GQETX vs. GMCDX
GQETX (GMO Quality Fund) and GMCDX (GMO Emerging Country Debt Fund) are both mutual funds - GQETX is a Quality Factor fund managed by GMO, while GMCDX is a Emerging Markets Bonds fund managed by GMO. Over the past 10 years, GQETX returned 15.89%/yr vs 7.38%/yr for GMCDX. Their 0.30 correlation means their historical movements had little consistent relationship. GQETX charges 0.49%/yr vs 0.53%/yr for GMCDX.
Performance
GQETX vs. GMCDX - Performance Comparison
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Returns By Period
In the year-to-date period, GQETX achieves a 7.37% return, which is significantly lower than GMCDX's 8.26% return. Over the past 10 years, GQETX has outperformed GMCDX with an annualized return of 15.89%, while GMCDX has yielded a comparatively lower 7.38% annualized return.
GQETX
- 1D
- 0.80%
- 1M
- 0.69%
- 6M
- 4.85%
- YTD
- 7.37%
- 1Y
- 22.56%
- 3Y*
- 16.24%
- 5Y*
- 12.74%
- 10Y*
- 15.89%
- ALL TIME*
- 11.71%
GMCDX
- 1D
- 0.12%
- 1M
- -0.93%
- 6M
- 4.10%
- YTD
- 8.26%
- 1Y
- 19.85%
- 3Y*
- 17.66%
- 5Y*
- 9.33%
- 10Y*
- 7.38%
- ALL TIME*
- 4.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
GQETX GMO Quality Fund | $0.00 | $0.00 | $0.00 |
GQETX vs. GMCDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 7.37% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 31.77% | 0.50% | 29.11% |
GMCDX GMO Emerging Country Debt Fund | 8.26% | 22.34% | 13.39% | 17.63% | -16.30% | 6.56% | 7.25% | 14.28% | -5.89% | 12.49% |
Correlation
The correlation between GQETX and GMCDX is 0.48, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.48 |
Correlation (3Y) Balances recent behavior with more history. | 0.35 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.34 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.31 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2005 | 0.30 |
The correlation between GQETX and GMCDX shifts across timeframes, from 0.30 (all time) to 0.48 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
GQETX vs. GMCDX — Risk / Return Rank
GQETX
GMCDX
GQETX vs. GMCDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and GMO Emerging Country Debt Fund (GMCDX). 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.
| GQETX | GMCDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.06 | ||
| Sortino ratioReturn per unit of downside risk | -4.26 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.88 | -0.60 |
| Calmar ratioReturn relative to maximum drawdown | 1.66 | 5.11 | -3.44 |
| Martin ratioReturn relative to average drawdown | 6.56 | 21.27 | -14.72 |
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Drawdowns
GQETX vs. GMCDX - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, smaller than the maximum GMCDX drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for GQETX and GMCDX.
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Drawdown Indicators
| GQETX | GMCDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.99% | -68.24% | +28.25% |
Max Drawdown (1Y)Largest decline over 1 year | -12.76% | -3.85% | -8.91% |
Max Drawdown (3Y)Largest decline over 3 years | -15.54% | -9.00% | -6.54% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -26.02% | +1.80% |
Max Drawdown (10Y)Largest decline over 10 years | -30.44% | -26.02% | -4.42% |
Current DrawdownCurrent decline from peak | 0.00% | -1.33% | +1.33% |
Average DrawdownAverage peak-to-trough decline | -4.97% | -17.57% | +12.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.23% | 0.92% | +2.31% |
Volatility
GQETX vs. GMCDX - Volatility Comparison
GMO Quality Fund (GQETX) has a higher volatility of 3.19% compared to GMO Emerging Country Debt Fund (GMCDX) at 0.99%. This indicates that GQETX's price experiences larger fluctuations and is considered to be riskier than GMCDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GQETX | GMCDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 0.99% | +2.20% |
Volatility (6M)Calculated over the trailing 6-month period | 10.18% | 4.00% | +6.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.83% | 5.29% | +7.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.93% | 11.21% | +4.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 9.30% | +7.76% |
GQETX vs. GMCDX - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is lower than GMCDX's 0.53% expense ratio.
Dividends
GQETX vs. GMCDX - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 11.15%, more than GMCDX's 4.51% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMCDX GMO Emerging Country Debt Fund | 4.51% | 6.27% | 6.88% | 10.26% | 13.73% | 17.75% | 9.66% | 6.60% | 7.76% | 7.06% | 6.00% | 2.50% |
GQETX GMO Quality Fund | 11.15% | 11.16% | 3.91% | 3.43% | 11.85% | 10.19% | 13.61% | 8.08% | 21.66% | 8.10% | 3.56% | 17.25% |
Frequently Asked Questions
GQETX and GMCDX 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.
GQETX has higher volatility (3.19%) compared to GMCDX (0.99%). In terms of maximum drawdown, GQETX dropped -39.99% vs GMCDX's -68.24%.
GMCDX currently has the higher Sharpe Ratio (3.72 vs 1.66), 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.
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