IVLU vs. GMOIX

Last updated Jun 4, 2026

IVLU (iShares MSCI Intl Value Factor ETF) and GMOIX (GMO International Equity Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, IVLU returned 10.97%/yr vs 12.23%/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

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

Returns By Period

In the year-to-date period, IVLU achieves a 12.64% return, which is significantly lower than GMOIX's 19.96% return. Over the past 10 years, IVLU has underperformed GMOIX with an annualized return of 10.97%, while GMOIX has yielded a comparatively higher 12.23% annualized return.

IVLU

• 1D: -0.74%
• 1M: 4.72%
• YTD: 12.64%
• 6M: 16.60%
• 1Y: 35.35%
• 3Y*: 24.56%
• 5Y*: 14.01%
• 10Y*: 10.97%

GMOIX

• 1D: 1.17%
• 1M: 6.62%
• YTD: 19.96%
• 6M: 22.58%
• 1Y: 43.74%
• 3Y*: 29.13%
• 5Y*: 14.89%
• 10Y*: 12.23%

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

IVLU vs. GMOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
IVLU iShares MSCI Intl Value Factor ETF	12.64%	46.09%	6.76%	20.07%	-5.73%	15.60%	-4.50%	15.60%	-15.10%	23.10%
GMOIX GMO International Equity Fund	19.96%	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 0.93, 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 IVLU and GMOIX has been stable across timeframes, ranging from 0.89 to 0.94 - a consistent structural relationship.

Return for Risk

IVLU vs. GMOIX — Risk / Return Rank

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

IVLU

IVLU Risk / Return Rank: 66
IVLU Sharpe Ratio Rank: 70
IVLU Sortino Ratio Rank: 69
IVLU Omega Ratio Rank: 69
IVLU Calmar Ratio Rank: 60
IVLU Martin Ratio Rank: 63

GMOIX

GMOIX Risk / Return Rank: 76
GMOIX Sharpe Ratio Rank: 78
GMOIX Sortino Ratio Rank: 73
GMOIX Omega Ratio Rank: 70
GMOIX Calmar Ratio Rank: 80
GMOIX Martin Ratio Rank: 77

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.

IVLU vs. GMOIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl 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.

	IVLU	GMOIX	Difference
Sharpe ratio: Return per unit of total volatility	2.36	2.55	-0.19
Sortino ratio: Return per unit of downside risk	3.22	3.55	-0.33
Omega ratio: Gain probability vs. loss probability	1.42	1.47	-0.04
Calmar ratio: Return relative to maximum drawdown	3.04	3.65	-0.61
Martin ratio: Return relative to average drawdown	11.57	14.51	-2.94
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

IVLU vs. GMOIX - Sharpe Ratio Comparison

The current IVLU Sharpe Ratio is 2.36, which is comparable to the GMOIX Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of IVLU and GMOIX, 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

	IVLU	GMOIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.36	2.55	-0.19
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.85	0.93	-0.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.62	0.73	-0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.35	+0.12

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.

Drawdown Indicators

	IVLU	GMOIX	Difference
Max Drawdown Largest 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%	-28.69%	+2.65%
Max Drawdown (10Y) Largest decline over 10 years	-41.85%	-40.14%	-1.71%
Current Drawdown Current decline from peak	-0.81%	0.00%	-0.81%
Average Drawdown Average peak-to-trough decline	-8.59%	-12.91%	+4.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.06%	2.93%	+0.13%

Volatility

IVLU vs. GMOIX - Volatility Comparison

The current volatility for iShares MSCI Intl Value Factor ETF (IVLU) is 4.63%, while GMO International Equity Fund (GMOIX) has a volatility of 5.34%. 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.

Volatility by Period

	IVLU	GMOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.63%	5.34%	-0.71%
Volatility (6M) Calculated over the trailing 6-month period	12.20%	13.26%	-1.06%
Volatility (1Y) Calculated over the trailing 1-year period	15.09%	16.71%	-1.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.48%	16.18%	+0.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.66%	16.88%	+0.78%

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 3.29%, less than GMOIX's 4.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMOIX GMO International Equity Fund	4.68%	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	3.29%	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 IVLU and GMOIX in my portfolio?

With a correlation of 0.93, 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.

Which is riskier, IVLU or GMOIX?

GMOIX has higher volatility (5.34%) compared to IVLU (4.63%). In terms of maximum drawdown, IVLU dropped -41.85% vs GMOIX's -59.00%.

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.