MPBAX vs. GBFFX

Last updated Jun 6, 2026

MPBAX (Morgan Stanley Institutional Fund Trust Global Strategist Portfolio) and GBFFX (GMO Benchmark-Free Fund) are both Global Allocation funds. Over the past 10 years, MPBAX returned 7.44%/yr vs 7.12%/yr for GBFFX. Their correlation of 0.81 suggests significant overlap in exposure. MPBAX charges 0.72%/yr vs 0.35%/yr for GBFFX.

Performance

MPBAX vs. GBFFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Institutional Fund Trust Global Strategist Portfolio (MPBAX) and GMO Benchmark-Free Fund (GBFFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MPBAX achieves a 7.39% return, which is significantly lower than GBFFX's 11.97% return. Both investments have delivered pretty close results over the past 10 years, with MPBAX having a 7.44% annualized return and GBFFX not far behind at 7.12%.

MPBAX

• 1D: 0.29%
• 1M: 1.11%
• YTD: 7.39%
• 6M: 7.92%
• 1Y: 17.83%
• 3Y*: 13.84%
• 5Y*: 5.18%
• 10Y*: 7.44%

GBFFX

• 1D: -0.16%
• 1M: 1.79%
• YTD: 11.97%
• 6M: 14.15%
• 1Y: 29.31%
• 3Y*: 15.75%
• 5Y*: 8.03%
• 10Y*: 7.12%

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

MPBAX vs. GBFFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MPBAX Morgan Stanley Institutional Fund Trust Global Strategist Portfolio	7.39%	17.66%	7.48%	14.29%	-16.71%	8.62%	11.53%	18.05%	-6.31%	16.67%
GBFFX GMO Benchmark-Free Fund	11.97%	24.07%	0.40%	15.24%	-3.36%	4.38%	-3.35%	13.79%	-7.12%	17.06%

Correlation

The correlation between MPBAX and GBFFX is 0.76, 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	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jul 13, 2015	0.81

The correlation between MPBAX and GBFFX has been stable across timeframes, ranging from 0.75 to 0.81 - a consistent structural relationship.

Return for Risk

MPBAX vs. GBFFX — Risk / Return Rank

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

MPBAX

MPBAX Risk / Return Rank: 54
MPBAX Sharpe Ratio Rank: 58
MPBAX Sortino Ratio Rank: 60
MPBAX Omega Ratio Rank: 61
MPBAX Calmar Ratio Rank: 40
MPBAX Martin Ratio Rank: 53

GBFFX

GBFFX Risk / Return Rank: 96
GBFFX Sharpe Ratio Rank: 99
GBFFX Sortino Ratio Rank: 98
GBFFX Omega Ratio Rank: 96
GBFFX Calmar Ratio Rank: 93
GBFFX Martin Ratio Rank: 93

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.

MPBAX vs. GBFFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Institutional Fund Trust Global Strategist Portfolio (MPBAX) and GMO Benchmark-Free Fund (GBFFX). 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.

	MPBAX	GBFFX	Difference
Sharpe ratio: Return per unit of total volatility	2.18	4.17	-2.00
Sortino ratio: Return per unit of downside risk	3.16	6.03	-2.86
Omega ratio: Gain probability vs. loss probability	1.42	1.84	-0.43
Calmar ratio: Return relative to maximum drawdown	2.32	5.15	-2.83
Martin ratio: Return relative to average drawdown	10.34	19.79	-9.45
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MPBAX vs. GBFFX - Sharpe Ratio Comparison

The current MPBAX Sharpe Ratio is 2.18, which is lower than the GBFFX Sharpe Ratio of 4.17. The chart below compares the historical Sharpe Ratios of MPBAX and GBFFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MPBAX	GBFFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.18	4.17	-2.00
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.52	1.00	-0.48
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	0.79	-0.08
Sharpe Ratio (All Time) Calculated using the full available price history	0.67	0.70	-0.03

Drawdowns

MPBAX vs. GBFFX - Drawdown Comparison

The maximum MPBAX drawdown since its inception was -39.46%, which is greater than GBFFX's maximum drawdown of -26.62%. Use the drawdown chart below to compare losses from any high point for MPBAX and GBFFX.

Drawdown Indicators

	MPBAX	GBFFX	Difference
Max Drawdown Largest peak-to-trough decline	-39.46%	-26.62%	-12.84%
Max Drawdown (1Y) Largest decline over 1 year	-7.65%	-5.67%	-1.98%
Max Drawdown (3Y) Largest decline over 3 years	-8.52%	-10.18%	+1.66%
Max Drawdown (5Y) Largest decline over 5 years	-25.16%	-15.83%	-9.33%
Max Drawdown (10Y) Largest decline over 10 years	-26.45%	-26.62%	+0.17%
Current Drawdown Current decline from peak	-0.33%	-0.16%	-0.17%
Average Drawdown Average peak-to-trough decline	-5.44%	-4.37%	-1.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.71%	1.47%	+0.24%

Volatility

MPBAX vs. GBFFX - Volatility Comparison

Morgan Stanley Institutional Fund Trust Global Strategist Portfolio (MPBAX) has a higher volatility of 2.70% compared to GMO Benchmark-Free Fund (GBFFX) at 1.95%. This indicates that MPBAX's price experiences larger fluctuations and is considered to be riskier than GBFFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MPBAX	GBFFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.70%	1.95%	+0.75%
Volatility (6M) Calculated over the trailing 6-month period	6.84%	5.38%	+1.46%
Volatility (1Y) Calculated over the trailing 1-year period	8.15%	6.99%	+1.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.02%	8.07%	+1.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.63%	9.08%	+1.55%

MPBAX vs. GBFFX - Expense Ratio Comparison

MPBAX has a 0.72% expense ratio, which is higher than GBFFX's 0.35% expense ratio.

Dividends

MPBAX vs. GBFFX - Dividend Comparison

MPBAX's dividend yield for the trailing twelve months is around 6.31%, more than GBFFX's 4.57% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBFFX GMO Benchmark-Free Fund	4.57%	5.11%	1.81%	5.72%	5.48%	4.60%	3.32%	4.00%	3.92%	2.90%	2.72%	6.67%
MPBAX Morgan Stanley Institutional Fund Trust Global Strategist Portfolio	6.31%	6.77%	2.70%	0.00%	0.61%	7.91%	1.32%	1.74%	14.65%	6.52%	1.15%	0.11%

Frequently Asked Questions

Can I hold both MPBAX and GBFFX in my portfolio?

MPBAX and GBFFX have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MPBAX or GBFFX?

MPBAX has higher volatility (2.70%) compared to GBFFX (1.95%). In terms of maximum drawdown, MPBAX dropped -39.46% vs GBFFX's -26.62%.

Which has better risk-adjusted returns?

GBFFX currently has the higher Sharpe Ratio (4.17 vs 2.18), 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.