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GUSTX vs. PRXCX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GUSTXPRXCX
YTD Return2.64%1.89%
1Y Return3.58%8.63%
3Y Return (Ann)2.73%-0.30%
5Y Return (Ann)1.91%1.31%
10Y Return (Ann)1.04%2.40%
Sharpe Ratio2.562.44
Sortino Ratio7.193.69
Omega Ratio3.941.58
Calmar Ratio17.860.97
Martin Ratio60.5712.39
Ulcer Index0.06%0.75%
Daily Std Dev1.40%3.80%
Max Drawdown-0.72%-19.48%
Current Drawdown-0.00%-2.08%

Correlation

-0.50.00.51.00.1

The correlation between GUSTX and PRXCX is 0.06, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

GUSTX vs. PRXCX - Performance Comparison

In the year-to-date period, GUSTX achieves a 2.64% return, which is significantly higher than PRXCX's 1.89% return. Over the past 10 years, GUSTX has underperformed PRXCX with an annualized return of 1.04%, while PRXCX has yielded a comparatively higher 2.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-1.00%0.00%1.00%2.00%3.00%4.00%JuneJulyAugustSeptemberOctoberNovember
0.84%
1.75%
GUSTX
PRXCX

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GUSTX vs. PRXCX - Expense Ratio Comparison

GUSTX has a 0.01% expense ratio, which is lower than PRXCX's 0.53% expense ratio.


PRXCX
T. Rowe Price California Tax Free Bond Fund
Expense ratio chart for PRXCX: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
Expense ratio chart for GUSTX: current value at 0.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.01%

Risk-Adjusted Performance

GUSTX vs. PRXCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) and T. Rowe Price California Tax Free Bond Fund (PRXCX). 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
Sharpe ratio
The chart of Sharpe ratio for GUSTX, currently valued at 2.56, compared to the broader market0.002.004.002.56
Sortino ratio
The chart of Sortino ratio for GUSTX, currently valued at 7.19, compared to the broader market0.005.0010.007.19
Omega ratio
The chart of Omega ratio for GUSTX, currently valued at 3.94, compared to the broader market1.002.003.004.003.94
Calmar ratio
The chart of Calmar ratio for GUSTX, currently valued at 17.86, compared to the broader market0.005.0010.0015.0020.0025.0017.86
Martin ratio
The chart of Martin ratio for GUSTX, currently valued at 60.57, compared to the broader market0.0020.0040.0060.0080.00100.0060.57
PRXCX
Sharpe ratio
The chart of Sharpe ratio for PRXCX, currently valued at 2.44, compared to the broader market0.002.004.002.44
Sortino ratio
The chart of Sortino ratio for PRXCX, currently valued at 3.69, compared to the broader market0.005.0010.003.69
Omega ratio
The chart of Omega ratio for PRXCX, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for PRXCX, currently valued at 0.97, compared to the broader market0.005.0010.0015.0020.0025.000.97
Martin ratio
The chart of Martin ratio for PRXCX, currently valued at 12.39, compared to the broader market0.0020.0040.0060.0080.00100.0012.39

GUSTX vs. PRXCX - Sharpe Ratio Comparison

The current GUSTX Sharpe Ratio is 2.56, which is comparable to the PRXCX Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of GUSTX and PRXCX, 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
2.56
2.44
GUSTX
PRXCX

Dividends

GUSTX vs. PRXCX - Dividend Comparison

GUSTX's dividend yield for the trailing twelve months is around 3.51%, more than PRXCX's 3.24% yield.


TTM20232022202120202019201820172016201520142013
GUSTX
GMO U.S. Treasury Fund
3.51%4.05%1.95%0.08%0.49%1.13%0.00%0.00%0.05%0.04%0.01%0.03%
PRXCX
T. Rowe Price California Tax Free Bond Fund
3.24%3.04%2.83%2.51%2.73%2.93%3.11%3.09%3.34%3.43%3.60%3.95%

Drawdowns

GUSTX vs. PRXCX - Drawdown Comparison

The maximum GUSTX drawdown since its inception was -0.72%, smaller than the maximum PRXCX drawdown of -19.48%. Use the drawdown chart below to compare losses from any high point for GUSTX and PRXCX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.00%
-2.08%
GUSTX
PRXCX

Volatility

GUSTX vs. PRXCX - Volatility Comparison

The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.00%, while T. Rowe Price California Tax Free Bond Fund (PRXCX) has a volatility of 1.76%. This indicates that GUSTX experiences smaller price fluctuations and is considered to be less risky than PRXCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%0.50%1.00%1.50%JuneJulyAugustSeptemberOctoberNovember0
1.76%
GUSTX
PRXCX