GQETX vs. VOO
Compare and contrast key facts about GMO Quality Fund (GQETX) and Vanguard S&P 500 ETF (VOO).
GQETX is managed by GMO. It was launched on Feb 6, 2004. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQETX or VOO.
Key characteristics
| GQETX | VOO | |
|---|---|---|
| YTD Return | 21.54% | 26.88% |
| 1Y Return | 29.60% | 37.59% |
| 3Y Return (Ann) | 12.23% | 10.23% |
| 5Y Return (Ann) | 17.08% | 15.93% |
| 10Y Return (Ann) | 14.97% | 13.41% |
| Sharpe Ratio | 2.70 | 3.06 |
| Sortino Ratio | 3.67 | 4.08 |
| Omega Ratio | 1.49 | 1.58 |
| Calmar Ratio | 4.55 | 4.43 |
| Martin Ratio | 18.70 | 20.25 |
| Ulcer Index | 1.59% | 1.85% |
| Daily Std Dev | 10.99% | 12.23% |
| Max Drawdown | -39.99% | -33.99% |
| Current Drawdown | -0.71% | -0.30% |
Correlation
The correlation between GQETX and VOO is 0.94, 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.
Performance
GQETX vs. VOO - Performance Comparison
In the year-to-date period, GQETX achieves a 21.54% return, which is significantly lower than VOO's 26.88% return. Over the past 10 years, GQETX has outperformed VOO with an annualized return of 14.97%, while VOO has yielded a comparatively lower 13.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GQETX vs. VOO - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is higher than VOO's 0.03% expense ratio.
Risk-Adjusted Performance
GQETX vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Vanguard S&P 500 ETF (VOO). 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.
Dividends
GQETX vs. VOO - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 0.85%, less than VOO's 1.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 0.85% | 0.99% | 1.28% | 5.25% | 1.37% | 1.44% | 1.93% | 1.66% | 1.72% | 2.18% | 2.19% | 3.53% |
VOO Vanguard S&P 500 ETF | 1.23% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
GQETX vs. VOO - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GQETX and VOO. For additional features, visit the drawdowns tool.
Volatility
GQETX vs. VOO - Volatility Comparison
The current volatility for GMO Quality Fund (GQETX) is 3.48%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.89%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.