DEEF vs. GMOI

Last updated Jun 4, 2026

DEEF (Xtrackers FTSE Developed ex US Multifactor ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - DEEF tracks the FTSE Developed ex US Comprehensive Factor Net Tax (US RIC) Index while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, DEEF returned 23.80% vs 36.69% for GMOI. Their correlation of 0.85 suggests significant overlap in exposure. DEEF charges 0.24%/yr vs 0.60%/yr for GMOI.

Performance

DEEF vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers FTSE Developed ex US Multifactor ETF (DEEF) and GMO International Value ETF (GMOI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DEEF achieves a 10.24% return, which is significantly lower than GMOI's 13.04% return.

DEEF

• 1D: -0.08%
• 1M: 2.38%
• YTD: 10.24%
• 6M: 13.08%
• 1Y: 23.80%
• 3Y*: 17.65%
• 5Y*: 7.51%
• 10Y*: 8.28%

GMOI

• 1D: -0.73%
• 1M: 2.82%
• YTD: 13.04%
• 6M: 17.00%
• 1Y: 36.69%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

DEEF vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
DEEF Xtrackers FTSE Developed ex US Multifactor ETF	10.24%	32.36%	-3.44%
GMOI GMO International Value ETF	13.04%	45.64%	-4.57%

Correlation

The correlation between DEEF and GMOI is 0.85, 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	0.85
Correlation (All Time) Calculated using the full available price history since Oct 30, 2024	0.85

The correlation between DEEF and GMOI has been stable across timeframes, ranging from 0.85 to 0.85 - a consistent structural relationship.

Return for Risk

DEEF vs. GMOI — Risk / Return Rank

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

DEEF

DEEF Risk / Return Rank: 49
DEEF Sharpe Ratio Rank: 52
DEEF Sortino Ratio Rank: 50
DEEF Omega Ratio Rank: 52
DEEF Calmar Ratio Rank: 46
DEEF Martin Ratio Rank: 47

GMOI

GMOI Risk / Return Rank: 84
GMOI Sharpe Ratio Rank: 85
GMOI Sortino Ratio Rank: 85
GMOI Omega Ratio Rank: 82
GMOI Calmar Ratio Rank: 83
GMOI Martin Ratio Rank: 85

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.

DEEF vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers FTSE Developed ex US Multifactor ETF (DEEF) and GMO International Value ETF (GMOI). 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.

	DEEF	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	1.77	2.81	-1.04
Sortino ratio: Return per unit of downside risk	2.43	3.86	-1.42
Omega ratio: Gain probability vs. loss probability	1.32	1.50	-0.17
Calmar ratio: Return relative to maximum drawdown	2.25	4.41	-2.16
Martin ratio: Return relative to average drawdown	7.82	17.44	-9.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DEEF vs. GMOI - Sharpe Ratio Comparison

The current DEEF Sharpe Ratio is 1.77, which is lower than the GMOI Sharpe Ratio of 2.81. The chart below compares the historical Sharpe Ratios of DEEF and GMOI, 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

	DEEF	GMOI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.77	2.81	-1.04
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.51	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.51	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.50	2.13	-1.63

Drawdowns

DEEF vs. GMOI - Drawdown Comparison

The maximum DEEF drawdown since its inception was -36.48%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for DEEF and GMOI.

Drawdown Indicators

	DEEF	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-36.48%	-14.67%	-21.81%
Max Drawdown (1Y) Largest decline over 1 year	-10.64%	-8.36%	-2.28%
Max Drawdown (3Y) Largest decline over 3 years	-11.07%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-31.08%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-36.48%	—	—
Current Drawdown Current decline from peak	-3.63%	-0.99%	-2.64%
Average Drawdown Average peak-to-trough decline	-7.09%	-1.70%	-5.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.05%	2.11%	+0.94%

Volatility

DEEF vs. GMOI - Volatility Comparison

Xtrackers FTSE Developed ex US Multifactor ETF (DEEF) and GMO International Value ETF (GMOI) have volatilities of 3.88% and 3.93%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DEEF	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.88%	3.93%	-0.05%
Volatility (6M) Calculated over the trailing 6-month period	11.62%	10.28%	+1.34%
Volatility (1Y) Calculated over the trailing 1-year period	13.53%	13.16%	+0.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.93%	15.59%	-0.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.29%	15.59%	+0.70%

DEEF vs. GMOI - Expense Ratio Comparison

DEEF has a 0.24% expense ratio, which is lower than GMOI's 0.60% expense ratio.

Dividends

DEEF vs. GMOI - Dividend Comparison

DEEF's dividend yield for the trailing twelve months is around 3.38%, more than GMOI's 2.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
DEEF Xtrackers FTSE Developed ex US Multifactor ETF	3.38%	3.63%	4.04%	3.96%	3.31%	3.84%	2.71%	3.74%	2.80%	2.61%	4.35%
GMOI GMO International Value ETF	2.42%	2.74%	0.54%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DEEF and GMOI in my portfolio?

DEEF and GMOI have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DEEF or GMOI?

GMOI has higher volatility (3.93%) compared to DEEF (3.88%). In terms of maximum drawdown, DEEF dropped -36.48% vs GMOI's -14.67%.

Which ETF is better, DEEF or GMOI?

On 1-year performance, GMOI leads with 36.69% vs 23.80% for DEEF. On fees, DEEF is cheaper at 0.24% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DEEF or GMOI?

Over the 1-year period, GMOI has performed better with a 36.69% return vs 23.80%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DEEF or GMOI?

DEEF is cheaper with a 0.24% expense ratio, compared with 0.60% for GMOI.

Which ETF pays a higher dividend yield, DEEF or GMOI?

DEEF has the higher dividend yield at 3.38%, compared with 2.42% for GMOI.

What is the main difference between DEEF and GMOI?

DEEF tracks FTSE Developed ex US Comprehensive Factor Net Tax (US RIC) Index, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: Deutsche Bank and GMO. Their fees differ too: 0.24% for DEEF and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.81 vs 1.77), 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.