MGF vs. GUSTX
MGF (MFS Government Markets Income Trust) and GUSTX (GMO U.S. Treasury Fund) are both Government Bonds funds. Over the past 10 years, MGF returned 1.11%/yr vs -13.73%/yr for GUSTX. Their 0.04 correlation means their historical movements had little consistent relationship. MGF charges 0.02%/yr vs 0.01%/yr for GUSTX.
Performance
MGF vs. GUSTX - Performance Comparison
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Returns By Period
In the year-to-date period, MGF achieves a -2.79% return, which is significantly lower than GUSTX's 1.59% return. Over the past 10 years, MGF has outperformed GUSTX with an annualized return of 1.11%, while GUSTX has yielded a comparatively lower -13.73% annualized return.
MGF
- 1D
- 0.00%
- 1M
- -1.39%
- 6M
- -3.88%
- YTD
- -2.79%
- 1Y
- -1.49%
- 3Y*
- 3.13%
- 5Y*
- -1.39%
- 10Y*
- 1.11%
- ALL TIME*
- 2.22%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $174.87K | $200.97K | $288.87K |
MGF vs. GUSTX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MGF MFS Government Markets Income Trust | -2.79% | 6.24% | 4.17% | 3.78% | -15.81% | -0.22% | 7.80% | 10.32% | 1.33% | 2.62% |
GUSTX GMO U.S. Treasury Fund | 1.59% | 4.45% | 2.21% | 2.52% | -0.73% | -0.06% | 0.89% | 0.14% | -79.59% | 0.43% |
Correlation
The correlation between MGF and GUSTX is 0.10, 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. | 0.10 |
Correlation (3Y) Balances recent behavior with more history. | 0.08 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.08 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.06 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2010 | 0.04 |
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Return for Risk
MGF vs. GUSTX — Risk / Return Rank
MGF
GUSTX
MGF vs. GUSTX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS Government Markets Income Trust (MGF) 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.
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.
| MGF | GUSTX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.14 | ||
| Sortino ratioReturn per unit of downside risk | -8.37 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 4.63 | -3.64 |
| Calmar ratioReturn relative to maximum drawdown | -0.19 | 19.21 | -19.40 |
| Martin ratioReturn relative to average drawdown | -0.36 | 50.60 | -50.96 |
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Drawdowns
MGF vs. GUSTX - Drawdown Comparison
The maximum MGF drawdown since its inception was -35.74%, smaller than the maximum GUSTX drawdown of -79.98%. Use the drawdown chart below to compare losses from any high point for MGF and GUSTX.
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Drawdown Indicators
| MGF | GUSTX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.74% | -79.98% | +44.24% |
Max Drawdown (1Y)Largest decline over 1 year | -6.13% | -0.20% | -5.93% |
Max Drawdown (3Y)Largest decline over 3 years | -8.69% | -1.19% | -7.50% |
Max Drawdown (5Y)Largest decline over 5 years | -22.88% | -1.19% | -21.69% |
Max Drawdown (10Y)Largest decline over 10 years | -22.88% | -79.98% | +57.10% |
Current DrawdownCurrent decline from peak | -7.49% | -77.65% | +70.16% |
Average DrawdownAverage peak-to-trough decline | -10.86% | -36.43% | +25.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 0.07% | +3.19% |
Volatility
MGF vs. GUSTX - Volatility Comparison
MFS Government Markets Income Trust (MGF) has a higher volatility of 2.50% compared to GMO U.S. Treasury Fund (GUSTX) at 0.00%. This indicates that MGF'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.
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Volatility by Period
| MGF | GUSTX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.50% | 0.00% | +2.50% |
Volatility (6M)Calculated over the trailing 6-month period | 8.39% | 0.94% | +7.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.48% | 1.27% | +9.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.40% | 1.74% | +9.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.23% | 25.45% | -15.22% |
MGF vs. GUSTX - Expense Ratio Comparison
MGF has a 0.02% expense ratio, which is higher than GUSTX's 0.01% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
MGF vs. GUSTX - Dividend Comparison
MGF's dividend yield for the trailing twelve months is around 8.17%, more than GUSTX's 3.46% 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% |
MGF MFS Government Markets Income Trust | 8.17% | 7.65% | 7.81% | 7.82% | 8.45% | 7.71% | 7.58% | 7.50% | 7.81% | 7.92% | 8.09% | 8.05% |
Frequently Asked Questions
MGF and GUSTX have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MGF has higher volatility (2.50%) compared to GUSTX (0.00%). In terms of maximum drawdown, MGF dropped -35.74% vs GUSTX's -79.98%.
GUSTX currently has the higher Sharpe Ratio (3.03 vs -0.11), 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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