- Issuer
- GMO
- Inception Date
- Feb 6, 2004
- Category
- Large Cap Blend Equities
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
GQEFX Performance Chart
GMO Quality Fund Class IV (GQEFX) is up 4.6% since the beginning of the year. GQEFX is currently trading at $37 per share. Investors who bought $1,000 worth of GQEFX shares 5 years ago would now be looking at an investment worth $1,871.
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Returns By Period
GMO Quality Fund Class IV (GQEFX) has returned 4.55% so far this year and 21.48% over the past 12 months.
GMO Quality Fund Class IV
- 1D
- 0.91%
- 1M
- -0.16%
- YTD
- 4.55%
- 6M
- 4.58%
- 1Y
- 21.48%
- 3Y*
- 16.35%
- 5Y*
- 13.35%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
GQEFX Monthly Returns History
Based on dividend-adjusted daily data since Jun 12, 2017, GQEFX's average daily return is +0.06%, while the average monthly return is +1.30%. At this rate, an investment would double in approximately 4.5 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +12.0%, while the worst month was Mar 2020 at -9.1%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, GQEFX closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +8.7%, while the worst single day was Mar 16, 2020 at -10.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.48% | -0.98% | -7.45% | 9.43% | 4.25% | -1.45% | 4.55% | ||||||
| 2025 | 5.20% | -1.02% | -4.93% | -0.59% | 4.26% | 4.59% | -1.17% | 2.90% | 3.33% | 2.92% | 2.19% | 0.89% | 19.64% |
| 2024 | 2.74% | 5.03% | 2.73% | -3.79% | 3.51% | 3.96% | 1.00% | 3.02% | 1.63% | -3.06% | 3.42% | -3.41% | 17.54% |
| 2023 | 6.74% | -3.44% | 5.45% | 3.22% | 2.70% | 5.37% | 2.68% | -1.81% | -4.99% | -0.34% | 8.74% | 2.31% | 28.95% |
| 2022 | -3.71% | -4.19% | 1.46% | -6.10% | 0.60% | -6.75% | 7.14% | -5.01% | -8.37% | 7.68% | 7.17% | -4.56% | -15.30% |
| 2021 | -1.68% | 3.21% | 5.18% | 5.70% | 1.59% | 1.19% | 2.95% | 1.83% | -4.64% | 6.10% | -3.16% | 10.61% | 31.76% |
Benchmark Metrics
GMO Quality Fund Class IV has an annualized alpha of 2.92%, beta of 0.91, and R2 of 0.93 versus S&P 500 Index. Calculated based on daily prices since June 12, 2017.
- This fund captured 102.24% of S&P 500 Index gains but only 93.92% of its losses - a favorable profile for investors.
- This fund generated an annualized alpha of 2.92% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.91 and R2 of 0.93, this fund moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 2.92%
- Beta
- 0.91
- R²
- 0.93
- Upside Capture
- 102.24%
- Downside Capture
- 93.92%
Expense Ratio
GQEFX has an expense ratio of 0.47%, placing it in the medium range.
Return for Risk
Risk / Return Rank
GQEFX ranks 31 for risk / return — below 31% of mutual funds on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for GMO Quality Fund Class IV (GQEFX) and compare them to S&P 500 Index.
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.
| GQEFX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.40 | ||
| Sortino ratioReturn per unit of downside risk | -0.45 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.37 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.61 | 2.78 | -1.17 |
| Martin ratioReturn relative to average drawdown | 6.39 | 12.44 | -6.05 |
Dividends
Dividend History
GMO Quality Fund Class IV provided a 10.67% dividend yield over the last twelve months, with an annual payout of $3.92 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $3.92 | $3.92 | $1.21 | $0.99 | $2.74 | $3.12 | $3.50 | $2.01 | $4.43 | $1.73 |
Dividend yield | 10.67% | 11.15% | 3.70% | 3.43% | 11.84% | 10.23% | 13.62% | 8.09% | 21.69% | 7.08% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Quality Fund Class IV. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.85 | $0.00 | $0.00 | $0.00 | $0.00 | $3.06 | $3.92 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.21 | $1.21 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.05 | $0.00 | $0.00 | $0.00 | $0.00 | $0.94 | $0.99 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.72 | $0.00 | $0.00 | $0.00 | $0.00 | $2.02 | $2.74 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.56 | $0.00 | $0.00 | $0.00 | $0.00 | $2.56 | $3.12 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the GMO Quality Fund Class IV. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the GMO Quality Fund Class IV was 30.42%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.
The current GMO Quality Fund Class IV drawdown is 1.48%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -30.42%Mar 2020 | 1mo 2d | 4mo 20d | 5mo 22dFeb 2020 - Aug 2020 |
Bear market2022 | -24.22%Oct 2022 | 9mo 11d | 8mo 4d | 1y 5moJan 2022 - Jun 2023 |
Rate-hike selloffLate 2018 | -16.82%Dec 2018 | 2mo 23d | 2mo 27d | 5mo 20dOct 2018 - Mar 2019 |
2025 selloff2025 | -15.55%Apr 2025 | 1mo 17d | 2mo 20d | 4mo 7dFeb 2025 - Jun 2025 |
2026 correction2026 | -12.74%Mar 2026 | 2mo 16d | 1mo 7d | 3mo 23dJan 2026 - May 2026 |
Drawdown Indicators
| GQEFX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.42% | -56.78% | +26.36% |
Max Drawdown (1Y)Largest decline over 1 year | -12.74% | -9.10% | -3.64% |
Max Drawdown (3Y)Largest decline over 3 years | -15.55% | -18.90% | +3.35% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -25.43% | +1.21% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -1.48% | -1.80% | +0.32% |
Average DrawdownAverage peak-to-trough decline | -4.15% | -10.71% | +6.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 2.03% | +1.18% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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