BROKX vs. GTMIX

Last updated Jun 6, 2026

BROKX (BlackRock Advantage International Fund Class K) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 5 years, BROKX returned 10.24%/yr vs 10.88%/yr for GTMIX. Their correlation of 0.87 suggests significant overlap in exposure. BROKX charges 0.45%/yr vs 0.68%/yr for GTMIX.

Performance

BROKX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Advantage International Fund Class K (BROKX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BROKX achieves a 10.76% return, which is significantly lower than GTMIX's 14.40% return.

BROKX

• 1D: 0.75%
• 1M: 1.32%
• YTD: 10.76%
• 6M: 13.32%
• 1Y: 23.04%
• 3Y*: 19.27%
• 5Y*: 10.24%
• 10Y*: —

GTMIX

• 1D: 0.59%
• 1M: 0.48%
• YTD: 14.40%
• 6M: 18.42%
• 1Y: 39.03%
• 3Y*: 22.56%
• 5Y*: 10.88%
• 10Y*: 10.12%

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

BROKX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
BROKX BlackRock Advantage International Fund Class K	10.76%	32.56%	6.80%	19.49%	-13.43%	13.12%	7.39%	13.36%	2.62%
GTMIX GMO Tax-Managed International Equities Fund	14.40%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-26.50%

Correlation

The correlation between BROKX and GTMIX is 0.91, 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (All Time) Calculated using the full available price history since Jan 30, 2018	0.87

The correlation between BROKX and GTMIX has been stable across timeframes, ranging from 0.87 to 0.92 - a consistent structural relationship.

Return for Risk

BROKX vs. GTMIX — Risk / Return Rank

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

BROKX

BROKX Risk / Return Rank: 32
BROKX Sharpe Ratio Rank: 31
BROKX Sortino Ratio Rank: 30
BROKX Omega Ratio Rank: 30
BROKX Calmar Ratio Rank: 33
BROKX Martin Ratio Rank: 38

GTMIX

GTMIX Risk / Return Rank: 90
GTMIX Sharpe Ratio Rank: 92
GTMIX Sortino Ratio Rank: 88
GTMIX Omega Ratio Rank: 83
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 93

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.

BROKX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Advantage International Fund Class K (BROKX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.

	BROKX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.52	3.07	-1.55
Sortino ratio: Return per unit of downside risk	2.16	4.19	-2.03
Omega ratio: Gain probability vs. loss probability	1.27	1.55	-0.28
Calmar ratio: Return relative to maximum drawdown	2.08	4.99	-2.91
Martin ratio: Return relative to average drawdown	7.95	19.21	-11.26
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BROKX vs. GTMIX - Sharpe Ratio Comparison

The current BROKX Sharpe Ratio is 1.52, which is lower than the GTMIX Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of BROKX and GTMIX, 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

	BROKX	GTMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.52	3.07	-1.55
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.64	0.73	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.63	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.62	0.41	+0.22

Drawdowns

BROKX vs. GTMIX - Drawdown Comparison

The maximum BROKX drawdown since its inception was -35.06%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for BROKX and GTMIX.

Drawdown Indicators

	BROKX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.06%	-58.31%	+23.25%
Max Drawdown (1Y) Largest decline over 1 year	-11.11%	-7.90%	-3.21%
Max Drawdown (3Y) Largest decline over 3 years	-14.04%	-14.11%	+0.07%
Max Drawdown (5Y) Largest decline over 5 years	-28.22%	-28.81%	+0.59%
Max Drawdown (10Y) Largest decline over 10 years	—	-40.32%	—
Current Drawdown Current decline from peak	-0.04%	-0.21%	+0.17%
Average Drawdown Average peak-to-trough decline	-4.79%	-12.67%	+7.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.90%	2.05%	+0.85%

Volatility

BROKX vs. GTMIX - Volatility Comparison

BlackRock Advantage International Fund Class K (BROKX) has a higher volatility of 4.55% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.27%. This indicates that BROKX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BROKX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.55%	3.27%	+1.28%
Volatility (6M) Calculated over the trailing 6-month period	12.41%	9.69%	+2.72%
Volatility (1Y) Calculated over the trailing 1-year period	15.18%	12.83%	+2.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.13%	14.93%	+1.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.78%	16.05%	+0.73%

BROKX vs. GTMIX - Expense Ratio Comparison

BROKX has a 0.45% expense ratio, which is lower than GTMIX's 0.68% expense ratio.

Dividends

BROKX vs. GTMIX - Dividend Comparison

BROKX's dividend yield for the trailing twelve months is around 6.47%, less than GTMIX's 19.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BROKX BlackRock Advantage International Fund Class K	6.47%	7.16%	3.59%	2.75%	3.42%	8.57%	1.76%	2.72%	2.56%	0.00%	0.00%	0.00%
GTMIX GMO Tax-Managed International Equities Fund	19.61%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%

Frequently Asked Questions

Can I hold both BROKX and GTMIX in my portfolio?

With a correlation of 0.91, BROKX and GTMIX 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, BROKX or GTMIX?

BROKX has higher volatility (4.55%) compared to GTMIX (3.27%). In terms of maximum drawdown, BROKX dropped -35.06% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.07 vs 1.52), 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.