IVLU vs. GMOIX
IVLU (iShares MSCI International Value Factor ETF) and GMOIX (GMO International Equity Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, IVLU returned 11.56%/yr vs 13.13%/yr for GMOIX. Their correlation of 0.89 suggests significant overlap in exposure. IVLU charges 0.30%/yr vs 0.66%/yr for GMOIX.
Performance
IVLU vs. GMOIX - Performance Comparison
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Returns By Period
In the year-to-date period, IVLU achieves a 11.28% return, which is significantly lower than GMOIX's 21.29% return. Over the past 10 years, IVLU has underperformed GMOIX with an annualized return of 11.56%, while GMOIX has yielded a comparatively higher 13.13% annualized return.
IVLU
- 1D
- -1.89%
- 1M
- -0.75%
- YTD
- 11.28%
- 6M
- 10.90%
- 1Y
- 34.48%
- 3Y*
- 23.64%
- 5Y*
- 14.30%
- 10Y*
- 11.56%
GMOIX
- 1D
- 0.47%
- 1M
- 3.40%
- YTD
- 21.29%
- 6M
- 20.43%
- 1Y
- 45.82%
- 3Y*
- 28.81%
- 5Y*
- 15.81%
- 10Y*
- 13.13%
IVLU vs. GMOIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
IVLU iShares MSCI International Value Factor ETF | 11.28% | 46.09% | 6.76% | 20.07% | -5.73% | 15.60% | -4.50% | 15.60% | -15.10% | 23.10% |
GMOIX GMO International Equity Fund | 21.29% | 43.94% | 11.54% | 20.51% | -10.38% | 12.11% | 7.47% | 24.56% | -20.55% | 25.73% |
Correlation
The correlation between IVLU and GMOIX is 0.92, 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 | 0.92 |
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 15, 2015 | 0.89 |
The correlation between IVLU and GMOIX has been stable across timeframes, ranging from 0.89 to 0.94 - a consistent structural relationship.
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Return for Risk
IVLU vs. GMOIX — Risk / Return Rank
IVLU
GMOIX
IVLU vs. GMOIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI International Value Factor ETF (IVLU) and GMO International Equity Fund (GMOIX). 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.
| IVLU | GMOIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.50 | ||
| Sortino ratioReturn per unit of downside risk | -0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.50 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 2.96 | 4.03 | -1.07 |
| Martin ratioReturn relative to average drawdown | 11.24 | 15.93 | -4.69 |
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Drawdowns
IVLU vs. GMOIX - Drawdown Comparison
The maximum IVLU drawdown since its inception was -41.85%, smaller than the maximum GMOIX drawdown of -59.00%. Use the drawdown chart below to compare losses from any high point for IVLU and GMOIX.
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Drawdown Indicators
| IVLU | GMOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.85% | -59.00% | +17.15% |
Max Drawdown (1Y)Largest decline over 1 year | -11.69% | -11.67% | -0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -15.48% | -13.41% | -2.07% |
Max Drawdown (5Y)Largest decline over 5 years | -26.04% | -27.40% | +1.36% |
Max Drawdown (10Y)Largest decline over 10 years | -41.85% | -40.14% | -1.71% |
Current DrawdownCurrent decline from peak | -2.23% | 0.00% | -2.23% |
Average DrawdownAverage peak-to-trough decline | -8.56% | -12.90% | +4.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.08% | 2.95% | +0.13% |
Volatility
IVLU vs. GMOIX - Volatility Comparison
The current volatility for iShares MSCI International Value Factor ETF (IVLU) is 5.27%, while GMO International Equity Fund (GMOIX) has a volatility of 6.05%. This indicates that IVLU experiences smaller price fluctuations and is considered to be less risky than GMOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IVLU | GMOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.27% | 6.05% | -0.78% |
Volatility (6M)Calculated over the trailing 6-month period | 12.94% | 14.14% | -1.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.65% | 17.38% | -1.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.54% | 16.31% | +0.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.44% | 16.89% | +0.55% |
IVLU vs. GMOIX - Expense Ratio Comparison
IVLU has a 0.30% expense ratio, which is lower than GMOIX's 0.66% expense ratio.
Dividends
IVLU vs. GMOIX - Dividend Comparison
IVLU's dividend yield for the trailing twelve months is around 3.38%, less than GMOIX's 4.63% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GMOIX GMO International Equity Fund | 4.63% | 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 International Value Factor ETF | 3.38% | 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
With a correlation of 0.92, IVLU and GMOIX 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.
GMOIX has higher volatility (6.05%) compared to IVLU (5.27%). In terms of maximum drawdown, IVLU dropped -41.85% vs GMOIX's -59.00%.
GMOIX currently has the higher Sharpe Ratio (2.71 vs 2.21), 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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