GQETX vs. VTIP
Compare and contrast key facts about GMO Quality Fund (GQETX) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP).
GQETX is managed by GMO. It was launched on Feb 6, 2004. VTIP is a passively managed fund by Vanguard that tracks the performance of the Barclays Capital U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L). It was launched on Oct 12, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQETX or VTIP.
Key characteristics
| GQETX | VTIP | |
|---|---|---|
| YTD Return | 22.17% | 4.61% |
| 1Y Return | 31.96% | 7.15% |
| 3Y Return (Ann) | 12.38% | 2.24% |
| 5Y Return (Ann) | 17.14% | 3.56% |
| 10Y Return (Ann) | 15.06% | 2.40% |
| Sharpe Ratio | 2.81 | 3.19 |
| Sortino Ratio | 3.82 | 5.64 |
| Omega Ratio | 1.51 | 1.74 |
| Calmar Ratio | 4.77 | 4.00 |
| Martin Ratio | 19.61 | 26.90 |
| Ulcer Index | 1.58% | 0.26% |
| Daily Std Dev | 11.06% | 2.17% |
| Max Drawdown | -39.99% | -6.27% |
| Current Drawdown | -0.20% | -0.41% |
Correlation
The correlation between GQETX and VTIP is 0.08, 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.
Performance
GQETX vs. VTIP - Performance Comparison
In the year-to-date period, GQETX achieves a 22.17% return, which is significantly higher than VTIP's 4.61% return. Over the past 10 years, GQETX has outperformed VTIP with an annualized return of 15.06%, while VTIP has yielded a comparatively lower 2.40% 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. VTIP - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is higher than VTIP's 0.04% expense ratio.
Risk-Adjusted Performance
GQETX vs. VTIP - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). 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. VTIP - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 0.84%, less than VTIP's 3.38% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 0.84% | 0.99% | 1.28% | 5.25% | 1.37% | 1.44% | 1.93% | 1.66% | 1.72% | 2.18% | 2.19% | 3.53% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.38% | 3.36% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% | 0.82% | 0.05% |
Drawdowns
GQETX vs. VTIP - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, which is greater than VTIP's maximum drawdown of -6.27%. Use the drawdown chart below to compare losses from any high point for GQETX and VTIP. For additional features, visit the drawdowns tool.
Volatility
GQETX vs. VTIP - Volatility Comparison
GMO Quality Fund (GQETX) has a higher volatility of 3.61% compared to Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) at 0.43%. This indicates that GQETX's price experiences larger fluctuations and is considered to be riskier than VTIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.