SAWMX vs. GBFFX

Last updated Jun 25, 2026

SAWMX (SA Worldwide Moderate Growth Fund) and GBFFX (GMO Benchmark-Free Fund) are both Global Allocation funds. Over the past 10 years, SAWMX returned 8.94%/yr vs 7.14%/yr for GBFFX. A 0.80 correlation means they provide meaningful diversification when combined. SAWMX charges 0.00%/yr vs 0.35%/yr for GBFFX.

Performance

SAWMX vs. GBFFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SA Worldwide Moderate Growth Fund (SAWMX) and GMO Benchmark-Free Fund (GBFFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with SAWMX having a 9.88% return and GBFFX slightly lower at 9.60%. Over the past 10 years, SAWMX has outperformed GBFFX with an annualized return of 8.94%, while GBFFX has yielded a comparatively lower 7.14% annualized return.

SAWMX

• 1D: -0.71%
• 1M: 0.65%
• YTD: 9.88%
• 6M: 9.38%
• 1Y: 21.27%
• 3Y*: 14.28%
• 5Y*: 8.05%
• 10Y*: 8.94%

GBFFX

• 1D: -0.95%
• 1M: -0.70%
• YTD: 9.60%
• 6M: 9.62%
• 1Y: 25.00%
• 3Y*: 14.54%
• 5Y*: 8.21%
• 10Y*: 7.14%

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

SAWMX vs. GBFFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SAWMX SA Worldwide Moderate Growth Fund	9.88%	18.15%	6.40%	13.60%	-8.96%	16.67%	4.12%	17.03%	-7.87%	13.89%
GBFFX GMO Benchmark-Free Fund	9.60%	24.07%	0.40%	15.24%	-3.36%	4.38%	-3.35%	13.79%	-7.12%	17.06%

Correlation

The correlation between SAWMX and GBFFX is 0.79, 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	0.79
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.80

The correlation between SAWMX and GBFFX has been stable across timeframes, ranging from 0.76 to 0.80 - a consistent structural relationship.

Return for Risk

SAWMX vs. GBFFX — Risk / Return Rank

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

SAWMX

SAWMX Risk / Return Rank: 93
SAWMX Sharpe Ratio Rank: 97
SAWMX Sortino Ratio Rank: 95
SAWMX Omega Ratio Rank: 91
SAWMX Calmar Ratio Rank: 90
SAWMX Martin Ratio Rank: 92

GBFFX

GBFFX Risk / Return Rank: 95
GBFFX Sharpe Ratio Rank: 98
GBFFX Sortino Ratio Rank: 96
GBFFX Omega Ratio Rank: 95
GBFFX Calmar Ratio Rank: 92
GBFFX 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.

SAWMX vs. GBFFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SA Worldwide Moderate Growth Fund (SAWMX) 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.

	SAWMX	GBFFX	Difference
Sharpe ratio: Return per unit of total volatility	3.22	3.56	-0.34
Sortino ratio: Return per unit of downside risk	4.68	5.07	-0.39
Omega ratio: Gain probability vs. loss probability	1.61	1.71	-0.10
Calmar ratio: Return relative to maximum drawdown	4.22	4.57	-0.35
Martin ratio: Return relative to average drawdown	16.70	17.23	-0.53

SAWMX vs. GBFFX - Sharpe Ratio Comparison

The current SAWMX Sharpe Ratio is 3.22, which is comparable to the GBFFX Sharpe Ratio of 3.56. The chart below compares the historical Sharpe Ratios of SAWMX 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

SAWMX vs. GBFFX - Drawdown Comparison

The maximum SAWMX drawdown since its inception was -30.56%, which is greater than GBFFX's maximum drawdown of -26.62%. Use the drawdown chart below to compare losses from any high point for SAWMX and GBFFX.

Drawdown Indicators

	SAWMX	GBFFX	Difference
Max Drawdown Largest peak-to-trough decline	-30.56%	-26.62%	-3.94%
Max Drawdown (1Y) Largest decline over 1 year	-5.79%	-5.67%	-0.12%
Max Drawdown (3Y) Largest decline over 3 years	-11.86%	-10.18%	-1.68%
Max Drawdown (5Y) Largest decline over 5 years	-17.57%	-15.16%	-2.41%
Max Drawdown (10Y) Largest decline over 10 years	-30.56%	-26.62%	-3.94%
Current Drawdown Current decline from peak	-1.14%	-2.28%	+1.14%
Average Drawdown Average peak-to-trough decline	-3.68%	-4.36%	+0.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.41%	1.50%	-0.09%

Volatility

SAWMX vs. GBFFX - Volatility Comparison

SA Worldwide Moderate Growth Fund (SAWMX) and GMO Benchmark-Free Fund (GBFFX) have volatilities of 2.54% and 2.50%, 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

	SAWMX	GBFFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.54%	2.50%	+0.04%
Volatility (6M) Calculated over the trailing 6-month period	5.87%	5.77%	+0.10%
Volatility (1Y) Calculated over the trailing 1-year period	7.58%	7.29%	+0.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.91%	8.11%	+1.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.04%	9.04%	+2.00%

SAWMX vs. GBFFX - Expense Ratio Comparison

SAWMX has a 0.00% expense ratio, which is lower than GBFFX's 0.35% expense ratio.

Dividends

SAWMX vs. GBFFX - Dividend Comparison

SAWMX's dividend yield for the trailing twelve months is around 5.42%, more than GBFFX's 4.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBFFX GMO Benchmark-Free Fund	4.67%	5.11%	1.81%	5.72%	5.48%	4.60%	3.32%	4.00%	3.92%	2.90%	2.72%	6.67%
SAWMX SA Worldwide Moderate Growth Fund	5.42%	5.95%	3.34%	4.20%	8.36%	4.52%	4.88%	5.66%	6.82%	1.28%	1.96%	0.00%

Frequently Asked Questions

Can I hold both SAWMX and GBFFX in my portfolio?

SAWMX and GBFFX have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SAWMX or GBFFX?

SAWMX has higher volatility (2.54%) compared to GBFFX (2.50%). In terms of maximum drawdown, SAWMX dropped -30.56% vs GBFFX's -26.62%.

Which has better risk-adjusted returns?

GBFFX currently has the higher Sharpe Ratio (3.56 vs 3.22), 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.