JBALX vs. GBMFX
Compare and contrast key facts about JPMorgan Global Allocation Fund Class A (JBALX) and GMO Benchmark-Free Allocation Fund (GBMFX).
JBALX is managed by JPMorgan. It was launched on Dec 31, 1991. GBMFX is managed by GMO. It was launched on Jul 22, 2003.
Performance
JBALX vs. GBMFX - Performance Comparison
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JBALX vs. GBMFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
JBALX JPMorgan Global Allocation Fund Class A | -5.36% | 15.00% | 20.78% | 15.45% | -16.56% | 17.28% | 14.40% | 22.60% | 0.71% | 17.83% |
GBMFX GMO Benchmark-Free Allocation Fund | 5.61% | 22.89% | 4.33% | 13.46% | -2.24% | 2.97% | -2.50% | 11.62% | -5.36% | 13.05% |
Returns By Period
In the year-to-date period, JBALX achieves a -5.36% return, which is significantly lower than GBMFX's 5.61% return. Over the past 10 years, JBALX has outperformed GBMFX with an annualized return of 10.14%, while GBMFX has yielded a comparatively lower 6.41% annualized return.
JBALX
- 1D
- 1.58%
- 1M
- -4.89%
- YTD
- -5.36%
- 6M
- -4.13%
- 1Y
- 10.65%
- 3Y*
- 12.97%
- 5Y*
- 7.67%
- 10Y*
- 10.14%
GBMFX
- 1D
- 1.07%
- 1M
- -3.00%
- YTD
- 5.61%
- 6M
- 11.79%
- 1Y
- 23.90%
- 3Y*
- 14.40%
- 5Y*
- 8.00%
- 10Y*
- 6.41%
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JBALX vs. GBMFX - Expense Ratio Comparison
JBALX has a 0.96% expense ratio, which is higher than GBMFX's 0.74% expense ratio.
Return for Risk
JBALX vs. GBMFX — Risk / Return Rank
JBALX
GBMFX
JBALX vs. GBMFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Global Allocation Fund Class A (JBALX) and GMO Benchmark-Free Allocation Fund (GBMFX). 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.
| JBALX | GBMFX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.92 | 3.02 | -2.10 |
Sortino ratioReturn per unit of downside risk | 1.41 | 4.00 | -2.59 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.61 | -0.41 |
Calmar ratioReturn relative to maximum drawdown | 1.41 | 3.91 | -2.51 |
Martin ratioReturn relative to average drawdown | 5.59 | 15.09 | -9.50 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JBALX | GBMFX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.92 | 3.02 | -2.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | 1.11 | -0.43 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.91 | 0.81 | +0.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.63 | 0.96 | -0.33 |
Correlation
The correlation between JBALX and GBMFX is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
JBALX vs. GBMFX - Dividend Comparison
JBALX's dividend yield for the trailing twelve months is around 8.81%, more than GBMFX's 3.94% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JBALX JPMorgan Global Allocation Fund Class A | 8.81% | 8.80% | 11.84% | 2.28% | 2.00% | 4.54% | 2.54% | 2.91% | 7.14% | 4.69% | 4.55% | 5.87% |
GBMFX GMO Benchmark-Free Allocation Fund | 3.94% | 4.16% | 5.14% | 5.64% | 3.20% | 2.46% | 3.73% | 3.35% | 3.67% | 2.39% | 1.60% | 2.10% |
Drawdowns
JBALX vs. GBMFX - Drawdown Comparison
The maximum JBALX drawdown since its inception was -33.98%, which is greater than GBMFX's maximum drawdown of -23.40%. Use the drawdown chart below to compare losses from any high point for JBALX and GBMFX.
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Drawdown Indicators
| JBALX | GBMFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.98% | -23.40% | -10.58% |
Max Drawdown (1Y)Largest decline over 1 year | -8.12% | -5.98% | -2.14% |
Max Drawdown (5Y)Largest decline over 5 years | -21.50% | -14.42% | -7.08% |
Max Drawdown (10Y)Largest decline over 10 years | -22.49% | -23.40% | +0.91% |
Current DrawdownCurrent decline from peak | -6.67% | -3.64% | -3.03% |
Average DrawdownAverage peak-to-trough decline | -5.47% | -3.29% | -2.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.04% | 1.57% | +0.47% |
Volatility
JBALX vs. GBMFX - Volatility Comparison
JPMorgan Global Allocation Fund Class A (JBALX) has a higher volatility of 3.80% compared to GMO Benchmark-Free Allocation Fund (GBMFX) at 3.44%. This indicates that JBALX's price experiences larger fluctuations and is considered to be riskier than GBMFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JBALX | GBMFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.80% | 3.44% | +0.36% |
Volatility (6M)Calculated over the trailing 6-month period | 6.64% | 5.30% | +1.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.09% | 7.97% | +4.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.30% | 7.22% | +4.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.20% | 7.97% | +3.23% |