MXGMX vs. GUSTX

Last updated Jun 23, 2026

MXGMX (Great-West U.S. Government Securities Fund) and GUSTX (GMO U.S. Treasury Fund) are both Government Bonds funds. Over the past 10 years, MXGMX returned 0.75%/yr vs -13.75%/yr for GUSTX. At a 0.07 correlation, their price movements are largely independent. MXGMX charges 0.60%/yr vs 0.01%/yr for GUSTX.

Performance

MXGMX vs. GUSTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Great-West U.S. Government Securities Fund (MXGMX) 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, MXGMX achieves a 0.27% return, which is significantly lower than GUSTX's 1.26% return. Over the past 10 years, MXGMX has outperformed GUSTX with an annualized return of 0.75%, while GUSTX has yielded a comparatively lower -13.75% annualized return.

MXGMX

• 1D: 0.18%
• 1M: 0.72%
• YTD: 0.27%
• 6M: 0.30%
• 1Y: 3.98%
• 3Y*: 3.29%
• 5Y*: -0.31%
• 10Y*: 0.75%

GUSTX

• 1D: 0.00%
• 1M: 0.14%
• YTD: 1.26%
• 6M: 1.59%
• 1Y: 3.69%
• 3Y*: 3.04%
• 5Y*: 1.91%
• 10Y*: -13.75%

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

MXGMX vs. GUSTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MXGMX Great-West U.S. Government Securities Fund	0.27%	6.60%	0.75%	4.44%	-12.09%	-2.15%	5.87%	6.12%	0.63%	1.59%
GUSTX GMO U.S. Treasury Fund	1.26%	4.45%	2.21%	2.52%	-0.73%	-0.06%	0.89%	0.14%	-79.59%	0.43%

Correlation

The correlation between MXGMX and GUSTX is 0.07, 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	0.07
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 4, 2010	0.07

Return for Risk

MXGMX vs. GUSTX — Risk / Return Rank

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

MXGMX

MXGMX Risk / Return Rank: 16
MXGMX Sharpe Ratio Rank: 17
MXGMX Sortino Ratio Rank: 17
MXGMX Omega Ratio Rank: 17
MXGMX Calmar Ratio Rank: 16
MXGMX Martin Ratio Rank: 15

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.

MXGMX vs. GUSTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Great-West U.S. Government Securities Fund (MXGMX) 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.

	MXGMX	GUSTX	Difference
Sharpe ratio: Return per unit of total volatility	1.08	3.11	-2.03
Sortino ratio: Return per unit of downside risk	1.62	9.30	-7.68
Omega ratio: Gain probability vs. loss probability	1.20	5.56	-4.36
Calmar ratio: Return relative to maximum drawdown	1.34	19.28	-17.94
Martin ratio: Return relative to average drawdown	3.80	54.86	-51.06

MXGMX vs. GUSTX - Sharpe Ratio Comparison

The current MXGMX Sharpe Ratio is 1.08, which is lower than the GUSTX Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of MXGMX 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.

Drawdowns

MXGMX vs. GUSTX - Drawdown Comparison

The maximum MXGMX drawdown since its inception was -18.63%, smaller than the maximum GUSTX drawdown of -79.98%. Use the drawdown chart below to compare losses from any high point for MXGMX and GUSTX.

Drawdown Indicators

	MXGMX	GUSTX	Difference
Max Drawdown Largest peak-to-trough decline	-18.63%	-79.98%	+61.35%
Max Drawdown (1Y) Largest decline over 1 year	-3.09%	-0.20%	-2.89%
Max Drawdown (3Y) Largest decline over 3 years	-6.67%	-1.19%	-5.48%
Max Drawdown (5Y) Largest decline over 5 years	-17.09%	-1.19%	-15.90%
Max Drawdown (10Y) Largest decline over 10 years	-18.63%	-79.98%	+61.35%
Current Drawdown Current decline from peak	-4.36%	-77.72%	+73.36%
Average Drawdown Average peak-to-trough decline	-5.31%	-36.15%	+30.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.07%	0.07%	+1.00%

Volatility

MXGMX vs. GUSTX - Volatility Comparison

Great-West U.S. Government Securities Fund (MXGMX) has a higher volatility of 1.15% compared to GMO U.S. Treasury Fund (GUSTX) at 0.49%. This indicates that MXGMX'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

	MXGMX	GUSTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.15%	0.49%	+0.66%
Volatility (6M) Calculated over the trailing 6-month period	2.72%	0.89%	+1.83%
Volatility (1Y) Calculated over the trailing 1-year period	3.81%	1.24%	+2.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.90%	1.76%	+4.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.64%	25.44%	-20.80%

MXGMX vs. GUSTX - Expense Ratio Comparison

MXGMX has a 0.60% expense ratio, which is higher than GUSTX's 0.01% expense ratio.

Dividends

MXGMX vs. GUSTX - Dividend Comparison

MXGMX's dividend yield for the trailing twelve months is around 2.66%, less than GUSTX's 3.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GUSTX GMO U.S. Treasury Fund	3.83%	4.15%	1.98%	2.28%	0.26%	0.14%	0.09%	0.14%	8.96%	0.50%	0.05%	0.04%
MXGMX Great-West U.S. Government Securities Fund	2.66%	2.67%	2.73%	2.37%	1.48%	2.21%	0.94%	1.53%	1.88%	0.90%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MXGMX and GUSTX in my portfolio?

MXGMX and GUSTX have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MXGMX or GUSTX?

MXGMX has higher volatility (1.15%) compared to GUSTX (0.49%). In terms of maximum drawdown, MXGMX dropped -18.63% vs GUSTX's -79.98%.

Which has better risk-adjusted returns?

GUSTX currently has the higher Sharpe Ratio (3.11 vs 1.08), 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.