The 2023 ETF Series Trust II

10-Year Study

GMOI.US · · US · ETF

Executive Summary: The 2023 ETF Series Trust II has compounded at 35.4% annually over the last 10 years, with a maximum drawdown of 4.7% and an annualized volatility of 51.9%.

1Y CAGR
+38.8%
3Y CAGR
+35.4%
5Y CAGR
+35.4%
10Y CAGR
+35.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
4.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
2.95
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
4.83
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
10.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +45.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 11.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20266.26.6-4.73.5————————11.7%
20254.25.52.31.85.22.20.45.91.90.83.84.445.6%
2024——————————-0.9-2.3-3.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 51.9%. The dominant macroeconomic risk driver is SHV.US, accounting for 64.3% of variance. Idiosyncratic stock-specific factors contribute 0.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2024-10-0110000
2024-11-019907.55195219391
2024-12-019675.781381139423
2025-01-0110080.572061637627
2025-02-0110636.183570013764
2025-03-0110884.949810319938
2025-04-0111076.644173632792
2025-05-0111655.755866653239
2025-06-0111906.620337731227
2025-07-0111957.565380870848
2025-08-0112660.09500788935
2025-09-0112896.39775741095
2025-10-0113000.386074462014
2025-11-0113498.631953536777
2025-12-0114091.717863497499
2026-01-0114962.48363379998
2026-02-0115946.553865780375
2026-03-0115203.7801725585
2026-04-0115740.087957833957
Annual Return Matrix
YearAnnual Return
20250.45639068395714966
20260.11697438951757011
Total Factor Risk
0.518599924500651
VTI.US Exposure
-0.012370869957696004
VEA.US Exposure
-0.020276310369661064
VWO.US Exposure
0.05833910361289176
QQQ.US Exposure
0.04401884345617022
VTV.US Exposure
0.14881352774439122
IJR.US Exposure
-0.015427141839914919
QUAL.US Exposure
0.016918768275185764
SHV.US Exposure
0.6425825082447215
TLT.US Exposure
0.018372690234201128
LQD.US Exposure
-0.005362008145868463
HYG.US Exposure
0.029059400081850796
GLD.US Exposure
0.0006483125445745475
USO.US Exposure
0.0042753480916532935
VNQ.US Exposure
0.00027103800655669706
BTC-USD.CC Exposure
0.0013104097077399417
CPER.US Exposure
-0.0035682280090022283
VIX.INDX Exposure
0.038900284302257476
UUP.US Exposure
0.020743175370911672
TIP.US Exposure
0.03262199765065668
Idiosyncratic Exposure
0.00012915099838008525
Value Score
45.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
29
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
51.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →12.0x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.42%
Market Cap$61.0B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+14.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is The 2023 ETF Series Trust II a high-risk investment?

The 2023 ETF Series Trust II (GMOI.US) has an annualized volatility of 51.9% and experienced a maximum drawdown of 4.7% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of GMOI.US?

Over the past 10 years, GMOI.US has generated a Compound Annual Growth Rate (CAGR) of 35.4%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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