QLTI vs. GSG
QLTI (GMO International Quality ETF) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - QLTI is a Quality Factor fund actively managed by GMO, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. QLTI is actively managed, while GSG is passively managed. Over the past year, QLTI returned 14.70% vs 37.47% for GSG. Their -0.21 correlation means they have often moved in opposite directions in the past. QLTI charges 0.60%/yr vs 0.75%/yr for GSG.
Performance
QLTI vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, QLTI achieves a 4.98% return, which is significantly lower than GSG's 32.52% return.
QLTI
- 1D
- 0.72%
- 1M
- 2.21%
- 6M
- 2.33%
- YTD
- 4.98%
- 1Y
- 14.70%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 7.27%
GSG
- 1D
- 0.36%
- 1M
- 5.78%
- 6M
- 21.95%
- YTD
- 32.52%
- 1Y
- 37.47%
- 3Y*
- 12.51%
- 5Y*
- 14.20%
- 10Y*
- 8.03%
- ALL TIME*
- -2.36%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $18.96M | $16.42M | $22.87M | |
| $1.35M | $762.84K | $687.34K |
QLTI vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
QLTI GMO International Quality ETF | 4.98% | 17.12% | -7.94% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 32.52% | 5.93% | 4.21% |
Correlation
The correlation between QLTI and GSG is -0.35, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.35 |
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024 | -0.21 |
The correlation between QLTI and GSG shifts across timeframes, from -0.35 (1 year) to -0.21 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
QLTI vs. GSG — Risk / Return Rank
QLTI
GSG
QLTI vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO International Quality ETF (QLTI) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.
| QLTI | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.60 | ||
| Sortino ratioReturn per unit of downside risk | -0.66 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.27 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 1.08 | 2.00 | -0.93 |
| Martin ratioReturn relative to average drawdown | 2.98 | 6.32 | -3.34 |
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Drawdowns
QLTI vs. GSG - Drawdown Comparison
The maximum QLTI drawdown since its inception was -14.82%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for QLTI and GSG.
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Drawdown Indicators
| QLTI | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.82% | -89.62% | +74.80% |
Max Drawdown (1Y)Largest decline over 1 year | -13.72% | -18.81% | +5.09% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.81% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -29.12% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -57.64% | — |
Current DrawdownCurrent decline from peak | -0.76% | -59.99% | +59.23% |
Average DrawdownAverage peak-to-trough decline | -3.86% | -63.67% | +59.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.95% | 5.94% | -0.99% |
Volatility
QLTI vs. GSG - Volatility Comparison
The current volatility for GMO International Quality ETF (QLTI) is 4.65%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 8.99%. This indicates that QLTI experiences smaller price fluctuations and is considered to be less risky than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QLTI | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.65% | 8.99% | -4.34% |
Volatility (6M)Calculated over the trailing 6-month period | 13.30% | 21.89% | -8.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.63% | 24.44% | -8.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.59% | 22.90% | -6.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.59% | 22.08% | -5.49% |
QLTI vs. GSG - Expense Ratio Comparison
QLTI has a 0.60% expense ratio, which is lower than GSG's 0.75% expense ratio.
Dividends
QLTI vs. GSG - Dividend Comparison
QLTI's dividend yield for the trailing twelve months is around 0.58%, while GSG has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% |
QLTI GMO International Quality ETF | 0.58% | 0.52% | 0.19% |
Frequently Asked Questions
QLTI and GSG have a correlation of -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GSG has higher volatility (8.99%) compared to QLTI (4.65%). In terms of maximum drawdown, QLTI dropped -14.82% vs GSG's -89.62%.
On 1-year performance, GSG leads with 37.47% vs 14.70% for QLTI. On fees, QLTI is cheaper at 0.60% per year. On volatility, QLTI has been the lower-risk option at 4.65%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, GSG has performed better with a 37.47% return vs 14.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QLTI is cheaper with a 0.60% expense ratio, compared with 0.75% for GSG.
QLTI has the higher dividend yield at 0.58%, compared with 0.00% for GSG.
QLTI is categorized as Quality Factor, while GSG is Commodities. They also come from different issuers: GMO and iShares. Their fees differ too: 0.60% for QLTI and 0.75% for GSG.
GSG currently has the higher Sharpe Ratio (1.54 vs 0.94), 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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