GMAQX vs. GUSTX

Last updated Jun 3, 2026

GMAQX (GMO Emerging Markets ex-China Fund) and GUSTX (GMO U.S. Treasury Fund) are both mutual funds - GMAQX is a Emerging Markets Diversified fund managed by GMO, while GUSTX is a Government Bonds fund managed by GMO. Over the past 3 years, GMAQX returned 34.47%/yr vs 3.18%/yr for GUSTX. At a 0.01 correlation, their price movements are largely independent. GMAQX charges 0.67%/yr vs 0.01%/yr for GUSTX.

Performance

GMAQX vs. GUSTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Markets ex-China Fund (GMAQX) 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, GMAQX achieves a 56.32% return, which is significantly higher than GUSTX's 1.46% return.

GMAQX

• 1D: 3.50%
• 1M: 28.37%
• YTD: 56.32%
• 6M: 62.83%
• 1Y: 91.37%
• 3Y*: 34.47%
• 5Y*: —
• 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)

GMAQX vs. GUSTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
GMAQX GMO Emerging Markets ex-China Fund	56.32%	32.09%	0.62%	27.41%	-32.38%	0.47%
GUSTX GMO U.S. Treasury Fund	1.46%	4.45%	2.21%	2.52%	-0.73%	0.09%

Correlation

The correlation between GMAQX and GUSTX is -0.12, 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	-0.12
Correlation (3Y) Calculated over the trailing 3-year period	0.01
Correlation (All Time) Calculated using the full available price history since Oct 19, 2021	0.01

The correlation between GMAQX and GUSTX shifts across timeframes, from -0.12 (1 year) to 0.01 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

GMAQX vs. GUSTX — Risk / Return Rank

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

GMAQX

GMAQX Risk / Return Rank: 97
GMAQX Sharpe Ratio Rank: 99
GMAQX Sortino Ratio Rank: 97
GMAQX Omega Ratio Rank: 97
GMAQX Calmar Ratio Rank: 97
GMAQX Martin Ratio Rank: 97

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.

GMAQX vs. GUSTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Emerging Markets ex-China Fund (GMAQX) 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.

	GMAQX	GUSTX	Difference
Sharpe ratio Return per unit of total volatility	4.49	3.34	+1.15
Sortino ratio Return per unit of downside risk	6.01	11.33	-5.33
Omega ratio Gain probability vs. loss probability	1.93	7.41	-5.48
Calmar ratio Return relative to maximum drawdown	6.62	20.36	-13.75
Martin ratio Return relative to average drawdown	25.51	57.94	-32.43
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMAQX vs. GUSTX - Sharpe Ratio Comparison

The current GMAQX Sharpe Ratio is 4.49, which is higher than the GUSTX Sharpe Ratio of 3.34. The chart below compares the historical Sharpe Ratios of GMAQX 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

	GMAQX	GUSTX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.49	3.34	+1.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	1.14	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	-0.54	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.79	-0.44	+1.23

Drawdowns

GMAQX vs. GUSTX - Drawdown Comparison

The maximum GMAQX drawdown since its inception was -41.97%, smaller than the maximum GUSTX drawdown of -79.98%. Use the drawdown chart below to compare losses from any high point for GMAQX and GUSTX.

Drawdown Indicators

	GMAQX	GUSTX	Difference
Max Drawdown Largest peak-to-trough decline	-41.97%	-79.98%	+38.01%
Max Drawdown (1Y) Largest decline over 1 year	-13.77%	-0.20%	-13.57%
Max Drawdown (3Y) Largest decline over 3 years	-19.64%	-1.19%	-18.45%
Max Drawdown (5Y) Largest decline over 5 years	—	-1.19%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-79.98%	—
Current Drawdown Current decline from peak	0.00%	-77.68%	+77.68%
Average Drawdown Average peak-to-trough decline	-16.75%	-36.04%	+19.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.57%	0.07%	+3.50%

Volatility

GMAQX vs. GUSTX - Volatility Comparison

GMO Emerging Markets ex-China Fund (GMAQX) has a higher volatility of 12.53% compared to GMO U.S. Treasury Fund (GUSTX) at 0.34%. This indicates that GMAQX'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

	GMAQX	GUSTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.53%	0.34%	+12.19%
Volatility (6M) Calculated over the trailing 6-month period	18.52%	0.87%	+17.65%
Volatility (1Y) Calculated over the trailing 1-year period	20.84%	1.22%	+19.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.22%	1.75%	+15.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.22%	25.45%	-8.23%

GMAQX vs. GUSTX - Expense Ratio Comparison

GMAQX has a 0.67% expense ratio, which is higher than GUSTX's 0.01% expense ratio.

Dividends

GMAQX vs. GUSTX - Dividend Comparison

GMAQX's dividend yield for the trailing twelve months is around 6.03%, more than GUSTX's 3.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMAQX GMO Emerging Markets ex-China Fund	6.03%	9.43%	32.28%	6.76%	4.94%	0.66%	0.00%	0.00%	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 GMAQX and GUSTX in my portfolio?

GMAQX and GUSTX have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMAQX or GUSTX?

GMAQX has higher volatility (12.53%) compared to GUSTX (0.34%). In terms of maximum drawdown, GMAQX dropped -41.97% vs GUSTX's -79.98%.

Which has better risk-adjusted returns?

GMAQX currently has the higher Sharpe Ratio (4.49 vs 3.34), 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.