MSTSX vs. GBFFX

Last updated Jun 24, 2026

MSTSX (Morningstar Global Opportunistic Equity Fund) and GBFFX (GMO Benchmark-Free Fund) are both Global Allocation funds. Over the past 5 years, MSTSX returned 6.36%/yr vs 8.48%/yr for GBFFX. A 0.75 correlation means they provide meaningful diversification when combined. MSTSX charges 0.78%/yr vs 0.35%/yr for GBFFX.

Performance

MSTSX vs. GBFFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morningstar Global Opportunistic Equity Fund (MSTSX) 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, MSTSX achieves a 5.46% return, which is significantly lower than GBFFX's 10.65% return.

MSTSX

• 1D: -0.17%
• 1M: -0.52%
• YTD: 5.46%
• 6M: 5.24%
• 1Y: 4.41%
• 3Y*: 10.46%
• 5Y*: 6.36%
• 10Y*: —

GBFFX

• 1D: 0.08%
• 1M: 0.25%
• YTD: 10.65%
• 6M: 10.87%
• 1Y: 27.02%
• 3Y*: 14.91%
• 5Y*: 8.48%
• 10Y*: 7.24%

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

MSTSX vs. GBFFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MSTSX Morningstar Global Opportunistic Equity Fund	5.46%	7.72%	10.17%	17.15%	-9.19%	11.21%	9.40%	17.33%	-4.32%
GBFFX GMO Benchmark-Free Fund	10.65%	24.07%	0.40%	15.24%	-3.36%	4.38%	-3.35%	13.79%	-1.85%

Correlation

The correlation between MSTSX and GBFFX is 0.56, 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	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.70
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (All Time) Calculated using the full available price history since Nov 5, 2018	0.75

The correlation between MSTSX and GBFFX shifts across timeframes, from 0.56 (1 year) to 0.75 (all time), reflecting how their relationship changes across market environments.

Return for Risk

MSTSX vs. GBFFX — Risk / Return Rank

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

MSTSX

MSTSX Risk / Return Rank: 6
MSTSX Sharpe Ratio Rank: 6
MSTSX Sortino Ratio Rank: 5
MSTSX Omega Ratio Rank: 7
MSTSX Calmar Ratio Rank: 6
MSTSX Martin Ratio Rank: 5

GBFFX

GBFFX Risk / Return Rank: 95
GBFFX Sharpe Ratio Rank: 99
GBFFX Sortino Ratio Rank: 97
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.

MSTSX vs. GBFFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morningstar Global Opportunistic Equity Fund (MSTSX) 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.

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.

	MSTSX	GBFFX	Difference
Sharpe ratio: Return per unit of total volatility	0.43	3.80	-3.37
Sortino ratio: Return per unit of downside risk	0.62	5.44	-4.81
Omega ratio: Gain probability vs. loss probability	1.10	1.77	-0.67
Calmar ratio: Return relative to maximum drawdown	0.45	4.83	-4.39
Martin ratio: Return relative to average drawdown	1.05	18.29	-17.24

MSTSX vs. GBFFX - Sharpe Ratio Comparison

The current MSTSX Sharpe Ratio is 0.43, which is lower than the GBFFX Sharpe Ratio of 3.80. The chart below compares the historical Sharpe Ratios of MSTSX 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.

Drawdowns

MSTSX vs. GBFFX - Drawdown Comparison

The maximum MSTSX drawdown since its inception was -27.44%, roughly equal to the maximum GBFFX drawdown of -26.62%. Use the drawdown chart below to compare losses from any high point for MSTSX and GBFFX.

Drawdown Indicators

	MSTSX	GBFFX	Difference
Max Drawdown Largest peak-to-trough decline	-27.44%	-26.62%	-0.82%
Max Drawdown (1Y) Largest decline over 1 year	-14.10%	-5.67%	-8.43%
Max Drawdown (3Y) Largest decline over 3 years	-14.10%	-10.18%	-3.92%
Max Drawdown (5Y) Largest decline over 5 years	-21.16%	-15.16%	-6.00%
Max Drawdown (10Y) Largest decline over 10 years	—	-26.62%	—
Current Drawdown Current decline from peak	-5.72%	-1.34%	-4.38%
Average Drawdown Average peak-to-trough decline	-4.09%	-4.36%	+0.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.42%	1.49%	+3.93%

Volatility

MSTSX vs. GBFFX - Volatility Comparison

Morningstar Global Opportunistic Equity Fund (MSTSX) has a higher volatility of 3.82% compared to GMO Benchmark-Free Fund (GBFFX) at 2.34%. This indicates that MSTSX'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

	MSTSX	GBFFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.82%	2.34%	+1.48%
Volatility (6M) Calculated over the trailing 6-month period	12.12%	5.67%	+6.45%
Volatility (1Y) Calculated over the trailing 1-year period	14.60%	7.22%	+7.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.15%	8.10%	+7.05%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.57%	9.09%	+6.48%

MSTSX vs. GBFFX - Expense Ratio Comparison

MSTSX has a 0.78% expense ratio, which is higher than GBFFX's 0.35% expense ratio.

Dividends

MSTSX vs. GBFFX - Dividend Comparison

MSTSX's dividend yield for the trailing twelve months is around 2.31%, less than GBFFX's 4.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBFFX GMO Benchmark-Free Fund	4.62%	5.11%	1.81%	5.72%	5.48%	4.60%	3.32%	4.00%	3.92%	2.90%	2.72%	6.67%
MSTSX Morningstar Global Opportunistic Equity Fund	2.31%	2.44%	9.41%	2.68%	2.99%	22.24%	2.94%	3.93%	1.13%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MSTSX and GBFFX in my portfolio?

MSTSX and GBFFX have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSTSX or GBFFX?

MSTSX has higher volatility (3.82%) compared to GBFFX (2.34%). In terms of maximum drawdown, MSTSX dropped -27.44% vs GBFFX's -26.62%.

Which has better risk-adjusted returns?

GBFFX currently has the higher Sharpe Ratio (3.80 vs 0.43), 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.