GUSTX vs. SGOV

Last updated Jun 3, 2026

GUSTX (GMO U.S. Treasury Fund) and SGOV (iShares 0-3 Month Treasury Bond ETF) are both funds - GUSTX is a Government Bonds fund managed by GMO, while SGOV is a Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, GUSTX returned 1.95%/yr vs 3.53%/yr for SGOV. At a 0.00 correlation, their price movements are largely independent. GUSTX charges 0.01%/yr vs 0.09%/yr for SGOV.

Performance

GUSTX vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO U.S. Treasury Fund (GUSTX) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with GUSTX having a 1.46% return and SGOV slightly higher at 1.50%.

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%

SGOV

• 1D: 0.00%
• 1M: 0.29%
• YTD: 1.50%
• 6M: 1.80%
• 1Y: 3.95%
• 3Y*: 4.72%
• 5Y*: 3.53%
• 10Y*: —

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

GUSTX vs. SGOV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
GUSTX GMO U.S. Treasury Fund	1.46%	4.45%	2.21%	2.52%	-0.73%	-0.06%	0.09%
SGOV iShares 0-3 Month Treasury Bond ETF	1.50%	4.24%	5.27%	5.12%	1.58%	0.04%	0.05%

Correlation

The correlation between GUSTX and SGOV is 0.01, 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	0.01
Correlation (3Y) Calculated over the trailing 3-year period	-0.02
Correlation (5Y) Calculated over the trailing 5-year period	-0.00
Correlation (All Time) Calculated using the full available price history since May 29, 2020	0.00

Return for Risk

GUSTX vs. SGOV — 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

SGOV

SGOV Risk / Return Rank: 100
SGOV Sharpe Ratio Rank: 100
SGOV Sortino Ratio Rank: 100
SGOV Omega Ratio Rank: 100
SGOV Calmar Ratio Rank: 100
SGOV Martin Ratio Rank: 100

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. SGOV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO U.S. Treasury Fund (GUSTX) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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	SGOV	Difference
Sharpe ratio Return per unit of total volatility	3.34	20.28	-16.94
Sortino ratio Return per unit of downside risk	11.33	275.69	-264.36
Omega ratio Gain probability vs. loss probability	7.41	195.55	-188.14
Calmar ratio Return relative to maximum drawdown	21.48	399.50	-378.02
Martin ratio Return relative to average drawdown	62.37	4,485.48	-4,423.11
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. SGOV - Sharpe Ratio Comparison

The current GUSTX Sharpe Ratio is 3.34, which is lower than the SGOV Sharpe Ratio of 20.28. The chart below compares the historical Sharpe Ratios of GUSTX and SGOV, 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	SGOV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.34	20.28	-16.94
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.14	14.72	-13.58
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.54	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.44	12.48	-12.92

Drawdowns

GUSTX vs. SGOV - Drawdown Comparison

The maximum GUSTX drawdown since its inception was -79.98%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for GUSTX and SGOV.

Drawdown Indicators

	GUSTX	SGOV	Difference
Max Drawdown Largest peak-to-trough decline	-79.98%	-0.03%	-79.95%
Max Drawdown (1Y) Largest decline over 1 year	-0.20%	-0.01%	-0.19%
Max Drawdown (3Y) Largest decline over 3 years	-1.19%	-0.01%	-1.18%
Max Drawdown (5Y) Largest decline over 5 years	-1.19%	-0.03%	-1.16%
Max Drawdown (10Y) Largest decline over 10 years	-79.98%	—	—
Current Drawdown Current decline from peak	-77.68%	0.00%	-77.68%
Average Drawdown Average peak-to-trough decline	-36.03%	-0.00%	-36.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.07%	0.00%	+0.07%

Volatility

GUSTX vs. SGOV - Volatility Comparison

GMO U.S. Treasury Fund (GUSTX) has a higher volatility of 0.34% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. This indicates that GUSTX's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GUSTX	SGOV	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.34%	0.05%	+0.29%
Volatility (6M) Calculated over the trailing 6-month period	0.87%	0.13%	+0.74%
Volatility (1Y) Calculated over the trailing 1-year period	1.22%	0.20%	+1.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.75%	0.24%	+1.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	25.45%	0.24%	+25.21%

GUSTX vs. SGOV - Expense Ratio Comparison

GUSTX has a 0.01% expense ratio, which is lower than SGOV's 0.09% 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. SGOV - Dividend Comparison

GUSTX's dividend yield for the trailing twelve months is around 3.82%, less than SGOV's 3.86% 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%
SGOV iShares 0-3 Month Treasury Bond ETF	3.86%	4.10%	5.10%	4.87%	1.45%	0.03%	0.05%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GUSTX and SGOV in my portfolio?

GUSTX and SGOV have a correlation of 0.01, 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 SGOV?

GUSTX has higher volatility (0.34%) compared to SGOV (0.05%). In terms of maximum drawdown, GUSTX dropped -79.98% vs SGOV's -0.03%.

Which has better risk-adjusted returns?

SGOV currently has the higher Sharpe Ratio (20.28 vs 3.34), 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.