GUSTX vs. SGOV
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 1.97%/yr vs 3.66%/yr for SGOV. Their 0.00 correlation means their historical movements had little consistent relationship. GUSTX charges 0.01%/yr vs 0.09%/yr for SGOV.
Performance
GUSTX vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, GUSTX achieves a 1.59% return, which is significantly lower than SGOV's 2.13% return.
GUSTX
- 1D
- 0.00%
- 1M
- 0.00%
- 6M
- 1.34%
- YTD
- 1.59%
- 1Y
- 3.31%
- 3Y*
- 2.99%
- 5Y*
- 1.97%
- 10Y*
- -13.73%
- ALL TIME*
- -8.52%
SGOV
- 1D
- 0.02%
- 1M
- 0.29%
- 6M
- 1.82%
- YTD
- 2.13%
- 1Y
- 3.85%
- 3Y*
- 4.62%
- 5Y*
- 3.66%
- 10Y*
- —
- ALL TIME*
- 2.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $1.99B | $1.87B | $2.06B |
GUSTX vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
GUSTX GMO U.S. Treasury Fund | 1.59% | 4.45% | 2.21% | 2.52% | -0.73% | -0.06% | 0.09% |
SGOV iShares 0-3 Month Treasury Bond ETF | 2.13% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between GUSTX and SGOV is 0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.05 |
Correlation (3Y) Balances recent behavior with more history. | -0.01 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.00 |
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Return for Risk
GUSTX vs. SGOV — Risk / Return Rank
GUSTX
SGOV
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.
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 | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -17.94 | ||
| Sortino ratioReturn per unit of downside risk | -372.78 | ||
| Omega ratioGain probability vs. loss probability | 4.27 | 380.49 | -376.21 |
| Calmar ratioReturn relative to maximum drawdown | 17.28 | 388.26 | -370.99 |
| Martin ratioReturn relative to average drawdown | 45.50 | 6,151.27 | -6,105.77 |
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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.
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Drawdown Indicators
| GUSTX | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -77.65% | 0.00% | -77.65% |
Average DrawdownAverage peak-to-trough decline | -36.44% | 0.00% | -36.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.07% | 0.00% | +0.07% |
Volatility
GUSTX vs. SGOV - Volatility Comparison
The current volatility for GMO U.S. Treasury Fund (GUSTX) is 0.00%, while iShares 0-3 Month Treasury Bond ETF (SGOV) has a volatility of 0.04%. This indicates that GUSTX experiences smaller price fluctuations and is considered to be less risky than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GUSTX | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.00% | 0.04% | -0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 0.94% | 0.13% | +0.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.27% | 0.19% | +1.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.74% | 0.24% | +1.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.45% | 0.23% | +25.22% |
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 3.46%, less than SGOV's 3.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GUSTX GMO U.S. Treasury Fund | 3.46% | 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 | 3.75% | 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
GUSTX and SGOV 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.
SGOV has higher volatility (0.04%) compared to GUSTX (0.00%). In terms of maximum drawdown, GUSTX dropped -79.98% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.78 vs 2.84), 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.
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