GQEFX vs. SSSYX
Compare and contrast key facts about GMO Quality Fund Class IV (GQEFX) and State Street Equity 500 Index Fund Class K (SSSYX).
GQEFX is an actively managed fund by GMO. It was launched on Feb 6, 2004. SSSYX is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Sep 17, 2014.
Performance
GQEFX vs. SSSYX - Performance Comparison
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GQEFX vs. SSSYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GQEFX GMO Quality Fund Class IV | -7.00% | 19.64% | 17.54% | 28.95% | -15.30% | 31.76% | 18.39% | 31.87% | 0.54% | 10.45% |
SSSYX State Street Equity 500 Index Fund Class K | -4.34% | 17.81% | 24.99% | 26.27% | -18.16% | 28.51% | 18.31% | 31.38% | -4.38% | 11.21% |
Returns By Period
In the year-to-date period, GQEFX achieves a -7.00% return, which is significantly lower than SSSYX's -4.34% return.
GQEFX
- 1D
- 2.80%
- 1M
- -6.44%
- YTD
- -7.00%
- 6M
- -2.28%
- 1Y
- 12.46%
- 3Y*
- 15.77%
- 5Y*
- 11.70%
- 10Y*
- —
SSSYX
- 1D
- 2.92%
- 1M
- -5.02%
- YTD
- -4.34%
- 6M
- -2.15%
- 1Y
- 17.29%
- 3Y*
- 18.28%
- 5Y*
- 11.75%
- 10Y*
- 14.02%
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GQEFX vs. SSSYX - Expense Ratio Comparison
GQEFX has a 0.47% expense ratio, which is higher than SSSYX's 0.02% expense ratio.
Return for Risk
GQEFX vs. SSSYX — Risk / Return Rank
GQEFX
SSSYX
GQEFX vs. SSSYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund Class IV (GQEFX) and State Street Equity 500 Index Fund Class K (SSSYX). 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.
| GQEFX | SSSYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.75 | 0.97 | -0.22 |
Sortino ratioReturn per unit of downside risk | 1.20 | 1.49 | -0.29 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.23 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 1.01 | 1.52 | -0.51 |
Martin ratioReturn relative to average drawdown | 4.06 | 7.30 | -3.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GQEFX | SSSYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.75 | 0.97 | -0.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | 0.70 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.11 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.81 | 0.11 | +0.70 |
Correlation
The correlation between GQEFX and SSSYX is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
GQEFX vs. SSSYX - Dividend Comparison
GQEFX's dividend yield for the trailing twelve months is around 11.99%, more than SSSYX's 1.51% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQEFX GMO Quality Fund Class IV | 11.99% | 11.15% | 3.70% | 3.43% | 11.84% | 10.23% | 13.62% | 8.09% | 21.69% | 7.08% | 0.00% | 0.00% |
SSSYX State Street Equity 500 Index Fund Class K | 1.51% | 1.44% | 1.63% | 1.78% | 2.16% | 2.76% | 1.86% | 4.44% | 5.18% | 5.94% | 2.07% | 1.84% |
Drawdowns
GQEFX vs. SSSYX - Drawdown Comparison
The maximum GQEFX drawdown since its inception was -30.42%, smaller than the maximum SSSYX drawdown of -91.48%. Use the drawdown chart below to compare losses from any high point for GQEFX and SSSYX.
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Drawdown Indicators
| GQEFX | SSSYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.42% | -91.48% | +61.06% |
Max Drawdown (1Y)Largest decline over 1 year | -12.74% | -12.10% | -0.64% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -24.49% | +0.27% |
Max Drawdown (10Y)Largest decline over 10 years | — | -91.48% | — |
Current DrawdownCurrent decline from peak | -10.30% | -6.22% | -4.08% |
Average DrawdownAverage peak-to-trough decline | -4.20% | -4.20% | 0.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.17% | 2.52% | +0.65% |
Volatility
GQEFX vs. SSSYX - Volatility Comparison
GMO Quality Fund Class IV (GQEFX) has a higher volatility of 5.62% compared to State Street Equity 500 Index Fund Class K (SSSYX) at 5.34%. This indicates that GQEFX's price experiences larger fluctuations and is considered to be riskier than SSSYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GQEFX | SSSYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.62% | 5.34% | +0.28% |
Volatility (6M)Calculated over the trailing 6-month period | 9.67% | 9.53% | +0.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.60% | 18.29% | -1.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.86% | 16.89% | -1.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.84% | 124.43% | -106.59% |