GCAVX vs. GUSTX

Last updated Jun 5, 2026

GCAVX (GMO U.S. Small Cap Value Fund) and GUSTX (GMO U.S. Treasury Fund) are both mutual funds - GCAVX is a Small Cap Value Equities fund managed by GMO, while GUSTX is a Government Bonds fund managed by GMO. Over the past 5 years, GCAVX returned 9.86%/yr vs 1.95%/yr for GUSTX. At a correlation of -0.03, they often move in opposite directions. GCAVX charges 0.42%/yr vs 0.01%/yr for GUSTX.

Performance

GCAVX vs. GUSTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Small Cap Value Fund (GCAVX) and GMO U.S. Treasury Fund (GUSTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GCAVX achieves a 15.46% return, which is significantly higher than GUSTX's 1.46% return.

GCAVX

• 1D: -0.63%
• 1M: 1.28%
• YTD: 15.46%
• 6M: 15.75%
• 1Y: 40.50%
• 3Y*: 20.69%
• 5Y*: 9.86%
• 10Y*: —

GUSTX

• 1D: 0.00%
• 1M: 0.34%
• YTD: 1.46%
• 6M: 1.79%
• 1Y: 3.90%
• 3Y*: 3.18%
• 5Y*: 1.95%
• 10Y*: -13.74%

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

GCAVX vs. GUSTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
GCAVX GMO U.S. Small Cap Value Fund	15.46%	15.27%	11.16%	22.72%	-14.22%	35.66%	2.38%	7.27%
GUSTX GMO U.S. Treasury Fund	1.46%	4.45%	2.21%	2.52%	-0.73%	-0.06%	0.89%	0.14%

Correlation

The correlation between GCAVX and GUSTX is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	0.00
Correlation (All Time) Calculated using the full available price history since Jul 8, 2019	-0.03

The correlation between GCAVX and GUSTX shifts across timeframes, from -0.11 (1 year) to 0.03 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

GCAVX vs. GUSTX — Risk / Return Rank

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

GCAVX

GCAVX Risk / Return Rank: 62
GCAVX Sharpe Ratio Rank: 54
GCAVX Sortino Ratio Rank: 54
GCAVX Omega Ratio Rank: 47
GCAVX Calmar Ratio Rank: 83
GCAVX Martin Ratio Rank: 70

GUSTX

GUSTX Risk / Return Rank: 99
GUSTX Sharpe Ratio Rank: 95
GUSTX Sortino Ratio Rank: 100
GUSTX Omega Ratio Rank: 100
GUSTX Calmar Ratio Rank: 100
GUSTX Martin Ratio Rank: 99

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.

GCAVX vs. GUSTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Small Cap Value Fund (GCAVX) and GMO U.S. Treasury Fund (GUSTX). 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.

	GCAVX	GUSTX	Difference
Sharpe ratio: Return per unit of total volatility	2.12	3.34	-1.22
Sortino ratio: Return per unit of downside risk	3.03	11.33	-8.30
Omega ratio: Gain probability vs. loss probability	1.36	7.41	-6.05
Calmar ratio: Return relative to maximum drawdown	3.72	20.36	-16.64
Martin ratio: Return relative to average drawdown	13.03	57.94	-44.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GCAVX vs. GUSTX - Sharpe Ratio Comparison

The current GCAVX Sharpe Ratio is 2.12, which is lower than the GUSTX Sharpe Ratio of 3.34. The chart below compares the historical Sharpe Ratios of GCAVX and GUSTX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GCAVX	GUSTX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.12	3.34	-1.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.45	1.14	-0.68
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	-0.54	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	-0.44	+0.92

Drawdowns

GCAVX vs. GUSTX - Drawdown Comparison

The maximum GCAVX drawdown since its inception was -48.22%, smaller than the maximum GUSTX drawdown of -79.98%. Use the drawdown chart below to compare losses from any high point for GCAVX and GUSTX.

Drawdown Indicators

	GCAVX	GUSTX	Difference
Max Drawdown Largest peak-to-trough decline	-48.22%	-79.98%	+31.76%
Max Drawdown (1Y) Largest decline over 1 year	-10.64%	-0.20%	-10.44%
Max Drawdown (3Y) Largest decline over 3 years	-26.15%	-1.19%	-24.96%
Max Drawdown (5Y) Largest decline over 5 years	-26.15%	-1.19%	-24.96%
Max Drawdown (10Y) Largest decline over 10 years	—	-79.98%	—
Current Drawdown Current decline from peak	-1.25%	-77.68%	+76.43%
Average Drawdown Average peak-to-trough decline	-8.55%	-36.05%	+27.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.04%	0.07%	+2.97%

Volatility

GCAVX vs. GUSTX - Volatility Comparison

GMO U.S. Small Cap Value Fund (GCAVX) has a higher volatility of 5.16% compared to GMO U.S. Treasury Fund (GUSTX) at 0.34%. This indicates that GCAVX's price experiences larger fluctuations and is considered to be riskier than GUSTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GCAVX	GUSTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.16%	0.34%	+4.82%
Volatility (6M) Calculated over the trailing 6-month period	12.64%	0.87%	+11.77%
Volatility (1Y) Calculated over the trailing 1-year period	18.69%	1.22%	+17.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.91%	1.75%	+20.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	26.63%	25.45%	+1.18%

GCAVX vs. GUSTX - Expense Ratio Comparison

GCAVX has a 0.42% expense ratio, which is higher than GUSTX's 0.01% expense ratio.

Dividends

GCAVX vs. GUSTX - Dividend Comparison

GCAVX's dividend yield for the trailing twelve months is around 2.54%, less than GUSTX's 3.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GCAVX GMO U.S. Small Cap Value Fund	2.54%	2.94%	1.68%	1.85%	10.92%	41.19%	1.54%	0.83%	0.00%	0.00%	0.00%	0.00%
GUSTX GMO U.S. Treasury Fund	3.82%	4.15%	1.98%	2.28%	0.26%	0.14%	0.09%	0.14%	8.96%	0.50%	0.05%	0.04%

Frequently Asked Questions

Can I hold both GCAVX and GUSTX in my portfolio?

GCAVX and GUSTX have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GCAVX or GUSTX?

GCAVX has higher volatility (5.16%) compared to GUSTX (0.34%). In terms of maximum drawdown, GCAVX dropped -48.22% vs GUSTX's -79.98%.

Which has better risk-adjusted returns?

GUSTX currently has the higher Sharpe Ratio (3.34 vs 2.12), 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.