GUSTX vs. GMGEX
Compare and contrast key facts about GMO U.S. Treasury Fund (GUSTX) and GMO Global Equity Allocation Fund (GMGEX).
GUSTX is managed by GMO. It was launched on Mar 16, 2009. GMGEX is managed by GMO. It was launched on Nov 25, 1996.
Performance
GUSTX vs. GMGEX - Performance Comparison
Loading graphics...
GUSTX vs. GMGEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GUSTX GMO U.S. Treasury Fund | 0.51% | 4.45% | 2.21% | 2.52% | -0.73% | -0.06% | 0.89% | 0.14% | -79.59% | 0.43% |
GMGEX GMO Global Equity Allocation Fund | 3.72% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 26.39% |
Returns By Period
In the year-to-date period, GUSTX achieves a 0.51% return, which is significantly lower than GMGEX's 3.72% return. Over the past 10 years, GUSTX has underperformed GMGEX with an annualized return of -13.82%, while GMGEX has yielded a comparatively higher 9.93% annualized return.
GUSTX
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 0.51%
- 6M
- 1.51%
- 1Y
- 3.69%
- 3Y*
- 3.15%
- 5Y*
- 1.76%
- 10Y*
- -13.82%
GMGEX
- 1D
- 2.68%
- 1M
- -5.76%
- YTD
- 3.72%
- 6M
- 10.13%
- 1Y
- 30.15%
- 3Y*
- 16.98%
- 5Y*
- 8.06%
- 10Y*
- 9.93%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
GUSTX vs. GMGEX - Expense Ratio Comparison
Both GUSTX and GMGEX have an expense ratio of 0.01%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Return for Risk
GUSTX vs. GMGEX — Risk / Return Rank
GUSTX
GMGEX
GUSTX vs. GMGEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) and GMO Global Equity Allocation Fund (GMGEX). 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.
| GUSTX | GMGEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.18 | 1.94 | +1.24 |
Sortino ratioReturn per unit of downside risk | 10.74 | 2.63 | +8.12 |
Omega ratioGain probability vs. loss probability | 7.08 | 1.39 | +5.68 |
Calmar ratioReturn relative to maximum drawdown | 20.50 | 2.59 | +17.91 |
Martin ratioReturn relative to average drawdown | 58.55 | 11.30 | +47.25 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| GUSTX | GMGEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.18 | 1.94 | +1.24 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.03 | 0.55 | +0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.55 | 0.62 | -1.17 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.44 | 0.22 | -0.66 |
Correlation
The correlation between GUSTX and GMGEX is -0.02. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
GUSTX vs. GMGEX - Dividend Comparison
GUSTX's dividend yield for the trailing twelve months is around 3.62%, less than GMGEX's 4.52% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GUSTX GMO U.S. Treasury Fund | 3.62% | 4.15% | 1.98% | 2.28% | 0.26% | 0.14% | 0.09% | 0.14% | 8.96% | 0.50% | 0.05% | 0.04% |
GMGEX GMO Global Equity Allocation Fund | 4.52% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
Drawdowns
GUSTX vs. GMGEX - Drawdown Comparison
The maximum GUSTX drawdown since its inception was -79.98%, which is greater than GMGEX's maximum drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for GUSTX and GMGEX.
Loading graphics...
Drawdown Indicators
| GUSTX | GMGEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.98% | -58.47% | -21.51% |
Max Drawdown (1Y)Largest decline over 1 year | -0.20% | -11.62% | +11.42% |
Max Drawdown (5Y)Largest decline over 5 years | -1.19% | -28.58% | +27.39% |
Max Drawdown (10Y)Largest decline over 10 years | -79.98% | -34.98% | -45.00% |
Current DrawdownCurrent decline from peak | -77.89% | -6.81% | -71.08% |
Average DrawdownAverage peak-to-trough decline | -35.61% | -16.84% | -18.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.07% | 2.66% | -2.59% |
Volatility
GUSTX vs. GMGEX - Volatility Comparison
The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.29%, while GMO Global Equity Allocation Fund (GMGEX) has a volatility of 6.09%. This indicates that GUSTX experiences smaller price fluctuations and is considered to be less risky than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading graphics...
Volatility by Period
| GUSTX | GMGEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.29% | 6.09% | -5.80% |
Volatility (6M)Calculated over the trailing 6-month period | 0.83% | 9.78% | -8.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.27% | 15.72% | -14.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.73% | 14.74% | -13.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.44% | 16.02% | +9.42% |