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

Correlation

The correlation between GQETX and VUG is 0.93, 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. VUG - Performance Comparison

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

200.00%400.00%600.00%800.00%1,000.00%December2025FebruaryMarchAprilMay
246.97%
855.52%
GQETX
VUG

Key characteristics

Sharpe Ratio

GQETX:

0.64

VUG:

0.63

Sortino Ratio

GQETX:

1.01

VUG:

1.03

Omega Ratio

GQETX:

1.14

VUG:

1.15

Calmar Ratio

GQETX:

0.67

VUG:

0.69

Martin Ratio

GQETX:

2.69

VUG:

2.36

Ulcer Index

GQETX:

3.88%

VUG:

6.65%

Daily Std Dev

GQETX:

16.34%

VUG:

24.83%

Max Drawdown

GQETX:

-41.46%

VUG:

-50.68%

Current Drawdown

GQETX:

-6.23%

VUG:

-10.16%

Returns By Period

In the year-to-date period, GQETX achieves a -0.25% return, which is significantly higher than VUG's -6.40% return. Over the past 10 years, GQETX has underperformed VUG with an annualized return of 9.11%, while VUG has yielded a comparatively higher 14.48% annualized return.


GQETX

YTD

-0.25%

1M

9.31%

6M

-0.46%

1Y

8.47%

5Y*

17.40%

10Y*

9.11%

VUG

YTD

-6.40%

1M

14.86%

6M

-1.42%

1Y

12.24%

5Y*

16.77%

10Y*

14.48%

*Annualized

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GQETX vs. VUG - Expense Ratio Comparison

GQETX has a 0.49% expense ratio, which is higher than VUG's 0.04% expense ratio.


Risk-Adjusted Performance

GQETX vs. VUG — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GQETX
The Risk-Adjusted Performance Rank of GQETX is 5959
Overall Rank
The Sharpe Ratio Rank of GQETX is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of GQETX is 5555
Sortino Ratio Rank
The Omega Ratio Rank of GQETX is 5555
Omega Ratio Rank
The Calmar Ratio Rank of GQETX is 6767
Calmar Ratio Rank
The Martin Ratio Rank of GQETX is 6262
Martin Ratio Rank

VUG
The Risk-Adjusted Performance Rank of VUG is 6060
Overall Rank
The Sharpe Ratio Rank of VUG is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of VUG is 5959
Sortino Ratio Rank
The Omega Ratio Rank of VUG is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VUG is 6666
Calmar Ratio Rank
The Martin Ratio Rank of VUG is 5959
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

GQETX vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Vanguard Growth ETF (VUG). 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.


The current GQETX Sharpe Ratio is 0.64, which is comparable to the VUG Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of GQETX and VUG, 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 Ratio-0.500.000.501.001.502.002.503.00December2025FebruaryMarchAprilMay
0.64
0.63
GQETX
VUG

Dividends

GQETX vs. VUG - Dividend Comparison

GQETX's dividend yield for the trailing twelve months is around 4.93%, more than VUG's 0.51% yield.


TTM20242023202220212020201920182017201620152014
GQETX
GMO Quality Fund
4.93%4.92%4.25%11.85%10.19%13.61%8.08%21.66%8.10%3.56%17.25%24.26%
VUG
Vanguard Growth ETF
0.51%0.47%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%

Drawdowns

GQETX vs. VUG - Drawdown Comparison

The maximum GQETX drawdown since its inception was -41.46%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for GQETX and VUG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-6.23%
-10.16%
GQETX
VUG

Volatility

GQETX vs. VUG - Volatility Comparison

The current volatility for GMO Quality Fund (GQETX) is 9.72%, while Vanguard Growth ETF (VUG) has a volatility of 13.80%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%December2025FebruaryMarchAprilMay
9.72%
13.80%
GQETX
VUG