 0.71% | 1.81% | 1.20% | 4.72% | 5.13% | 1.07% | 0.00% | 7.43% |
GQETX GMO Quality Fund | 11.15% | 11.16% | 3.91% | 3.43% | 11.85% | 10.19% | 13.61% | 8.08% | 21.66% | 8.10% | 3.56% | 17.25% |
Frequently Asked Questions
GQETX 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.
GQETX has higher volatility (3.19%) compared to GABFX (2.29%). In terms of maximum drawdown, GQETX dropped -39.99% vs GABFX's -27.84%.
GQETX currently has the higher Sharpe Ratio (1.66 vs -0.33), 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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