GUSTX vs. BND
GUSTX (GMO U.S. Treasury Fund) and BND (Vanguard Total Bond Market ETF) are both funds - GUSTX is a Government Bonds fund managed by GMO, while BND is a Total Bond Market fund tracking the Bloomberg U.S. Aggregate Float Adjusted Index. Over the past 10 years, GUSTX returned -13.75%/yr vs 1.56%/yr for BND. At a 0.05 correlation, their price movements are largely independent. GUSTX charges 0.01%/yr vs 0.03%/yr for BND.
Performance
GUSTX vs. BND - Performance Comparison
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Returns By Period
In the year-to-date period, GUSTX achieves a 1.26% return, which is significantly higher than BND's 0.49% return. Over the past 10 years, GUSTX has underperformed BND with an annualized return of -13.75%, while BND has yielded a comparatively higher 1.56% annualized return.
GUSTX
- 1D
- 0.00%
- 1M
- 0.14%
- YTD
- 1.26%
- 6M
- 1.59%
- 1Y
- 3.69%
- 3Y*
- 3.32%
- 5Y*
- 1.91%
- 10Y*
- -13.75%
BND
- 1D
- 0.11%
- 1M
- 0.64%
- YTD
- 0.49%
- 6M
- 0.57%
- 1Y
- 4.23%
- 3Y*
- 3.96%
- 5Y*
- 0.05%
- 10Y*
- 1.56%
GUSTX vs. BND - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GUSTX GMO U.S. Treasury Fund | 1.26% | 4.45% | 2.21% | 2.52% | -0.73% | -0.06% | 0.89% | 0.14% | -79.59% | 0.43% |
BND Vanguard Total Bond Market ETF | 0.49% | 7.08% | 1.38% | 5.65% | -13.11% | -1.86% | 7.71% | 8.84% | -0.12% | 3.57% |
Correlation
The correlation between GUSTX and BND is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2010 | 0.05 |
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Return for Risk
GUSTX vs. BND — Risk / Return Rank
GUSTX
BND
GUSTX vs. BND - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) and Vanguard Total Bond Market ETF (BND). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| GUSTX | BND | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.98 | ||
| Sortino ratioReturn per unit of downside risk | +7.60 | ||
| Omega ratioGain probability vs. loss probability | 5.56 | 1.20 | +4.36 |
| Calmar ratioReturn relative to maximum drawdown | 19.28 | 1.59 | +17.70 |
| Martin ratioReturn relative to average drawdown | 53.96 | 4.52 | +49.45 |
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Drawdowns
GUSTX vs. BND - Drawdown Comparison
The maximum GUSTX drawdown since its inception was -79.98%, which is greater than BND's maximum drawdown of -18.58%. Use the drawdown chart below to compare losses from any high point for GUSTX and BND.
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Drawdown Indicators
| GUSTX | BND | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.98% | -18.58% | -61.40% |
Max Drawdown (1Y)Largest decline over 1 year | -0.20% | -2.68% | +2.48% |
Max Drawdown (3Y)Largest decline over 3 years | -1.19% | -5.92% | +4.73% |
Max Drawdown (5Y)Largest decline over 5 years | -1.19% | -17.91% | +16.72% |
Max Drawdown (10Y)Largest decline over 10 years | -79.98% | -18.58% | -61.40% |
Current DrawdownCurrent decline from peak | -77.72% | -2.15% | -75.57% |
Average DrawdownAverage peak-to-trough decline | -36.16% | -3.06% | -33.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.07% | 0.94% | -0.87% |
Volatility
GUSTX vs. BND - Volatility Comparison
The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.49%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.08%. This indicates that GUSTX experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GUSTX | BND | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.49% | 1.08% | -0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 0.89% | 2.77% | -1.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.24% | 3.74% | -2.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.76% | 6.03% | -4.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.46% | 5.53% | +19.93% |
GUSTX vs. BND - Expense Ratio Comparison
GUSTX has a 0.01% expense ratio, which is lower than BND's 0.03% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GUSTX vs. BND - Dividend Comparison
GUSTX's dividend yield for the trailing twelve months is around 3.83%, less than BND's 3.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 3.96% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
GUSTX GMO U.S. Treasury Fund | 3.83% | 4.15% | 1.98% | 2.28% | 0.26% | 0.14% | 0.09% | 0.14% | 8.96% | 0.50% | 0.05% | 0.04% |
Frequently Asked Questions
GUSTX and BND have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BND has higher volatility (1.08%) compared to GUSTX (0.49%). In terms of maximum drawdown, GUSTX dropped -79.98% vs BND's -18.58%.
GUSTX currently has the higher Sharpe Ratio (3.11 vs 1.14), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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