GUSTX vs. PRXCX

Last updated Jun 3, 2026

GUSTX (GMO U.S. Treasury Fund) and PRXCX (T. Rowe Price California Tax Free Bond Fund) are both mutual funds - GUSTX is a Government Bonds fund managed by GMO, while PRXCX is a Municipal Bonds fund managed by T. Rowe Price. Over the past 10 years, GUSTX returned -13.74%/yr vs 2.35%/yr for PRXCX. At a 0.09 correlation, their price movements are largely independent. GUSTX charges 0.01%/yr vs 0.53%/yr for PRXCX.

Performance

GUSTX vs. PRXCX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Treasury Fund (GUSTX) and T. Rowe Price California Tax Free Bond Fund (PRXCX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GUSTX achieves a 1.46% return, which is significantly lower than PRXCX's 2.04% return. Over the past 10 years, GUSTX has underperformed PRXCX with an annualized return of -13.74%, while PRXCX has yielded a comparatively higher 2.35% annualized return.

GUSTX

• 1D: 0.00%
• 1M: 0.34%
• YTD: 1.46%
• 6M: 1.79%
• 1Y: 3.90%
• 3Y*: 3.18%
• 5Y*: 1.95%
• 10Y*: -13.74%

PRXCX

• 1D: -0.09%
• 1M: 0.88%
• YTD: 2.04%
• 6M: 2.59%
• 1Y: 9.18%
• 3Y*: 4.80%
• 5Y*: 1.48%
• 10Y*: 2.35%

*Multi-year figures are annualized to reflect compound growth (CAGR)

GUSTX vs. PRXCX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GUSTX GMO U.S. Treasury Fund	1.46%	4.45%	2.21%	2.52%	-0.73%	-0.06%	0.89%	0.14%	-79.59%	0.43%
PRXCX T. Rowe Price California Tax Free Bond Fund	2.04%	3.99%	3.62%	7.64%	-9.93%	2.68%	4.39%	7.31%	0.75%	5.54%

Correlation

The correlation between GUSTX and PRXCX is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.23
Correlation (3Y) Calculated over the trailing 3-year period	0.09
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (10Y) Calculated over the trailing 10-year period	0.11
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	0.09

The correlation between GUSTX and PRXCX shifts across timeframes, from 0.09 (all time) to 0.23 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GUSTX vs. PRXCX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GUSTX

GUSTX Risk / Return Rank: 99
GUSTX Sharpe Ratio Rank: 95
GUSTX Sortino Ratio Rank: 99
GUSTX Omega Ratio Rank: 100
GUSTX Calmar Ratio Rank: 100
GUSTX Martin Ratio Rank: 99

PRXCX

PRXCX Risk / Return Rank: 76
PRXCX Sharpe Ratio Rank: 85
PRXCX Sortino Ratio Rank: 91
PRXCX Omega Ratio Rank: 93
PRXCX Calmar Ratio Rank: 56
PRXCX Martin Ratio Rank: 53

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GUSTX vs. PRXCX - Risk-Adjusted Trends 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	PRXCX	Difference
Sharpe ratio Return per unit of total volatility	3.34	2.76	+0.58
Sortino ratio Return per unit of downside risk	11.33	4.48	+6.85
Omega ratio Gain probability vs. loss probability	7.41	1.71	+5.71
Calmar ratio Return relative to maximum drawdown	21.48	2.90	+18.58
Martin ratio Return relative to average drawdown	62.37	10.77	+51.60
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GUSTX vs. PRXCX - Sharpe Ratio Comparison

The current GUSTX Sharpe Ratio is 3.34, which is comparable to the PRXCX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of GUSTX and PRXCX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GUSTX	PRXCX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.34	2.76	+0.58
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.14	0.34	+0.80
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.54	0.57	-1.11
Sharpe Ratio (All Time) Calculated using the full available price history	-0.44	1.09	-1.53

Drawdowns

GUSTX vs. PRXCX - Drawdown Comparison

The maximum GUSTX drawdown since its inception was -79.98%, which is greater than PRXCX's maximum drawdown of -21.67%. Use the drawdown chart below to compare losses from any high point for GUSTX and PRXCX.

Drawdown Indicators

	GUSTX	PRXCX	Difference
Max Drawdown Largest peak-to-trough decline	-79.98%	-21.67%	-58.31%
Max Drawdown (1Y) Largest decline over 1 year	-0.20%	-3.02%	+2.82%
Max Drawdown (3Y) Largest decline over 3 years	-1.19%	-6.68%	+5.49%
Max Drawdown (5Y) Largest decline over 5 years	-1.19%	-15.41%	+14.22%
Max Drawdown (10Y) Largest decline over 10 years	-79.98%	-15.41%	-64.57%
Current Drawdown Current decline from peak	-77.68%	-0.09%	-77.59%
Average Drawdown Average peak-to-trough decline	-36.03%	-2.78%	-33.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.07%	0.81%	-0.74%

Volatility

GUSTX vs. PRXCX - Volatility Comparison

The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.34%, while T. Rowe Price California Tax Free Bond Fund (PRXCX) has a volatility of 1.34%. 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.

Volatility by Period

	GUSTX	PRXCX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.34%	1.34%	-1.00%
Volatility (6M) Calculated over the trailing 6-month period	0.87%	2.40%	-1.53%
Volatility (1Y) Calculated over the trailing 1-year period	1.22%	3.23%	-2.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.75%	4.41%	-2.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.45%	4.14%	+21.31%

GUSTX vs. PRXCX - Expense Ratio Comparison

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

Dividends

GUSTX vs. PRXCX - Dividend Comparison

GUSTX's dividend yield for the trailing twelve months is around 3.82%, less than PRXCX's 4.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GUSTX GMO U.S. Treasury Fund	3.82%	4.15%	1.98%	2.28%	0.26%	0.14%	0.09%	0.14%	8.96%	0.50%	0.05%	0.04%
PRXCX T. Rowe Price California Tax Free Bond Fund	4.92%	4.58%	4.10%	3.50%	2.21%	2.82%	2.80%	2.94%	3.11%	3.09%	3.33%	3.42%

Frequently Asked Questions

Can I hold both GUSTX and PRXCX in my portfolio?

GUSTX and PRXCX have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GUSTX or PRXCX?

PRXCX has higher volatility (1.34%) compared to GUSTX (0.34%). In terms of maximum drawdown, GUSTX dropped -79.98% vs PRXCX's -21.67%.

Which has better risk-adjusted returns?

GUSTX currently has the higher Sharpe Ratio (3.34 vs 2.76), 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.