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

Performance

GQETX vs. TRBUX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Quality Fund (GQETX) and T. Rowe Price Ultra Short-Term Bond Fund (TRBUX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.29%
3.05%
GQETX
TRBUX

Returns By Period

In the year-to-date period, GQETX achieves a 20.32% return, which is significantly higher than TRBUX's 5.38% return. Over the past 10 years, GQETX has outperformed TRBUX with an annualized return of 14.71%, while TRBUX has yielded a comparatively lower 2.40% annualized return.


GQETX

YTD

20.32%

1M

0.55%

6M

7.29%

1Y

24.44%

5Y (annualized)

16.57%

10Y (annualized)

14.71%

TRBUX

YTD

5.38%

1M

0.23%

6M

3.05%

1Y

6.67%

5Y (annualized)

2.85%

10Y (annualized)

2.40%

Key characteristics


GQETXTRBUX
Sharpe Ratio2.223.78
Sortino Ratio3.049.87
Omega Ratio1.403.98
Calmar Ratio3.7533.47
Martin Ratio15.0265.50
Ulcer Index1.63%0.10%
Daily Std Dev10.99%1.76%
Max Drawdown-39.99%-4.15%
Current Drawdown-1.71%-0.20%

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GQETX vs. TRBUX - Expense Ratio Comparison

GQETX has a 0.49% expense ratio, which is higher than TRBUX's 0.31% 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 TRBUX: current value at 0.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.31%

Correlation

-0.50.00.51.00.0

The correlation between GQETX and TRBUX is 0.00, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

GQETX vs. TRBUX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and T. Rowe Price Ultra Short-Term Bond Fund (TRBUX). 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-1.000.001.002.003.004.005.002.223.78
The chart of Sortino ratio for GQETX, currently valued at 3.04, compared to the broader market0.005.0010.003.049.87
The chart of Omega ratio for GQETX, currently valued at 1.40, compared to the broader market1.002.003.004.001.403.98
The chart of Calmar ratio for GQETX, currently valued at 3.75, compared to the broader market0.005.0010.0015.0020.003.7533.47
The chart of Martin ratio for GQETX, currently valued at 15.02, compared to the broader market0.0020.0040.0060.0080.00100.0015.0265.50
GQETX
TRBUX

The current GQETX Sharpe Ratio is 2.22, which is lower than the TRBUX Sharpe Ratio of 3.78. The chart below compares the historical Sharpe Ratios of GQETX and TRBUX, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
2.22
3.78
GQETX
TRBUX

Dividends

GQETX vs. TRBUX - Dividend Comparison

GQETX's dividend yield for the trailing twelve months is around 0.86%, less than TRBUX's 5.03% 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%
TRBUX
T. Rowe Price Ultra Short-Term Bond Fund
5.03%4.02%1.97%1.11%1.83%2.72%2.58%1.88%1.20%0.80%0.42%0.06%

Drawdowns

GQETX vs. TRBUX - Drawdown Comparison

The maximum GQETX drawdown since its inception was -39.99%, which is greater than TRBUX's maximum drawdown of -4.15%. Use the drawdown chart below to compare losses from any high point for GQETX and TRBUX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.71%
-0.20%
GQETX
TRBUX

Volatility

GQETX vs. TRBUX - Volatility Comparison

GMO Quality Fund (GQETX) has a higher volatility of 3.36% compared to T. Rowe Price Ultra Short-Term Bond Fund (TRBUX) at 0.62%. This indicates that GQETX's price experiences larger fluctuations and is considered to be riskier than TRBUX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.36%
0.62%
GQETX
TRBUX