GQETX vs. VXUS
Compare and contrast key facts about GMO Quality Fund (GQETX) and Vanguard Total International Stock ETF (VXUS).
GQETX is managed by GMO. It was launched on Feb 6, 2004. VXUS is a passively managed fund by Vanguard that tracks the performance of the MSCI All Country World ex USA Investable Market Index. It was launched on Jan 26, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GQETX or VXUS.
Key characteristics
| GQETX | VXUS | |
|---|---|---|
| YTD Return | 22.17% | 8.78% |
| 1Y Return | 31.96% | 19.96% |
| 3Y Return (Ann) | 12.38% | 1.20% |
| 5Y Return (Ann) | 17.14% | 5.76% |
| 10Y Return (Ann) | 15.06% | 5.11% |
| Sharpe Ratio | 2.81 | 1.53 |
| Sortino Ratio | 3.82 | 2.18 |
| Omega Ratio | 1.51 | 1.27 |
| Calmar Ratio | 4.77 | 1.35 |
| Martin Ratio | 19.61 | 9.08 |
| Ulcer Index | 1.58% | 2.17% |
| Daily Std Dev | 11.06% | 12.84% |
| Max Drawdown | -39.99% | -35.97% |
| Current Drawdown | -0.20% | -5.08% |
Correlation
The correlation between GQETX and VXUS is 0.81, 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. VXUS - Performance Comparison
In the year-to-date period, GQETX achieves a 22.17% return, which is significantly higher than VXUS's 8.78% return. Over the past 10 years, GQETX has outperformed VXUS with an annualized return of 15.06%, while VXUS has yielded a comparatively lower 5.11% 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. VXUS - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is higher than VXUS's 0.07% expense ratio.
Risk-Adjusted Performance
GQETX vs. VXUS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Vanguard Total International Stock ETF (VXUS). 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. VXUS - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 0.84%, less than VXUS's 2.94% 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% |
VXUS Vanguard Total International Stock ETF | 2.94% | 3.25% | 3.09% | 3.10% | 2.14% | 3.06% | 3.17% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
Drawdowns
GQETX vs. VXUS - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for GQETX and VXUS. For additional features, visit the drawdowns tool.
Volatility
GQETX vs. VXUS - Volatility Comparison
The current volatility for GMO Quality Fund (GQETX) is 3.61%, while Vanguard Total International Stock ETF (VXUS) has a volatility of 4.01%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than VXUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.