GUSTX vs. GAAVX
GUSTX (GMO U.S. Treasury Fund) and GAAVX (GMO Alternative Allocation Fund) are both mutual funds - GUSTX is a Government Bonds fund managed by GMO, while GAAVX is a Multistrategy fund managed by GMO. Over the past 5 years, GUSTX returned 1.91%/yr vs 2.85%/yr for GAAVX. At a correlation of -0.00, they often move in opposite directions. GUSTX charges 0.01%/yr vs 0.61%/yr for GAAVX.
Performance
GUSTX vs. GAAVX - Performance Comparison
Loading charts...
Returns By Period
As of year-to-date, both investments have demonstrated similar returns, with GUSTX at 1.26% and GAAVX at 1.26%.
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%
GAAVX
- 1D
- -0.11%
- 1M
- -1.07%
- YTD
- 1.26%
- 6M
- 1.33%
- 1Y
- 13.31%
- 3Y*
- 5.31%
- 5Y*
- 2.85%
- 10Y*
- —
GUSTX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
GUSTX GMO U.S. Treasury Fund | 1.26% | 4.45% | 2.21% | 2.52% | -0.73% | -0.06% | 0.89% | 0.14% |
GAAVX GMO Alternative Allocation Fund | 1.26% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Correlation
The correlation between GUSTX and GAAVX is -0.05, 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 | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since May 9, 2019 | -0.00 |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
GUSTX vs. GAAVX — Risk / Return Rank
GUSTX
GAAVX
GUSTX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) and GMO Alternative Allocation Fund (GAAVX). 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 | GAAVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.07 | ||
| Sortino ratioReturn per unit of downside risk | +5.96 | ||
| Omega ratioGain probability vs. loss probability | 5.56 | 1.39 | +4.17 |
| Calmar ratioReturn relative to maximum drawdown | 19.28 | 4.03 | +15.25 |
| Martin ratioReturn relative to average drawdown | 52.30 | 10.27 | +42.03 |
Loading charts...
Drawdowns
GUSTX vs. GAAVX - Drawdown Comparison
The maximum GUSTX drawdown since its inception was -79.98%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for GUSTX and GAAVX.
Loading charts...
Drawdown Indicators
| GUSTX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.98% | -9.59% | -70.39% |
Max Drawdown (1Y)Largest decline over 1 year | -0.20% | -3.39% | +3.19% |
Max Drawdown (3Y)Largest decline over 3 years | -1.19% | -7.73% | +6.54% |
Max Drawdown (5Y)Largest decline over 5 years | -1.19% | -7.73% | +6.54% |
Max Drawdown (10Y)Largest decline over 10 years | -79.98% | — | — |
Current DrawdownCurrent decline from peak | -77.72% | -3.18% | -74.54% |
Average DrawdownAverage peak-to-trough decline | -36.18% | -3.07% | -33.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.07% | 1.33% | -1.26% |
Volatility
GUSTX vs. GAAVX - Volatility Comparison
The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.49%, while GMO Alternative Allocation Fund (GAAVX) has a volatility of 2.22%. This indicates that GUSTX experiences smaller price fluctuations and is considered to be less risky than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| GUSTX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.49% | 2.22% | -1.73% |
Volatility (6M)Calculated over the trailing 6-month period | 0.89% | 5.08% | -4.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.24% | 6.69% | -5.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.76% | 5.91% | -4.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.45% | 5.92% | +19.53% |
GUSTX vs. GAAVX - Expense Ratio Comparison
GUSTX has a 0.01% expense ratio, which is lower than GAAVX's 0.61% expense ratio.
Dividends
GUSTX vs. GAAVX - Dividend Comparison
GUSTX's dividend yield for the trailing twelve months is around 3.83%, less than GAAVX's 8.67% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GAAVX GMO Alternative Allocation Fund | 8.67% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% | 0.00% | 0.00% |
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 GAAVX have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GAAVX has higher volatility (2.22%) compared to GUSTX (0.49%). In terms of maximum drawdown, GUSTX dropped -79.98% vs GAAVX's -9.59%.
GUSTX currently has the higher Sharpe Ratio (3.11 vs 2.05), 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.
Find the right allocation for GUSTX and GAAVX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer