GMOI vs. INVG

Last updated Jun 26, 2026

GMOI (GMO International Value ETF) and INVG (GMO Systematic Investment Grade Credit ETF) are both exchange-traded funds - GMOI is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Value, while INVG is a Corporate Bonds fund actively managed by GMO. GMOI is passively managed, while INVG is actively managed. Over the past year, GMOI returned 34.97% vs 5.41% for INVG. At a 0.43 correlation, their price movements are largely independent. GMOI charges 0.60%/yr vs 0.25%/yr for INVG.

Performance

GMOI vs. INVG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Value ETF (GMOI) and GMO Systematic Investment Grade Credit ETF (INVG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMOI achieves a 11.64% return, which is significantly higher than INVG's 1.45% return.

GMOI

• 1D: 0.67%
• 1M: -2.22%
• YTD: 11.64%
• 6M: 11.19%
• 1Y: 34.97%
• 3Y*: —
• 5Y*: —
• 10Y*: —

INVG

• 1D: 0.10%
• 1M: 0.97%
• YTD: 1.45%
• 6M: 1.17%
• 1Y: 5.41%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

GMOI vs. INVG - Yearly Performance Comparison

	2026 (YTD)	2025
GMOI GMO International Value ETF	11.64%	20.91%
INVG GMO Systematic Investment Grade Credit ETF	1.45%	5.03%

Correlation

The correlation between GMOI and INVG is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (All Time) Calculated using the full available price history since Jun 4, 2025	0.43

Return for Risk

GMOI vs. INVG — Risk / Return Rank

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

GMOI

GMOI Risk / Return Rank: 88
GMOI Sharpe Ratio Rank: 90
GMOI Sortino Ratio Rank: 90
GMOI Omega Ratio Rank: 87
GMOI Calmar Ratio Rank: 86
GMOI Martin Ratio Rank: 88

INVG

INVG Risk / Return Rank: 37
INVG Sharpe Ratio Rank: 37
INVG Sortino Ratio Rank: 37
INVG Omega Ratio Rank: 34
INVG Calmar Ratio Rank: 38
INVG Martin Ratio Rank: 38

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.

GMOI vs. INVG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO International Value ETF (GMOI) and GMO Systematic Investment Grade Credit ETF (INVG). 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.

	GMOI	INVG	Difference
Sharpe ratio: Return per unit of total volatility	2.63	1.22	+1.40
Sortino ratio: Return per unit of downside risk	3.63	1.80	+1.83
Omega ratio: Gain probability vs. loss probability	1.46	1.21	+0.25
Calmar ratio: Return relative to maximum drawdown	4.20	1.72	+2.48
Martin ratio: Return relative to average drawdown	16.42	5.49	+10.93

GMOI vs. INVG - Sharpe Ratio Comparison

The current GMOI Sharpe Ratio is 2.63, which is higher than the INVG Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of GMOI and INVG, 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

GMOI vs. INVG - Drawdown Comparison

The maximum GMOI drawdown since its inception was -14.67%, which is greater than INVG's maximum drawdown of -3.15%. Use the drawdown chart below to compare losses from any high point for GMOI and INVG.

Drawdown Indicators

	GMOI	INVG	Difference
Max Drawdown Largest peak-to-trough decline	-14.67%	-3.15%	-11.52%
Max Drawdown (1Y) Largest decline over 1 year	-8.36%	-3.15%	-5.21%
Current Drawdown Current decline from peak	-2.53%	-0.12%	-2.41%
Average Drawdown Average peak-to-trough decline	-1.69%	-0.71%	-0.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.14%	0.99%	+1.15%

Volatility

GMOI vs. INVG - Volatility Comparison

GMO International Value ETF (GMOI) has a higher volatility of 4.02% compared to GMO Systematic Investment Grade Credit ETF (INVG) at 1.26%. This indicates that GMOI's price experiences larger fluctuations and is considered to be riskier than INVG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMOI	INVG	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.02%	1.26%	+2.76%
Volatility (6M) Calculated over the trailing 6-month period	10.70%	3.43%	+7.27%
Volatility (1Y) Calculated over the trailing 1-year period	13.40%	4.45%	+8.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.55%	4.45%	+11.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.55%	4.45%	+11.10%

GMOI vs. INVG - Expense Ratio Comparison

GMOI has a 0.60% expense ratio, which is higher than INVG's 0.25% expense ratio.

Dividends

GMOI vs. INVG - Dividend Comparison

GMOI's dividend yield for the trailing twelve months is around 2.45%, less than INVG's 4.64% yield.

Position	TTM	2025	2024
GMOI GMO International Value ETF	2.45%	2.74%	0.54%
INVG GMO Systematic Investment Grade Credit ETF	4.64%	2.81%	0.00%

Frequently Asked Questions

Can I hold both GMOI and INVG in my portfolio?

GMOI and INVG have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMOI or INVG?

GMOI has higher volatility (4.02%) compared to INVG (1.26%). In terms of maximum drawdown, GMOI dropped -14.67% vs INVG's -3.15%.

Which ETF is better, GMOI or INVG?

On 1-year performance, GMOI leads with 34.97% vs 5.41% for INVG. On fees, INVG is cheaper at 0.25% per year. On volatility, INVG has been the lower-risk option at 1.26%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GMOI or INVG?

Over the 1-year period, GMOI has performed better with a 34.97% return vs 5.41%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GMOI or INVG?

INVG is cheaper with a 0.25% expense ratio, compared with 0.60% for GMOI.

Which ETF pays a higher dividend yield, GMOI or INVG?

INVG has the higher dividend yield at 4.64%, compared with 2.45% for GMOI.

What is the main difference between GMOI and INVG?

GMOI is categorized as Foreign Large Cap Equities, while INVG is Corporate Bonds. Their fees differ too: 0.60% for GMOI and 0.25% for INVG.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.63 vs 1.22), 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.