GMOEX vs. GUSTX

Last updated Jun 24, 2026

GMOEX (GMO Emerging Markets Fund) and GUSTX (GMO U.S. Treasury Fund) are both mutual funds - GMOEX is a Emerging Markets Diversified fund managed by GMO, while GUSTX is a Government Bonds fund managed by GMO. Over the past 10 years, GMOEX returned 9.73%/yr vs -13.75%/yr for GUSTX. At a 0.00 correlation, their price movements are largely independent. GMOEX charges 0.90%/yr vs 0.01%/yr for GUSTX.

Performance

GMOEX vs. GUSTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Markets Fund (GMOEX) 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, GMOEX achieves a 41.02% return, which is significantly higher than GUSTX's 1.26% return. Over the past 10 years, GMOEX has outperformed GUSTX with an annualized return of 9.73%, while GUSTX has yielded a comparatively lower -13.75% annualized return.

GMOEX

• 1D: 0.29%
• 1M: 5.48%
• YTD: 41.02%
• 6M: 42.93%
• 1Y: 68.09%
• 3Y*: 29.69%
• 5Y*: 7.86%
• 10Y*: 9.73%

GUSTX

• 1D: 0.00%
• 1M: 0.14%
• YTD: 1.26%
• 6M: 1.59%
• 1Y: 3.69%
• 3Y*: 3.32%
• 5Y*: 1.91%
• 10Y*: -13.75%

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

GMOEX vs. GUSTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMOEX GMO Emerging Markets Fund	41.02%	33.86%	1.95%	17.68%	-31.57%	2.05%	5.50%	22.15%	-12.82%	32.05%
GUSTX GMO U.S. Treasury Fund	1.26%	4.45%	2.21%	2.52%	-0.73%	-0.06%	0.89%	0.14%	-79.59%	0.43%

Correlation

The correlation between GMOEX and GUSTX is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	0.03
Correlation (10Y) Calculated over the trailing 10-year period	-0.00
Correlation (All Time) Calculated using the full available price history since Jan 4, 2010	0.00

Return for Risk

GMOEX vs. GUSTX — Risk / Return Rank

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

GMOEX

GMOEX Risk / Return Rank: 94
GMOEX Sharpe Ratio Rank: 96
GMOEX Sortino Ratio Rank: 93
GMOEX Omega Ratio Rank: 93
GMOEX Calmar Ratio Rank: 94
GMOEX Martin Ratio Rank: 93

GUSTX

GUSTX Risk / Return Rank: 99
GUSTX Sharpe Ratio Rank: 95
GUSTX Sortino Ratio Rank: 99
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.

GMOEX vs. GUSTX - Risk-Adjusted Trends Comparison

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

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.

	GMOEX	GUSTX	Difference
Sharpe ratio: Return per unit of total volatility	3.20	3.11	+0.08
Sortino ratio: Return per unit of downside risk	4.39	9.30	-4.91
Omega ratio: Gain probability vs. loss probability	1.67	5.56	-3.89
Calmar ratio: Return relative to maximum drawdown	5.10	19.28	-14.18
Martin ratio: Return relative to average drawdown	18.06	53.96	-35.90

GMOEX vs. GUSTX - Sharpe Ratio Comparison

The current GMOEX Sharpe Ratio is 3.20, which is comparable to the GUSTX Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of GMOEX 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.

Drawdowns

GMOEX vs. GUSTX - Drawdown Comparison

The maximum GMOEX drawdown since its inception was -76.43%, roughly equal to the maximum GUSTX drawdown of -79.98%. Use the drawdown chart below to compare losses from any high point for GMOEX and GUSTX.

Drawdown Indicators

	GMOEX	GUSTX	Difference
Max Drawdown Largest peak-to-trough decline	-76.43%	-79.98%	+3.55%
Max Drawdown (1Y) Largest decline over 1 year	-13.38%	-0.20%	-13.18%
Max Drawdown (3Y) Largest decline over 3 years	-16.92%	-1.19%	-15.73%
Max Drawdown (5Y) Largest decline over 5 years	-42.52%	-1.19%	-41.33%
Max Drawdown (10Y) Largest decline over 10 years	-43.50%	-79.98%	+36.48%
Current Drawdown Current decline from peak	-3.84%	-77.72%	+73.88%
Average Drawdown Average peak-to-trough decline	-37.39%	-36.16%	-1.23%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.77%	0.07%	+3.70%

Volatility

GMOEX vs. GUSTX - Volatility Comparison

GMO Emerging Markets Fund (GMOEX) has a higher volatility of 9.62% compared to GMO U.S. Treasury Fund (GUSTX) at 0.49%. This indicates that GMOEX'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

	GMOEX	GUSTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.62%	0.49%	+9.13%
Volatility (6M) Calculated over the trailing 6-month period	19.23%	0.89%	+18.34%
Volatility (1Y) Calculated over the trailing 1-year period	21.39%	1.24%	+20.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.35%	1.76%	+15.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.33%	25.46%	-8.13%

GMOEX vs. GUSTX - Expense Ratio Comparison

GMOEX has a 0.90% expense ratio, which is higher than GUSTX's 0.01% expense ratio.

Dividends

GMOEX vs. GUSTX - Dividend Comparison

GMOEX's dividend yield for the trailing twelve months is around 3.55%, less than GUSTX's 3.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMOEX GMO Emerging Markets Fund	3.55%	5.01%	3.79%	6.00%	8.08%	4.48%	3.71%	4.63%	3.36%	2.56%	2.21%	1.15%
GUSTX GMO U.S. Treasury Fund	3.83%	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 GMOEX and GUSTX in my portfolio?

GMOEX and GUSTX have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMOEX or GUSTX?

GMOEX has higher volatility (9.62%) compared to GUSTX (0.49%). In terms of maximum drawdown, GMOEX dropped -76.43% vs GUSTX's -79.98%.

Which has better risk-adjusted returns?

GMOEX currently has the higher Sharpe Ratio (3.20 vs 3.11), 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.