- Issuer
- GMO
- Inception Date
- Jun 3, 2025
- Region
- North America (U.S.)
- Category
- Corporate Bonds
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Domicile
- United States
- Distribution Policy
- Distributing
- Asset Class
- Bond
- Assets Under Management
- $26M
Share Price Chart
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Performance
INVG Performance Chart
GMO Systematic Investment Grade Credit ETF (INVG) is up 1.0% since the beginning of the year. INVG is currently trading at $25 per share.
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Returns By Period
GMO Systematic Investment Grade Credit ETF (INVG) has returned 1.03% so far this year and 5.53% over the past 12 months.
GMO Systematic Investment Grade Credit ETF
- 1D
- 0.23%
- 1M
- 0.95%
- YTD
- 1.03%
- 6M
- 1.15%
- 1Y
- 5.53%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.00%
- 1M
- -0.71%
- YTD
- 8.39%
- 6M
- 8.57%
- 1Y
- 24.33%
- 3Y*
- 18.94%
- 5Y*
- 12.24%
- 10Y*
- 13.54%
INVG Monthly Returns History
Based on dividend-adjusted daily data since Jun 4, 2025, INVG's average daily return is +0.02%, while the average monthly return is +0.46%. At this rate, an investment would double in approximately 12.6 years.
Historically, 85% of months were positive and 15% were negative. The best month was Jun 2025 with a return of +1.7%, while the worst month was Mar 2026 at -1.9%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 1 months.
On a daily basis, INVG closed higher 55% of trading days. The best single day was Aug 1, 2025 with a return of +0.8%, while the worst single day was Mar 20, 2026 at -1.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.53% | 0.94% | -1.90% | 0.53% | 0.82% | 0.13% | 1.03% | ||||||
| 2025 | 1.71% | 0.08% | 0.97% | 1.57% | 0.24% | 0.81% | -0.44% | 5.03% |
Benchmark Metrics
GMO Systematic Investment Grade Credit ETF has an annualized alpha of 2.42%, beta of 0.16, and R2 of 0.19 versus S&P 500 Index. Calculated based on daily prices since June 04, 2025.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (20.53%) than losses (17.21%) - typical of diversified or defensive assets.
- Beta of 0.16 may look defensive, but with R2 of 0.19 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.19 means this ETF moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 2.42%
- Beta
- 0.16
- R²
- 0.19
- Upside Capture
- 20.53%
- Downside Capture
- 17.21%
Expense Ratio
INVG has an expense ratio of 0.25%, which is considered low.
Return for Risk
Risk / Return Rank
INVG ranks 36 for risk / return — below 36% of ETFs on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for GMO Systematic Investment Grade Credit ETF (INVG) and compare them to S&P 500 Index.
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.
| INVG | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.68 | ||
| Sortino ratioReturn per unit of downside risk | -0.78 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.35 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.79 | 2.66 | -0.87 |
| Martin ratioReturn relative to average drawdown | 5.70 | 11.86 | -6.16 |
Dividends
Dividend History
GMO Systematic Investment Grade Credit ETF provided a 4.66% dividend yield over the last twelve months, with an annual payout of $1.19 per share.
| Period | TTM | 2025 |
|---|---|---|
| Dividend | $1.19 | $0.72 |
Dividend yield | 4.66% | 2.81% |
Monthly Dividends
The table displays the monthly dividend distributions for GMO Systematic Investment Grade Credit ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.08 | $0.00 | $0.19 | $0.09 | $0.11 | $0.00 | $0.47 | ||||||
| 2025 | $0.18 | $0.12 | $0.07 | $0.08 | $0.09 | $0.18 | $0.72 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the GMO Systematic Investment Grade Credit ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the GMO Systematic Investment Grade Credit ETF was 3.15%, occurring on Mar 27, 2026. The portfolio has not yet recovered.
The current GMO Systematic Investment Grade Credit ETF drawdown is 0.53%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2026 pullback2026 | -3.15%Mar 2026 | 1mo 2d | — | 3mo 29dFeb 2026 - now |
2025 pullback2025 | -1.67%Nov 2025 | 16d | 2mo 28d | 3mo 14dOct 2025 - Feb 2026 |
2025 pullback2025 | -1.12%Jul 2025 | 13d | 14d | 27dJul 2025 - Jul 2025 |
2025 pullback2025 | -0.88%Sep 2025 | 8d | 19d | 27dSep 2025 - Oct 2025 |
2025 selloff2025 | -0.63%Jun 2025 | 1d | 6d | 7dJun 2025 - Jun 2025 |
Drawdown Indicators
| INVG | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.15% | -56.78% | +53.63% |
Max Drawdown (1Y)Largest decline over 1 year | -3.15% | -9.10% | +5.95% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.53% | -2.49% | +1.96% |
Average DrawdownAverage peak-to-trough decline | -0.71% | -10.72% | +10.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.99% | 2.03% | -1.04% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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