GLOF vs. GSWO
GLOF (iShares Global Equity Factor ETF) and GSWO (Goldman Sachs ActiveBeta World Equity ETF) are both Global Equities funds - GLOF tracks the STOXX Global Equity Factor Index while GSWO tracks the Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net. Both are passively managed. Over the past 3 years, GLOF returned 22.67%/yr vs 18.70%/yr for GSWO. Their correlation of 0.89 suggests significant overlap in exposure. GLOF charges 0.20%/yr vs 0.25%/yr for GSWO.
Performance
GLOF vs. GSWO - Performance Comparison
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Returns By Period
In the year-to-date period, GLOF achieves a 13.19% return, which is significantly higher than GSWO's 11.00% return.
GLOF
- 1D
- -0.77%
- 1M
- 5.15%
- YTD
- 13.19%
- 6M
- 14.18%
- 1Y
- 30.42%
- 3Y*
- 22.67%
- 5Y*
- 11.56%
- 10Y*
- 12.29%
GSWO
- 1D
- -0.71%
- 1M
- 4.81%
- YTD
- 11.00%
- 6M
- 11.56%
- 1Y
- 20.17%
- 3Y*
- 18.70%
- 5Y*
- —
- 10Y*
- —
GLOF vs. GSWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 13.19% | 23.92% | 17.49% | 22.38% | -11.07% |
GSWO Goldman Sachs ActiveBeta World Equity ETF | 11.00% | 18.97% | 15.29% | 16.28% | -6.15% |
Correlation
The correlation between GLOF and GSWO is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.86 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Mar 18, 2022 | 0.89 |
The correlation between GLOF and GSWO has been stable across timeframes, ranging from 0.86 to 0.89 - a consistent structural relationship.
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Return for Risk
GLOF vs. GSWO — Risk / Return Rank
GLOF
GSWO
GLOF vs. GSWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) and Goldman Sachs ActiveBeta World Equity ETF (GSWO). 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.
| GLOF | GSWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.55 | ||
| Sortino ratioReturn per unit of downside risk | +0.65 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.35 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 3.38 | 2.27 | +1.11 |
| Martin ratioReturn relative to average drawdown | 15.08 | 10.87 | +4.21 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GLOF | GSWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.43 | 1.88 | +0.55 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.72 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.60 | 0.99 | -0.40 |
Drawdowns
GLOF vs. GSWO - Drawdown Comparison
The maximum GLOF drawdown since its inception was -34.12%, which is greater than GSWO's maximum drawdown of -17.77%. Use the drawdown chart below to compare losses from any high point for GLOF and GSWO.
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Drawdown Indicators
| GLOF | GSWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.12% | -17.77% | -16.35% |
Max Drawdown (1Y)Largest decline over 1 year | -9.05% | -8.93% | -0.12% |
Max Drawdown (3Y)Largest decline over 3 years | -16.12% | -9.97% | -6.15% |
Max Drawdown (5Y)Largest decline over 5 years | -25.15% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -34.12% | — | — |
Current DrawdownCurrent decline from peak | -0.77% | -0.71% | -0.06% |
Average DrawdownAverage peak-to-trough decline | -6.12% | -3.25% | -2.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 1.86% | +0.16% |
Volatility
GLOF vs. GSWO - Volatility Comparison
iShares Global Equity Factor ETF (GLOF) has a higher volatility of 3.65% compared to Goldman Sachs ActiveBeta World Equity ETF (GSWO) at 3.22%. This indicates that GLOF's price experiences larger fluctuations and is considered to be riskier than GSWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GLOF | GSWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.65% | 3.22% | +0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 10.10% | 9.02% | +1.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.57% | 10.75% | +1.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.69% | 12.96% | +2.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.17% | 12.96% | +4.21% |
GLOF vs. GSWO - Expense Ratio Comparison
GLOF has a 0.20% expense ratio, which is lower than GSWO's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GLOF vs. GSWO - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 1.50%, less than GSWO's 1.61% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 1.50% | 1.70% | 2.59% | 2.51% | 2.53% | 1.90% | 1.73% | 2.41% | 2.03% | 1.94% | 1.94% | 0.92% |
GSWO Goldman Sachs ActiveBeta World Equity ETF | 1.61% | 1.74% | 1.75% | 2.06% | 1.73% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GLOF and GSWO have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GLOF has higher volatility (3.65%) compared to GSWO (3.22%). In terms of maximum drawdown, GLOF dropped -34.12% vs GSWO's -17.77%.
On 3-year performance, GLOF leads with 22.67% vs 18.70% for GSWO. On fees, GLOF is cheaper at 0.20% per year. On volatility, GSWO has been the lower-risk option at 3.22%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, GLOF has performed better with a 22.67% return vs 18.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GLOF is cheaper with a 0.20% expense ratio, compared with 0.25% for GSWO.
GSWO has the higher dividend yield at 1.61%, compared with 1.50% for GLOF.
GLOF tracks STOXX Global Equity Factor Index, while GSWO tracks Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net. They also come from different issuers: iShares and Goldman Sachs. Their fees differ too: 0.20% for GLOF and 0.25% for GSWO.
GLOF currently has the higher Sharpe Ratio (2.43 vs 1.88), 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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