GMCDX vs. GQEFX

Last updated Jun 26, 2026

GMCDX (GMO Emerging Country Debt Fund) and GQEFX (GMO Quality Fund Class IV) are both mutual funds - GMCDX is a Emerging Markets Bonds fund managed by GMO, while GQEFX is a Large Cap Blend Equities fund actively managed by GMO. Over the past 5 years, GMCDX returned 9.64%/yr vs 12.48%/yr for GQEFX. At a 0.32 correlation, their price movements are largely independent. GMCDX charges 0.53%/yr vs 0.47%/yr for GQEFX.

Performance

GMCDX vs. GQEFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Country Debt Fund (GMCDX) and GMO Quality Fund Class IV (GQEFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMCDX achieves a 9.28% return, which is significantly higher than GQEFX's 3.22% return.

GMCDX

• 1D: 0.20%
• 1M: 1.74%
• YTD: 9.28%
• 6M: 9.37%
• 1Y: 24.84%
• 3Y*: 19.37%
• 5Y*: 9.64%
• 10Y*: 7.79%

GQEFX

• 1D: 0.17%
• 1M: -1.89%
• YTD: 3.22%
• 6M: 2.57%
• 1Y: 17.15%
• 3Y*: 16.17%
• 5Y*: 12.48%
• 10Y*: —

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

GMCDX vs. GQEFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMCDX GMO Emerging Country Debt Fund	9.28%	22.34%	13.39%	17.63%	-16.30%	6.56%	7.25%	14.28%	-5.89%	2.92%
GQEFX GMO Quality Fund Class IV	3.22%	19.64%	17.54%	28.95%	-15.30%	31.76%	18.39%	31.87%	0.54%	10.45%

Correlation

The correlation between GMCDX and GQEFX is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.48
Correlation (3Y) Calculated over the trailing 3-year period	0.35
Correlation (5Y) Calculated over the trailing 5-year period	0.34
Correlation (All Time) Calculated using the full available price history since Jun 12, 2017	0.32

The correlation between GMCDX and GQEFX shifts across timeframes, from 0.32 (all time) to 0.48 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GMCDX vs. GQEFX — Risk / Return Rank

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

GMCDX

GMCDX Risk / Return Rank: 98
GMCDX Sharpe Ratio Rank: 99
GMCDX Sortino Ratio Rank: 99
GMCDX Omega Ratio Rank: 98
GMCDX Calmar Ratio Rank: 98
GMCDX Martin Ratio Rank: 98

GQEFX

GQEFX Risk / Return Rank: 28
GQEFX Sharpe Ratio Rank: 33
GQEFX Sortino Ratio Rank: 32
GQEFX Omega Ratio Rank: 29
GQEFX Calmar Ratio Rank: 20
GQEFX Martin Ratio Rank: 27

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.

GMCDX vs. GQEFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Emerging Country Debt Fund (GMCDX) and GMO Quality Fund Class IV (GQEFX). 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.

	GMCDX	GQEFX	Difference
Sharpe ratio: Return per unit of total volatility	4.76	1.35	+3.41
Sortino ratio: Return per unit of downside risk	8.49	1.93	+6.56
Omega ratio: Gain probability vs. loss probability	2.16	1.23	+0.93
Calmar ratio: Return relative to maximum drawdown	6.54	1.32	+5.22
Martin ratio: Return relative to average drawdown	28.28	5.22	+23.05

GMCDX vs. GQEFX - Sharpe Ratio Comparison

The current GMCDX Sharpe Ratio is 4.76, which is higher than the GQEFX Sharpe Ratio of 1.35. The chart below compares the historical Sharpe Ratios of GMCDX and GQEFX, 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

GMCDX vs. GQEFX - Drawdown Comparison

The maximum GMCDX drawdown since its inception was -68.24%, which is greater than GQEFX's maximum drawdown of -30.42%. Use the drawdown chart below to compare losses from any high point for GMCDX and GQEFX.

Drawdown Indicators

	GMCDX	GQEFX	Difference
Max Drawdown Largest peak-to-trough decline	-68.24%	-30.42%	-37.82%
Max Drawdown (1Y) Largest decline over 1 year	-3.85%	-12.74%	+8.89%
Max Drawdown (3Y) Largest decline over 3 years	-9.00%	-15.55%	+6.55%
Max Drawdown (5Y) Largest decline over 5 years	-26.02%	-24.22%	-1.80%
Max Drawdown (10Y) Largest decline over 10 years	-26.02%	—	—
Current Drawdown Current decline from peak	-0.40%	-2.74%	+2.34%
Average Drawdown Average peak-to-trough decline	-17.62%	-4.15%	-13.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.89%	3.23%	-2.34%

Volatility

GMCDX vs. GQEFX - Volatility Comparison

The current volatility for GMO Emerging Country Debt Fund (GMCDX) is 1.23%, while GMO Quality Fund Class IV (GQEFX) has a volatility of 4.23%. This indicates that GMCDX experiences smaller price fluctuations and is considered to be less risky than GQEFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMCDX	GQEFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.23%	4.23%	-3.00%
Volatility (6M) Calculated over the trailing 6-month period	4.43%	10.07%	-5.64%
Volatility (1Y) Calculated over the trailing 1-year period	5.32%	12.64%	-7.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.21%	15.94%	-4.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.32%	17.75%	-8.43%

GMCDX vs. GQEFX - Expense Ratio Comparison

GMCDX has a 0.53% expense ratio, which is higher than GQEFX's 0.47% expense ratio.

Dividends

GMCDX vs. GQEFX - Dividend Comparison

GMCDX's dividend yield for the trailing twelve months is around 5.74%, less than GQEFX's 10.80% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMCDX GMO Emerging Country Debt Fund	5.74%	6.27%	6.88%	10.26%	13.73%	17.75%	9.66%	6.60%	7.76%	7.06%	6.00%	2.50%
GQEFX GMO Quality Fund Class IV	10.80%	11.15%	3.70%	3.43%	11.84%	10.23%	13.62%	8.09%	21.69%	7.08%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GMCDX and GQEFX in my portfolio?

GMCDX and GQEFX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMCDX or GQEFX?

GQEFX has higher volatility (4.23%) compared to GMCDX (1.23%). In terms of maximum drawdown, GMCDX dropped -68.24% vs GQEFX's -30.42%.

Which has better risk-adjusted returns?

GMCDX currently has the higher Sharpe Ratio (4.76 vs 1.35), 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.