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GQETX vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

GQETX vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Quality Fund (GQETX) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.29%
10.78%
GQETX
QQQ

Returns By Period

In the year-to-date period, GQETX achieves a 20.32% return, which is significantly lower than QQQ's 24.04% return. Over the past 10 years, GQETX has underperformed QQQ with an annualized return of 14.71%, while QQQ has yielded a comparatively higher 18.03% annualized return.


GQETX

YTD

20.32%

1M

0.55%

6M

7.29%

1Y

24.44%

5Y (annualized)

16.57%

10Y (annualized)

14.71%

QQQ

YTD

24.04%

1M

3.57%

6M

10.78%

1Y

30.56%

5Y (annualized)

20.99%

10Y (annualized)

18.03%

Key characteristics


GQETXQQQ
Sharpe Ratio2.221.76
Sortino Ratio3.042.35
Omega Ratio1.401.32
Calmar Ratio3.752.25
Martin Ratio15.028.18
Ulcer Index1.63%3.74%
Daily Std Dev10.99%17.36%
Max Drawdown-39.99%-82.98%
Current Drawdown-1.71%-1.62%

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GQETX vs. QQQ - Expense Ratio Comparison

GQETX has a 0.49% expense ratio, which is higher than QQQ's 0.20% expense ratio.


GQETX
GMO Quality Fund
Expense ratio chart for GQETX: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.8

The correlation between GQETX and QQQ is 0.85, 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.

Risk-Adjusted Performance

GQETX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Invesco QQQ (QQQ). 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.


Sharpe ratio
The chart of Sharpe ratio for GQETX, currently valued at 2.22, compared to the broader market-1.000.001.002.003.004.005.002.221.76
The chart of Sortino ratio for GQETX, currently valued at 3.04, compared to the broader market0.005.0010.003.042.35
The chart of Omega ratio for GQETX, currently valued at 1.40, compared to the broader market1.002.003.004.001.401.32
The chart of Calmar ratio for GQETX, currently valued at 3.75, compared to the broader market0.005.0010.0015.0020.003.752.25
The chart of Martin ratio for GQETX, currently valued at 15.02, compared to the broader market0.0020.0040.0060.0080.00100.0015.028.18
GQETX
QQQ

The current GQETX Sharpe Ratio is 2.22, which is comparable to the QQQ Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of GQETX and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.22
1.76
GQETX
QQQ

Dividends

GQETX vs. QQQ - Dividend Comparison

GQETX's dividend yield for the trailing twelve months is around 0.86%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
GQETX
GMO Quality Fund
0.86%0.99%1.28%5.25%1.37%1.44%1.93%1.66%1.72%2.18%2.19%3.53%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

GQETX vs. QQQ - Drawdown Comparison

The maximum GQETX drawdown since its inception was -39.99%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for GQETX and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.71%
-1.62%
GQETX
QQQ

Volatility

GQETX vs. QQQ - Volatility Comparison

The current volatility for GMO Quality Fund (GQETX) is 3.36%, while Invesco QQQ (QQQ) has a volatility of 5.36%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.36%
5.36%
GQETX
QQQ