VGWLX vs. GBFFX

Last updated Jun 26, 2026

VGWLX (Vanguard Global Wellington Fund Investor Shares) and GBFFX (GMO Benchmark-Free Fund) are both Global Allocation funds. Over the past 5 years, VGWLX returned 8.02%/yr vs 8.15%/yr for GBFFX. A 0.78 correlation means they provide meaningful diversification when combined. VGWLX charges 0.43%/yr vs 0.35%/yr for GBFFX.

Performance

VGWLX vs. GBFFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global Wellington Fund Investor Shares (VGWLX) 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 investments are quite close, with VGWLX having a 9.31% return and GBFFX slightly higher at 9.64%.

VGWLX

• 1D: 0.30%
• 1M: -1.08%
• YTD: 9.31%
• 6M: 9.07%
• 1Y: 19.69%
• 3Y*: 13.67%
• 5Y*: 8.02%
• 10Y*: —

GBFFX

• 1D: 0.04%
• 1M: -1.36%
• YTD: 9.64%
• 6M: 9.67%
• 1Y: 25.05%
• 3Y*: 14.56%
• 5Y*: 8.15%
• 10Y*: 7.14%

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

VGWLX vs. GBFFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
VGWLX Vanguard Global Wellington Fund Investor Shares	9.31%	17.34%	6.13%	12.40%	-7.22%	13.36%	7.40%	22.05%	-5.13%
GBFFX GMO Benchmark-Free Fund	9.64%	24.07%	0.40%	15.24%	-3.36%	4.38%	-3.35%	13.79%	-8.89%

Correlation

The correlation between VGWLX and GBFFX is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.84
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (All Time) Calculated using the full available price history since Mar 14, 2018	0.78

The correlation between VGWLX and GBFFX has been stable across timeframes, ranging from 0.77 to 0.84 - a consistent structural relationship.

Return for Risk

VGWLX vs. GBFFX — Risk / Return Rank

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

VGWLX

VGWLX Risk / Return Rank: 78
VGWLX Sharpe Ratio Rank: 83
VGWLX Sortino Ratio Rank: 82
VGWLX Omega Ratio Rank: 80
VGWLX Calmar Ratio Rank: 74
VGWLX Martin Ratio Rank: 73

GBFFX

GBFFX Risk / Return Rank: 95
GBFFX Sharpe Ratio Rank: 98
GBFFX Sortino Ratio Rank: 96
GBFFX Omega Ratio Rank: 94
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.

VGWLX vs. GBFFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Wellington Fund Investor Shares (VGWLX) 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.

	VGWLX	GBFFX	Difference
Sharpe ratio: Return per unit of total volatility	2.35	3.46	-1.11
Sortino ratio: Return per unit of downside risk	3.33	4.94	-1.60
Omega ratio: Gain probability vs. loss probability	1.44	1.69	-0.25
Calmar ratio: Return relative to maximum drawdown	2.91	4.44	-1.53
Martin ratio: Return relative to average drawdown	11.70	16.65	-4.95

VGWLX vs. GBFFX - Sharpe Ratio Comparison

The current VGWLX Sharpe Ratio is 2.35, which is lower than the GBFFX Sharpe Ratio of 3.46. The chart below compares the historical Sharpe Ratios of VGWLX 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

VGWLX vs. GBFFX - Drawdown Comparison

The maximum VGWLX drawdown since its inception was -25.28%, smaller than the maximum GBFFX drawdown of -26.62%. Use the drawdown chart below to compare losses from any high point for VGWLX and GBFFX.

Drawdown Indicators

	VGWLX	GBFFX	Difference
Max Drawdown Largest peak-to-trough decline	-25.28%	-26.62%	+1.34%
Max Drawdown (1Y) Largest decline over 1 year	-6.68%	-5.67%	-1.01%
Max Drawdown (3Y) Largest decline over 3 years	-7.67%	-10.18%	+2.51%
Max Drawdown (5Y) Largest decline over 5 years	-17.52%	-15.16%	-2.36%
Max Drawdown (10Y) Largest decline over 10 years	—	-26.62%	—
Current Drawdown Current decline from peak	-1.53%	-2.24%	+0.71%
Average Drawdown Average peak-to-trough decline	-2.92%	-4.35%	+1.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.66%	1.51%	+0.15%

Volatility

VGWLX vs. GBFFX - Volatility Comparison

Vanguard Global Wellington Fund Investor Shares (VGWLX) has a higher volatility of 2.87% compared to GMO Benchmark-Free Fund (GBFFX) at 2.50%. This indicates that VGWLX'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

	VGWLX	GBFFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.87%	2.50%	+0.37%
Volatility (6M) Calculated over the trailing 6-month period	6.78%	5.77%	+1.01%
Volatility (1Y) Calculated over the trailing 1-year period	8.26%	7.28%	+0.98%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.23%	8.11%	+1.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.96%	9.04%	+1.92%

VGWLX vs. GBFFX - Expense Ratio Comparison

VGWLX has a 0.43% expense ratio, which is higher than GBFFX's 0.35% expense ratio.

Dividends

VGWLX vs. GBFFX - Dividend Comparison

VGWLX's dividend yield for the trailing twelve months is around 6.08%, more than GBFFX's 4.66% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GBFFX GMO Benchmark-Free Fund	4.66%	5.11%	1.81%	5.72%	5.48%	4.60%	3.32%	4.00%	3.92%	2.90%	2.72%	6.67%
VGWLX Vanguard Global Wellington Fund Investor Shares	6.08%	6.66%	7.34%	2.54%	4.36%	3.23%	1.54%	1.99%	2.51%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VGWLX and GBFFX in my portfolio?

VGWLX and GBFFX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VGWLX or GBFFX?

VGWLX has higher volatility (2.87%) compared to GBFFX (2.50%). In terms of maximum drawdown, VGWLX dropped -25.28% vs GBFFX's -26.62%.

Which has better risk-adjusted returns?

GBFFX currently has the higher Sharpe Ratio (3.46 vs 2.35), 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.