- ISIN
- US3620133690
- Issuer
- GMO
- Inception Date
- Mar 16, 2009
- Category
- Government Bonds
- Min. Investment
- $5,000,000
- Distribution Policy
- Distributing
- Asset Class
- Bond
Share Price Chart
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Performance
GUSTX Performance Chart
GMO U.S. Treasury Fund (GUSTX) is up 1.3% since the beginning of the year. GUSTX is currently trading at $5 per share. Investors who bought $1,000 worth of GUSTX shares 5 years ago would now be looking at an investment worth $1,099.
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Returns By Period
GMO U.S. Treasury Fund (GUSTX) has returned 1.26% so far this year and 3.69% over the past 12 months. Over the last ten years, GUSTX has returned -13.75% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
GMO U.S. Treasury Fund
- 1D
- 0.00%
- 1M
- 0.14%
- YTD
- 1.26%
- 6M
- 1.59%
- 1Y
- 3.69%
- 3Y*
- 3.04%
- 5Y*
- 1.91%
- 10Y*
- -13.75%
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%
GUSTX Monthly Returns History
Based on dividend-adjusted daily data since Jan 4, 2010, GUSTX's average daily return is -0.02%, while the average monthly return is -0.34%.
Historically, 42% of months were positive and 58% were negative. The best month was Jul 2023 with a return of +0.8%, while the worst month was Dec 2018 at -79.9%. The longest winning streak lasted 17 consecutive months, and the longest losing streak was 2 months.
On a daily basis, GUSTX closed higher 5% of trading days. The best single day was Nov 13, 2023 with a return of +0.6%, while the worst single day was Dec 6, 2018 at -80.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.25% | 0.27% | 0.30% | 0.31% | 0.34% | -0.20% | 1.26% | ||||||
| 2025 | 0.54% | 0.31% | 0.38% | 0.37% | 0.37% | 0.34% | 0.36% | 0.38% | 0.31% | 0.37% | 0.30% | 0.32% | 4.45% |
| 2024 | 0.60% | 0.40% | 0.00% | 0.48% | 0.00% | 0.12% | 0.20% | 0.00% | 0.00% | 0.00% | 0.38% | 0.00% | 2.21% |
| 2023 | 0.22% | 0.02% | 0.00% | 0.20% | 0.44% | 0.06% | 0.83% | 0.00% | 0.00% | 0.00% | 0.44% | 0.28% | 2.52% |
| 2022 | -0.18% | -0.18% | 0.04% | -0.12% | 0.00% | -0.20% | 0.00% | 0.00% | -0.20% | 0.00% | 0.04% | 0.06% | -0.73% |
| 2021 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.05% | 0.00% | 0.00% | -0.20% | 0.02% | 0.07% | -0.06% |
Benchmark Metrics
GMO U.S. Treasury Fund has an annualized alpha of -4.04%, beta of 0.00, and R2 of 0.00 versus S&P 500 Index. Calculated based on daily prices since January 04, 2010.
- This fund participated in 70.94% of S&P 500 Index downside but only 2.02% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.00 may look defensive, but with R2 of 0.00 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R2 of 0.00 means this fund moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- -4.04%
- Beta
- 0.00
- R²
- 0.00
- Upside Capture
- 2.02%
- Downside Capture
- 70.94%
Expense Ratio
GUSTX has an expense ratio of 0.01%, which is considered low.
Return for Risk
Risk / Return Rank
GUSTX ranks 99 for risk / return — in the top 99% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) 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.
| GUSTX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.09 | ||
| Sortino ratioReturn per unit of downside risk | +6.54 | ||
| Omega ratioGain probability vs. loss probability | 5.56 | 1.37 | +4.19 |
| Calmar ratioReturn relative to maximum drawdown | 19.28 | 2.78 | +16.50 |
| Martin ratioReturn relative to average drawdown | 54.86 | 12.44 | +42.42 |
Dividends
Dividend History
GMO U.S. Treasury Fund provided a 3.83% dividend yield over the last twelve months, with an annual payout of $0.19 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.19 | $0.21 | $0.10 | $0.11 | $0.01 | $0.01 | $0.00 | $0.01 | $0.45 | $0.13 | $0.01 | $0.01 |
Dividend yield | 3.83% | 4.15% | 1.98% | 2.28% | 0.26% | 0.14% | 0.09% | 0.14% | 8.96% | 0.50% | 0.05% | 0.04% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO U.S. Treasury Fund. 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 | $0.01 | $0.01 | $0.01 | $0.02 | $0.02 | $0.00 | $0.07 | ||||||
| 2025 | $0.02 | $0.02 | $0.02 | $0.02 | $0.02 | $0.02 | $0.02 | $0.02 | $0.02 | $0.02 | $0.01 | $0.02 | $0.21 |
| 2024 | $0.02 | $0.02 | $0.00 | $0.02 | $0.00 | $0.02 | $0.00 | $0.00 | $0.00 | $0.00 | $0.02 | $0.00 | $0.10 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.02 | $0.02 | $0.02 | $0.00 | $0.00 | $0.00 | $0.02 | $0.02 | $0.11 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.01 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.01 |
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 U.S. Treasury Fund. 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 U.S. Treasury Fund was 79.98%, occurring on Dec 6, 2018. The portfolio has not yet recovered.
The current GMO U.S. Treasury Fund drawdown is 77.72%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Rate-hike selloffLate 2018 | -79.98%Dec 2018 | 0s | — | 7y 6moDec 2018 - now |
2017 pullback2017 | -0.11%Mar 2017 | 5mo 8d | 5mo 27d | 11mo 5dSep 2016 - Aug 2017 |
2015 pullback2015 | -0.08%Dec 2015 | 1mo 9d | 3mo 24d | 5mo 3dOct 2015 - Mar 2016 |
2018 pullback2018 | -0.04%Feb 2018 | 0s | 14d | 14dFeb 2018 - Feb 2018 |
Rate-hike selloffLate 2018 | -0.04%Oct 2018 | 0s | 21d | 21dOct 2018 - Oct 2018 |
Drawdown Indicators
| GUSTX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.98% | -56.78% | -23.20% |
Max Drawdown (1Y)Largest decline over 1 year | -0.20% | -9.10% | +8.90% |
Max Drawdown (3Y)Largest decline over 3 years | -1.19% | -18.90% | +17.71% |
Max Drawdown (5Y)Largest decline over 5 years | -1.19% | -25.43% | +24.24% |
Max Drawdown (10Y)Largest decline over 10 years | -79.98% | -33.92% | -46.06% |
Current DrawdownCurrent decline from peak | -77.72% | -1.80% | -75.92% |
Average DrawdownAverage peak-to-trough decline | -36.15% | -10.71% | -25.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.07% | 2.03% | -1.96% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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