QLTI vs. INVG

Last updated Jun 24, 2026

QLTI (GMO International Quality ETF) and INVG (GMO Systematic Investment Grade Credit ETF) are both exchange-traded funds - QLTI is a Foreign Large Cap Equities fund actively managed by GMO, while INVG is a Corporate Bonds fund actively managed by GMO. Both are actively managed. Over the past year, QLTI returned 6.03% vs 5.23% for INVG. At a 0.49 correlation, their price movements are largely independent. QLTI charges 0.60%/yr vs 0.25%/yr for INVG.

Performance

QLTI vs. INVG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Quality ETF (QLTI) and GMO Systematic Investment Grade Credit ETF (INVG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QLTI achieves a -0.68% return, which is significantly lower than INVG's 0.96% return.

QLTI

• 1D: -0.60%
• 1M: 1.30%
• YTD: -0.68%
• 6M: -0.63%
• 1Y: 6.03%
• 3Y*: —
• 5Y*: —
• 10Y*: —

INVG

• 1D: 0.16%
• 1M: 0.87%
• YTD: 0.96%
• 6M: 1.01%
• 1Y: 5.23%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

QLTI vs. INVG - Yearly Performance Comparison

	2026 (YTD)	2025
QLTI GMO International Quality ETF	-0.68%	5.19%
INVG GMO Systematic Investment Grade Credit ETF	0.96%	5.03%

Correlation

The correlation between QLTI and INVG is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.51
Correlation (All Time) Calculated using the full available price history since Jun 4, 2025	0.49

The correlation between QLTI and INVG has been stable across timeframes, ranging from 0.49 to 0.51 - a consistent structural relationship.

Return for Risk

QLTI vs. INVG — Risk / Return Rank

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

QLTI

QLTI Risk / Return Rank: 14
QLTI Sharpe Ratio Rank: 15
QLTI Sortino Ratio Rank: 14
QLTI Omega Ratio Rank: 14
QLTI Calmar Ratio Rank: 14
QLTI Martin Ratio Rank: 15

INVG

INVG Risk / Return Rank: 36
INVG Sharpe Ratio Rank: 36
INVG Sortino Ratio Rank: 36
INVG Omega Ratio Rank: 33
INVG Calmar Ratio Rank: 36
INVG Martin Ratio Rank: 37

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.

QLTI vs. INVG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO International Quality ETF (QLTI) and GMO Systematic Investment Grade Credit ETF (INVG). 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	INVG	Difference
Sharpe ratio: Return per unit of total volatility	0.39	1.18	-0.79
Sortino ratio: Return per unit of downside risk	0.67	1.74	-1.07
Omega ratio: Gain probability vs. loss probability	1.08	1.21	-0.13
Calmar ratio: Return relative to maximum drawdown	0.44	1.67	-1.22
Martin ratio: Return relative to average drawdown	1.23	5.31	-4.07

QLTI vs. INVG - Sharpe Ratio Comparison

The current QLTI Sharpe Ratio is 0.39, which is lower than the INVG Sharpe Ratio of 1.18. The chart below compares the historical Sharpe Ratios of QLTI and INVG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QLTI vs. INVG - Drawdown Comparison

The maximum QLTI drawdown since its inception was -14.82%, which is greater than INVG's maximum drawdown of -3.15%. Use the drawdown chart below to compare losses from any high point for QLTI and INVG.

Drawdown Indicators

	QLTI	INVG	Difference
Max Drawdown Largest peak-to-trough decline	-14.82%	-3.15%	-11.67%
Max Drawdown (1Y) Largest decline over 1 year	-13.72%	-3.15%	-10.57%
Current Drawdown Current decline from peak	-6.11%	-0.61%	-5.50%
Average Drawdown Average peak-to-trough decline	-3.82%	-0.71%	-3.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.90%	0.99%	+3.91%

Volatility

QLTI vs. INVG - Volatility Comparison

GMO International Quality ETF (QLTI) has a higher volatility of 4.63% compared to GMO Systematic Investment Grade Credit ETF (INVG) at 1.26%. This indicates that QLTI's price experiences larger fluctuations and is considered to be riskier than INVG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QLTI	INVG	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.63%	1.26%	+3.37%
Volatility (6M) Calculated over the trailing 6-month period	12.82%	3.41%	+9.41%
Volatility (1Y) Calculated over the trailing 1-year period	15.54%	4.45%	+11.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.73%	4.45%	+12.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.73%	4.45%	+12.28%

QLTI vs. INVG - Expense Ratio Comparison

QLTI has a 0.60% expense ratio, which is higher than INVG's 0.25% expense ratio.

Dividends

QLTI vs. INVG - Dividend Comparison

QLTI's dividend yield for the trailing twelve months is around 0.52%, less than INVG's 4.66% yield.

Position	TTM	2025	2024
INVG GMO Systematic Investment Grade Credit ETF	4.66%	2.81%	0.00%
QLTI GMO International Quality ETF	0.52%	0.52%	0.19%

Frequently Asked Questions

Can I hold both QLTI and INVG in my portfolio?

QLTI and INVG have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QLTI or INVG?

QLTI has higher volatility (4.63%) compared to INVG (1.26%). In terms of maximum drawdown, QLTI dropped -14.82% vs INVG's -3.15%.

Which ETF is better, QLTI or INVG?

On 1-year performance, QLTI leads with 6.03% vs 5.23% for INVG. On fees, INVG is cheaper at 0.25% per year. On volatility, INVG has been the lower-risk option at 1.26%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QLTI or INVG?

Over the 1-year period, QLTI has performed better with a 6.03% return vs 5.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QLTI or INVG?

INVG is cheaper with a 0.25% expense ratio, compared with 0.60% for QLTI.

Which ETF pays a higher dividend yield, QLTI or INVG?

INVG has the higher dividend yield at 4.66%, compared with 0.52% for QLTI.

What is the main difference between QLTI and INVG?

QLTI is categorized as Foreign Large Cap Equities, while INVG is Corporate Bonds. Their fees differ too: 0.60% for QLTI and 0.25% for INVG.

Which has better risk-adjusted returns?

INVG currently has the higher Sharpe Ratio (1.18 vs 0.39), 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.