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TRBUX vs. GQETX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TRBUXGQETX
YTD Return5.59%21.16%
1Y Return7.09%27.29%
3Y Return (Ann)3.55%12.09%
5Y Return (Ann)2.89%16.71%
10Y Return (Ann)2.42%14.93%
Sharpe Ratio4.092.65
Sortino Ratio11.583.62
Omega Ratio4.861.48
Calmar Ratio35.604.48
Martin Ratio73.0118.40
Ulcer Index0.10%1.59%
Daily Std Dev1.73%11.00%
Max Drawdown-4.15%-39.99%
Current Drawdown0.00%-1.03%

Correlation

-0.50.00.51.00.0

The correlation between TRBUX and GQETX is 0.00, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

TRBUX vs. GQETX - Performance Comparison

In the year-to-date period, TRBUX achieves a 5.59% return, which is significantly lower than GQETX's 21.16% return. Over the past 10 years, TRBUX has underperformed GQETX with an annualized return of 2.42%, while GQETX has yielded a comparatively higher 14.93% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.26%
7.63%
TRBUX
GQETX

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TRBUX vs. GQETX - Expense Ratio Comparison

TRBUX has a 0.31% expense ratio, which is lower than GQETX's 0.49% expense ratio.


GQETX
GMO Quality Fund
Expense ratio chart for GQETX: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for TRBUX: current value at 0.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.31%

Risk-Adjusted Performance

TRBUX vs. GQETX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price Ultra Short-Term Bond Fund (TRBUX) and GMO Quality Fund (GQETX). 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.


TRBUX
Sharpe ratio
The chart of Sharpe ratio for TRBUX, currently valued at 4.09, compared to the broader market0.002.004.004.09
Sortino ratio
The chart of Sortino ratio for TRBUX, currently valued at 11.58, compared to the broader market0.005.0010.0011.58
Omega ratio
The chart of Omega ratio for TRBUX, currently valued at 4.86, compared to the broader market1.002.003.004.004.86
Calmar ratio
The chart of Calmar ratio for TRBUX, currently valued at 35.60, compared to the broader market0.005.0010.0015.0020.0035.60
Martin ratio
The chart of Martin ratio for TRBUX, currently valued at 73.01, compared to the broader market0.0020.0040.0060.0080.00100.0073.01
GQETX
Sharpe ratio
The chart of Sharpe ratio for GQETX, currently valued at 2.65, compared to the broader market0.002.004.002.65
Sortino ratio
The chart of Sortino ratio for GQETX, currently valued at 3.62, compared to the broader market0.005.0010.003.62
Omega ratio
The chart of Omega ratio for GQETX, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for GQETX, currently valued at 4.48, compared to the broader market0.005.0010.0015.0020.004.48
Martin ratio
The chart of Martin ratio for GQETX, currently valued at 18.40, compared to the broader market0.0020.0040.0060.0080.00100.0018.40

TRBUX vs. GQETX - Sharpe Ratio Comparison

The current TRBUX Sharpe Ratio is 4.09, which is higher than the GQETX Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of TRBUX and GQETX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.09
2.65
TRBUX
GQETX

Dividends

TRBUX vs. GQETX - Dividend Comparison

TRBUX's dividend yield for the trailing twelve months is around 5.02%, more than GQETX's 0.85% yield.


TTM20232022202120202019201820172016201520142013
TRBUX
T. Rowe Price Ultra Short-Term Bond Fund
5.02%4.02%1.97%1.11%1.83%2.72%2.58%1.88%1.20%0.80%0.42%0.06%
GQETX
GMO Quality Fund
0.85%0.99%1.28%5.25%1.37%1.44%1.93%1.66%1.72%2.18%2.19%3.53%

Drawdowns

TRBUX vs. GQETX - Drawdown Comparison

The maximum TRBUX drawdown since its inception was -4.15%, smaller than the maximum GQETX drawdown of -39.99%. Use the drawdown chart below to compare losses from any high point for TRBUX and GQETX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-1.03%
TRBUX
GQETX

Volatility

TRBUX vs. GQETX - Volatility Comparison

The current volatility for T. Rowe Price Ultra Short-Term Bond Fund (TRBUX) is 0.50%, while GMO Quality Fund (GQETX) has a volatility of 3.14%. This indicates that TRBUX experiences smaller price fluctuations and is considered to be less risky than GQETX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.50%
3.14%
TRBUX
GQETX