MSTGX vs. GBMFX

Last updated Jun 5, 2026

MSTGX (Morningstar Global Income Fund) and GBMFX (GMO Benchmark-Free Allocation Fund) are both Global Allocation funds. Over the past 5 years, MSTGX returned 4.40%/yr vs 8.54%/yr for GBMFX. A 0.75 correlation means they provide meaningful diversification when combined. MSTGX charges 0.62%/yr vs 0.74%/yr for GBMFX.

Performance

MSTGX vs. GBMFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morningstar Global Income Fund (MSTGX) and GMO Benchmark-Free Allocation Fund (GBMFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MSTGX achieves a 6.25% return, which is significantly lower than GBMFX's 11.97% return.

MSTGX

• 1D: -0.19%
• 1M: 0.78%
• YTD: 6.25%
• 6M: 7.02%
• 1Y: 11.93%
• 3Y*: 10.44%
• 5Y*: 4.40%
• 10Y*: —

GBMFX

• 1D: 0.06%
• 1M: 2.79%
• YTD: 11.97%
• 6M: 14.01%
• 1Y: 28.78%
• 3Y*: 16.57%
• 5Y*: 8.54%
• 10Y*: 6.93%

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

MSTGX vs. GBMFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MSTGX Morningstar Global Income Fund	6.25%	12.04%	5.36%	11.91%	-11.18%	8.46%	3.92%	19.97%	-3.56%
GBMFX GMO Benchmark-Free Allocation Fund	11.97%	22.89%	4.33%	13.46%	-2.24%	2.97%	-2.50%	11.62%	-1.70%

Correlation

The correlation between MSTGX and GBMFX is 0.69, 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (All Time) Calculated using the full available price history since Nov 6, 2018	0.75

The correlation between MSTGX and GBMFX has been stable across timeframes, ranging from 0.69 to 0.75 - a consistent structural relationship.

Return for Risk

MSTGX vs. GBMFX — Risk / Return Rank

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

MSTGX

MSTGX Risk / Return Rank: 68
MSTGX Sharpe Ratio Rank: 68
MSTGX Sortino Ratio Rank: 72
MSTGX Omega Ratio Rank: 66
MSTGX Calmar Ratio Rank: 79
MSTGX Martin Ratio Rank: 58

GBMFX

GBMFX Risk / Return Rank: 95
GBMFX Sharpe Ratio Rank: 98
GBMFX Sortino Ratio Rank: 97
GBMFX Omega Ratio Rank: 96
GBMFX Calmar Ratio Rank: 92
GBMFX Martin Ratio Rank: 92

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.

MSTGX vs. GBMFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morningstar Global Income Fund (MSTGX) 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.

	MSTGX	GBMFX	Difference
Sharpe ratio: Return per unit of total volatility	2.39	4.11	-1.72
Sortino ratio: Return per unit of downside risk	3.51	5.92	-2.41
Omega ratio: Gain probability vs. loss probability	1.45	1.83	-0.38
Calmar ratio: Return relative to maximum drawdown	3.50	5.04	-1.54
Martin ratio: Return relative to average drawdown	11.28	19.35	-8.07
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MSTGX vs. GBMFX - Sharpe Ratio Comparison

The current MSTGX Sharpe Ratio is 2.39, which is lower than the GBMFX Sharpe Ratio of 4.11. The chart below compares the historical Sharpe Ratios of MSTGX and GBMFX, 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

	MSTGX	GBMFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.39	4.11	-1.72
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.57	1.18	-0.61
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	0.99	-0.36

Drawdowns

MSTGX vs. GBMFX - Drawdown Comparison

The maximum MSTGX drawdown since its inception was -27.52%, which is greater than GBMFX's maximum drawdown of -23.40%. Use the drawdown chart below to compare losses from any high point for MSTGX and GBMFX.

Drawdown Indicators

	MSTGX	GBMFX	Difference
Max Drawdown Largest peak-to-trough decline	-27.52%	-23.40%	-4.12%
Max Drawdown (1Y) Largest decline over 1 year	-4.38%	-5.78%	+1.40%
Max Drawdown (3Y) Largest decline over 3 years	-6.56%	-7.16%	+0.60%
Max Drawdown (5Y) Largest decline over 5 years	-19.64%	-14.42%	-5.22%
Max Drawdown (10Y) Largest decline over 10 years	—	-23.40%	—
Current Drawdown Current decline from peak	-0.98%	0.00%	-0.98%
Average Drawdown Average peak-to-trough decline	-4.33%	-3.27%	-1.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.58%	1.50%	+0.08%

Volatility

MSTGX vs. GBMFX - Volatility Comparison

Morningstar Global Income Fund (MSTGX) and GMO Benchmark-Free Allocation Fund (GBMFX) have volatilities of 2.26% and 2.36%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MSTGX	GBMFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.26%	2.36%	-0.10%
Volatility (6M) Calculated over the trailing 6-month period	4.90%	5.47%	-0.57%
Volatility (1Y) Calculated over the trailing 1-year period	6.41%	7.08%	-0.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.13%	7.30%	+0.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.84%	8.00%	+2.84%

MSTGX vs. GBMFX - Expense Ratio Comparison

MSTGX has a 0.62% expense ratio, which is lower than GBMFX's 0.74% expense ratio.

Dividends

MSTGX vs. GBMFX - Dividend Comparison

MSTGX's dividend yield for the trailing twelve months is around 2.92%, less than GBMFX's 3.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBMFX GMO Benchmark-Free Allocation Fund	3.72%	4.16%	5.14%	5.64%	3.20%	2.46%	3.73%	3.35%	3.67%	2.39%	1.60%	2.10%
MSTGX Morningstar Global Income Fund	2.92%	2.97%	6.64%	6.32%	8.79%	10.48%	2.96%	4.11%	0.56%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MSTGX and GBMFX in my portfolio?

MSTGX and GBMFX have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSTGX or GBMFX?

GBMFX has higher volatility (2.36%) compared to MSTGX (2.26%). In terms of maximum drawdown, MSTGX dropped -27.52% vs GBMFX's -23.40%.

Which has better risk-adjusted returns?

GBMFX currently has the higher Sharpe Ratio (4.11 vs 2.39), 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.