GMOIX vs. IVLU

Last updated Jun 3, 2026

GMOIX (GMO International Equity Fund) and IVLU (iShares MSCI Intl Value Factor ETF) are both Foreign Large Cap Equities funds. Over the past 10 years, GMOIX returned 12.10%/yr vs 11.06%/yr for IVLU. Their correlation of 0.89 suggests significant overlap in exposure. GMOIX charges 0.66%/yr vs 0.30%/yr for IVLU.

Performance

GMOIX vs. IVLU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Equity Fund (GMOIX) and iShares MSCI Intl Value Factor ETF (IVLU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMOIX achieves a 18.57% return, which is significantly higher than IVLU's 13.48% return. Over the past 10 years, GMOIX has outperformed IVLU with an annualized return of 12.10%, while IVLU has yielded a comparatively lower 11.06% annualized return.

GMOIX

• 1D: -0.10%
• 1M: 4.32%
• YTD: 18.57%
• 6M: 21.58%
• 1Y: 40.70%
• 3Y*: 28.63%
• 5Y*: 14.57%
• 10Y*: 12.10%

IVLU

• 1D: 0.89%
• 1M: 4.00%
• YTD: 13.48%
• 6M: 17.69%
• 1Y: 35.33%
• 3Y*: 24.87%
• 5Y*: 14.35%
• 10Y*: 11.06%

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

GMOIX vs. IVLU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GMOIX GMO International Equity Fund	18.57%	43.94%	11.54%	20.51%	-10.38%	12.11%	7.47%	24.56%	-20.55%	25.73%
IVLU iShares MSCI Intl Value Factor ETF	13.48%	46.09%	6.76%	20.07%	-5.73%	15.60%	-4.50%	15.60%	-15.10%	23.10%

Correlation

The correlation between GMOIX and IVLU is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Jul 16, 2015	0.89

The correlation between GMOIX and IVLU has been stable across timeframes, ranging from 0.89 to 0.94 - a consistent structural relationship.

Return for Risk

GMOIX vs. IVLU — Risk / Return Rank

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

GMOIX

GMOIX Risk / Return Rank: 75
GMOIX Sharpe Ratio Rank: 77
GMOIX Sortino Ratio Rank: 72
GMOIX Omega Ratio Rank: 69
GMOIX Calmar Ratio Rank: 80
GMOIX Martin Ratio Rank: 77

IVLU

IVLU Risk / Return Rank: 67
IVLU Sharpe Ratio Rank: 71
IVLU Sortino Ratio Rank: 70
IVLU Omega Ratio Rank: 70
IVLU Calmar Ratio Rank: 62
IVLU Martin Ratio Rank: 65

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.

GMOIX vs. IVLU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO International Equity Fund (GMOIX) and iShares MSCI Intl Value Factor ETF (IVLU). 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.

	GMOIX	IVLU	Difference
Sharpe ratio Return per unit of total volatility	2.55	2.36	+0.20
Sortino ratio Return per unit of downside risk	3.55	3.22	+0.33
Omega ratio Gain probability vs. loss probability	1.47	1.42	+0.04
Calmar ratio Return relative to maximum drawdown	3.64	3.13	+0.51
Martin ratio Return relative to average drawdown	14.50	11.95	+2.55
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GMOIX vs. IVLU - Sharpe Ratio Comparison

The current GMOIX Sharpe Ratio is 2.55, which is comparable to the IVLU Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of GMOIX and IVLU, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GMOIX	IVLU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.55	2.36	+0.20
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.91	0.88	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.72	0.63	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.48	-0.13

Drawdowns

GMOIX vs. IVLU - Drawdown Comparison

The maximum GMOIX drawdown since its inception was -59.00%, which is greater than IVLU's maximum drawdown of -41.85%. Use the drawdown chart below to compare losses from any high point for GMOIX and IVLU.

Drawdown Indicators

	GMOIX	IVLU	Difference
Max Drawdown Largest peak-to-trough decline	-59.00%	-41.85%	-17.15%
Max Drawdown (1Y) Largest decline over 1 year	-11.67%	-11.69%	+0.02%
Max Drawdown (3Y) Largest decline over 3 years	-13.41%	-15.48%	+2.07%
Max Drawdown (5Y) Largest decline over 5 years	-28.69%	-26.04%	-2.65%
Max Drawdown (10Y) Largest decline over 10 years	-40.14%	-41.85%	+1.71%
Current Drawdown Current decline from peak	-0.42%	-0.07%	-0.35%
Average Drawdown Average peak-to-trough decline	-12.92%	-8.60%	-4.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	3.06%	-0.13%

Volatility

GMOIX vs. IVLU - Volatility Comparison

GMO International Equity Fund (GMOIX) has a higher volatility of 5.27% compared to iShares MSCI Intl Value Factor ETF (IVLU) at 4.83%. This indicates that GMOIX's price experiences larger fluctuations and is considered to be riskier than IVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMOIX	IVLU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.27%	4.83%	+0.44%
Volatility (6M) Calculated over the trailing 6-month period	13.23%	12.17%	+1.06%
Volatility (1Y) Calculated over the trailing 1-year period	16.71%	15.09%	+1.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.17%	16.48%	-0.31%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.88%	17.66%	-0.78%

GMOIX vs. IVLU - Expense Ratio Comparison

GMOIX has a 0.66% expense ratio, which is higher than IVLU's 0.30% expense ratio.

Dividends

GMOIX vs. IVLU - Dividend Comparison

GMOIX's dividend yield for the trailing twelve months is around 4.74%, more than IVLU's 3.27% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMOIX GMO International Equity Fund	4.74%	5.62%	2.77%	7.54%	4.32%	6.40%	4.56%	3.49%	3.74%	3.11%	4.00%	3.26%
IVLU iShares MSCI Intl Value Factor ETF	3.27%	3.71%	4.46%	4.69%	3.59%	3.47%	2.05%	3.53%	2.82%	2.87%	2.53%	0.93%

Frequently Asked Questions

Can I hold both GMOIX and IVLU in my portfolio?

With a correlation of 0.93, GMOIX and IVLU move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, GMOIX or IVLU?

GMOIX has higher volatility (5.27%) compared to IVLU (4.83%). In terms of maximum drawdown, GMOIX dropped -59.00% vs IVLU's -41.85%.

Which has better risk-adjusted returns?

GMOIX currently has the higher Sharpe Ratio (2.55 vs 2.36), 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.