HLGAX vs. GUSTX

Last updated Jun 3, 2026

HLGAX (JPMorgan Government Bond Fund) and GUSTX (GMO U.S. Treasury Fund) are both Government Bonds funds. Over the past 10 years, HLGAX returned 1.13%/yr vs -13.74%/yr for GUSTX. At a 0.06 correlation, their price movements are largely independent. HLGAX charges 0.47%/yr vs 0.01%/yr for GUSTX.

Performance

HLGAX vs. GUSTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Government Bond Fund (HLGAX) and GMO U.S. Treasury Fund (GUSTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HLGAX achieves a -0.28% return, which is significantly lower than GUSTX's 1.46% return. Over the past 10 years, HLGAX has outperformed GUSTX with an annualized return of 1.13%, while GUSTX has yielded a comparatively lower -13.74% annualized return.

HLGAX

• 1D: -0.21%
• 1M: -0.21%
• YTD: -0.28%
• 6M: -0.29%
• 1Y: 4.33%
• 3Y*: 3.32%
• 5Y*: -0.19%
• 10Y*: 1.13%

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%

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

HLGAX vs. GUSTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HLGAX JPMorgan Government Bond Fund	-0.28%	6.70%	1.26%	4.38%	-11.85%	-2.12%	6.95%	6.58%	0.84%	2.36%
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%

Correlation

The correlation between HLGAX and GUSTX is 0.09, 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	0.09
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	0.04
Correlation (10Y) Calculated over the trailing 10-year period	0.07
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	0.06

Return for Risk

HLGAX vs. GUSTX — Risk / Return Rank

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

HLGAX

HLGAX Risk / Return Rank: 14
HLGAX Sharpe Ratio Rank: 14
HLGAX Sortino Ratio Rank: 15
HLGAX Omega Ratio Rank: 13
HLGAX Calmar Ratio Rank: 13
HLGAX Martin Ratio Rank: 13

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

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.

HLGAX vs. GUSTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Government Bond Fund (HLGAX) and GMO U.S. Treasury Fund (GUSTX). 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.

	HLGAX	GUSTX	Difference
Sharpe ratio Return per unit of total volatility	1.06	3.34	-2.28
Sortino ratio Return per unit of downside risk	1.59	11.33	-9.74
Omega ratio Gain probability vs. loss probability	1.19	7.41	-6.22
Calmar ratio Return relative to maximum drawdown	1.27	21.48	-20.21
Martin ratio Return relative to average drawdown	3.97	62.37	-58.40
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

HLGAX vs. GUSTX - Sharpe Ratio Comparison

The current HLGAX Sharpe Ratio is 1.06, which is lower than the GUSTX Sharpe Ratio of 3.34. The chart below compares the historical Sharpe Ratios of HLGAX and GUSTX, 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

	HLGAX	GUSTX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.06	3.34	-2.28
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.03	1.14	-1.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.25	-0.54	+0.79
Sharpe Ratio (All Time) Calculated using the full available price history	0.87	-0.44	+1.30

Drawdowns

HLGAX vs. GUSTX - Drawdown Comparison

The maximum HLGAX drawdown since its inception was -17.41%, smaller than the maximum GUSTX drawdown of -79.98%. Use the drawdown chart below to compare losses from any high point for HLGAX and GUSTX.

Drawdown Indicators

	HLGAX	GUSTX	Difference
Max Drawdown Largest peak-to-trough decline	-17.41%	-79.98%	+62.57%
Max Drawdown (1Y) Largest decline over 1 year	-3.32%	-0.20%	-3.12%
Max Drawdown (3Y) Largest decline over 3 years	-5.89%	-1.19%	-4.70%
Max Drawdown (5Y) Largest decline over 5 years	-16.46%	-1.19%	-15.27%
Max Drawdown (10Y) Largest decline over 10 years	-17.41%	-79.98%	+62.57%
Current Drawdown Current decline from peak	-3.73%	-77.68%	+73.95%
Average Drawdown Average peak-to-trough decline	-2.54%	-36.03%	+33.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.06%	0.07%	+0.99%

Volatility

HLGAX vs. GUSTX - Volatility Comparison

JPMorgan Government Bond Fund (HLGAX) has a higher volatility of 1.33% compared to GMO U.S. Treasury Fund (GUSTX) at 0.34%. This indicates that HLGAX's price experiences larger fluctuations and is considered to be riskier than GUSTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HLGAX	GUSTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.33%	0.34%	+0.99%
Volatility (6M) Calculated over the trailing 6-month period	2.73%	0.87%	+1.86%
Volatility (1Y) Calculated over the trailing 1-year period	3.79%	1.22%	+2.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.57%	1.75%	+3.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.57%	25.45%	-20.88%

HLGAX vs. GUSTX - Expense Ratio Comparison

HLGAX has a 0.47% expense ratio, which is higher than GUSTX's 0.01% expense ratio.

Dividends

HLGAX vs. GUSTX - Dividend Comparison

HLGAX's dividend yield for the trailing twelve months is around 3.12%, less than GUSTX's 3.82% 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%
HLGAX JPMorgan Government Bond Fund	3.12%	2.91%	2.86%	2.56%	2.12%	1.49%	1.80%	2.36%	2.45%	2.44%	2.78%	3.99%

Frequently Asked Questions

Can I hold both HLGAX and GUSTX in my portfolio?

HLGAX and GUSTX have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HLGAX or GUSTX?

HLGAX has higher volatility (1.33%) compared to GUSTX (0.34%). In terms of maximum drawdown, HLGAX dropped -17.41% vs GUSTX's -79.98%.

Which has better risk-adjusted returns?

GUSTX currently has the higher Sharpe Ratio (3.34 vs 1.06), 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.