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

Performance

GQETX vs. VYM - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.90%
11.68%
GQETX
VYM

Returns By Period

As of year-to-date, both investments have demonstrated similar returns, with GQETX at 19.69% and VYM at 19.69%. Over the past 10 years, GQETX has outperformed VYM with an annualized return of 14.66%, while VYM has yielded a comparatively lower 9.87% annualized return.


GQETX

YTD

19.69%

1M

-0.67%

6M

5.97%

1Y

24.57%

5Y (annualized)

16.48%

10Y (annualized)

14.66%

VYM

YTD

19.69%

1M

0.55%

6M

10.19%

1Y

28.16%

5Y (annualized)

10.95%

10Y (annualized)

9.87%

Key characteristics


GQETXVYM
Sharpe Ratio2.202.65
Sortino Ratio3.023.77
Omega Ratio1.391.48
Calmar Ratio3.735.38
Martin Ratio14.9817.01
Ulcer Index1.62%1.64%
Daily Std Dev11.01%10.55%
Max Drawdown-39.99%-56.98%
Current Drawdown-2.22%-1.46%

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GQETX vs. VYM - Expense Ratio Comparison

GQETX has a 0.49% expense ratio, which is higher than VYM's 0.06% 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 VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.9

The correlation between GQETX and VYM is 0.86, 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.

Risk-Adjusted Performance

GQETX vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Vanguard High Dividend Yield ETF (VYM). 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 2.20, compared to the broader market-1.000.001.002.003.004.005.002.202.65
The chart of Sortino ratio for GQETX, currently valued at 3.02, compared to the broader market0.005.0010.003.023.77
The chart of Omega ratio for GQETX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.48
The chart of Calmar ratio for GQETX, currently valued at 3.73, compared to the broader market0.005.0010.0015.0020.0025.003.735.38
The chart of Martin ratio for GQETX, currently valued at 14.98, compared to the broader market0.0020.0040.0060.0080.00100.0014.9817.01
GQETX
VYM

The current GQETX Sharpe Ratio is 2.20, which is comparable to the VYM Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of GQETX and VYM, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.20
2.65
GQETX
VYM

Dividends

GQETX vs. VYM - Dividend Comparison

GQETX's dividend yield for the trailing twelve months is around 0.86%, less than VYM's 2.77% 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%
VYM
Vanguard High Dividend Yield ETF
2.77%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

GQETX vs. VYM - Drawdown Comparison

The maximum GQETX drawdown since its inception was -39.99%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for GQETX and VYM. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.22%
-1.46%
GQETX
VYM

Volatility

GQETX vs. VYM - Volatility Comparison

The current volatility for GMO Quality Fund (GQETX) is 3.41%, while Vanguard High Dividend Yield ETF (VYM) has a volatility of 3.73%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.41%
3.73%
GQETX
VYM