IQLT vs. GMOI
IQLT (iShares MSCI Intl Quality Factor ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - IQLT tracks the MSCI World ex USA Sector Neutral Quality Index (Net) while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, IQLT returned 17.27% vs 37.64% for GMOI. Their correlation of 0.86 suggests significant overlap in exposure. IQLT charges 0.30%/yr vs 0.60%/yr for GMOI.
Performance
IQLT vs. GMOI - Performance Comparison
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Returns By Period
In the year-to-date period, IQLT achieves a 8.73% return, which is significantly lower than GMOI's 13.97% return.
IQLT
- 1D
- 1.10%
- 1M
- 1.42%
- YTD
- 8.73%
- 6M
- 10.47%
- 1Y
- 17.27%
- 3Y*
- 14.60%
- 5Y*
- 7.20%
- 10Y*
- 9.33%
GMOI
- 1D
- 0.82%
- 1M
- 2.57%
- YTD
- 13.97%
- 6M
- 17.28%
- 1Y
- 37.64%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
IQLT vs. GMOI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
IQLT iShares MSCI Intl Quality Factor ETF | 8.73% | 25.42% | -5.46% |
GMOI GMO International Value ETF | 13.97% | 45.64% | -4.57% |
Correlation
The correlation between IQLT and GMOI is 0.88, 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 | 0.88 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2024 | 0.86 |
The correlation between IQLT and GMOI has been stable across timeframes, ranging from 0.86 to 0.88 - a consistent structural relationship.
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Return for Risk
IQLT vs. GMOI — Risk / Return Rank
IQLT
GMOI
IQLT vs. GMOI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Quality Factor ETF (IQLT) and GMO International Value ETF (GMOI). 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.
| IQLT | GMOI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.67 | ||
| Sortino ratioReturn per unit of downside risk | -2.17 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.51 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | 1.67 | 4.52 | -2.85 |
| Martin ratioReturn relative to average drawdown | 6.36 | 17.89 | -11.53 |
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
| IQLT | GMOI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.20 | 2.88 | -1.67 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.50 | 2.17 | -1.67 |
Drawdowns
IQLT vs. GMOI - Drawdown Comparison
The maximum IQLT drawdown since its inception was -32.21%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for IQLT and GMOI.
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Drawdown Indicators
| IQLT | GMOI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.21% | -14.67% | -17.54% |
Max Drawdown (1Y)Largest decline over 1 year | -10.38% | -8.36% | -2.02% |
Max Drawdown (3Y)Largest decline over 3 years | -13.18% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -30.24% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -32.21% | — | — |
Current DrawdownCurrent decline from peak | -1.02% | -0.18% | -0.84% |
Average DrawdownAverage peak-to-trough decline | -6.22% | -1.70% | -4.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.72% | 2.11% | +0.61% |
Volatility
IQLT vs. GMOI - Volatility Comparison
iShares MSCI Intl Quality Factor ETF (IQLT) has a higher volatility of 4.78% compared to GMO International Value ETF (GMOI) at 3.88%. This indicates that IQLT's price experiences larger fluctuations and is considered to be riskier than GMOI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IQLT | GMOI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.78% | 3.88% | +0.90% |
Volatility (6M)Calculated over the trailing 6-month period | 12.06% | 10.29% | +1.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.41% | 13.15% | +1.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.45% | 15.58% | +0.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.98% | 15.58% | +1.40% |
IQLT vs. GMOI - Expense Ratio Comparison
IQLT has a 0.30% expense ratio, which is lower than GMOI's 0.60% expense ratio.
Dividends
IQLT vs. GMOI - Dividend Comparison
IQLT's dividend yield for the trailing twelve months is around 2.14%, less than GMOI's 2.40% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOI GMO International Value ETF | 2.40% | 2.74% | 0.54% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IQLT iShares MSCI Intl Quality Factor ETF | 2.14% | 2.33% | 2.87% | 2.27% | 3.14% | 2.24% | 1.61% | 2.28% | 2.72% | 2.36% | 2.91% | 2.78% |
Frequently Asked Questions
IQLT and GMOI have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IQLT has higher volatility (4.78%) compared to GMOI (3.88%). In terms of maximum drawdown, IQLT dropped -32.21% vs GMOI's -14.67%.
On 1-year performance, GMOI leads with 37.64% vs 17.27% for IQLT. On fees, IQLT is cheaper at 0.30% per year. On volatility, GMOI has been the lower-risk option at 3.88%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, GMOI has performed better with a 37.64% return vs 17.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IQLT is cheaper with a 0.30% expense ratio, compared with 0.60% for GMOI.
GMOI has the higher dividend yield at 2.40%, compared with 2.14% for IQLT.
IQLT tracks MSCI World ex USA Sector Neutral Quality Index (Net), while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.30% for IQLT and 0.60% for GMOI.
GMOI currently has the higher Sharpe Ratio (2.88 vs 1.20), 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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