DFIEX vs. GTMIX

Last updated Jun 23, 2026

DFIEX (DFA International Core Equity Portfolio I) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, DFIEX returned 10.10%/yr vs 10.27%/yr for GTMIX. With a 0.96 correlation, they move nearly in lockstep. DFIEX charges 0.24%/yr vs 0.68%/yr for GTMIX.

Performance

DFIEX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA International Core Equity Portfolio I (DFIEX) 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, DFIEX achieves a 10.65% return, which is significantly lower than GTMIX's 13.42% return. Both investments have delivered pretty close results over the past 10 years, with DFIEX having a 10.10% annualized return and GTMIX not far ahead at 10.27%.

DFIEX

• 1D: 0.36%
• 1M: 0.63%
• YTD: 10.65%
• 6M: 10.92%
• 1Y: 28.45%
• 3Y*: 18.32%
• 5Y*: 10.33%
• 10Y*: 10.10%

GTMIX

• 1D: -0.38%
• 1M: -0.54%
• YTD: 13.42%
• 6M: 13.84%
• 1Y: 39.10%
• 3Y*: 20.69%
• 5Y*: 11.56%
• 10Y*: 10.27%

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

DFIEX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFIEX DFA International Core Equity Portfolio I	10.65%	36.18%	3.99%	17.50%	-13.51%	13.85%	7.73%	21.70%	-17.41%	28.04%
GTMIX GMO Tax-Managed International Equities Fund	13.42%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between DFIEX and GTMIX is 0.92, 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	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.94
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since Sep 16, 2005	0.96

The correlation between DFIEX and GTMIX has been stable across timeframes, ranging from 0.92 to 0.96 - a consistent structural relationship.

Return for Risk

DFIEX vs. GTMIX — Risk / Return Rank

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

DFIEX

DFIEX Risk / Return Rank: 50
DFIEX Sharpe Ratio Rank: 52
DFIEX Sortino Ratio Rank: 50
DFIEX Omega Ratio Rank: 49
DFIEX Calmar Ratio Rank: 48
DFIEX Martin Ratio Rank: 51

GTMIX

GTMIX Risk / Return Rank: 91
GTMIX Sharpe Ratio Rank: 93
GTMIX Sortino Ratio Rank: 90
GTMIX Omega Ratio Rank: 84
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 94

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.

DFIEX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International Core Equity Portfolio I (DFIEX) 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.

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.

	DFIEX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.96	2.94	-0.98
Sortino ratio: Return per unit of downside risk	2.73	4.05	-1.32
Omega ratio: Gain probability vs. loss probability	1.35	1.53	-0.17
Calmar ratio: Return relative to maximum drawdown	2.54	4.85	-2.31
Martin ratio: Return relative to average drawdown	9.85	18.73	-8.89

DFIEX vs. GTMIX - Sharpe Ratio Comparison

The current DFIEX Sharpe Ratio is 1.96, which is lower than the GTMIX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of DFIEX 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.

Drawdowns

DFIEX vs. GTMIX - Drawdown Comparison

The maximum DFIEX drawdown since its inception was -62.22%, which is greater than GTMIX's maximum drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for DFIEX and GTMIX.

Drawdown Indicators

	DFIEX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-62.22%	-58.31%	-3.91%
Max Drawdown (1Y) Largest decline over 1 year	-11.01%	-7.90%	-3.11%
Max Drawdown (3Y) Largest decline over 3 years	-12.81%	-14.11%	+1.30%
Max Drawdown (5Y) Largest decline over 5 years	-28.66%	-27.34%	-1.32%
Max Drawdown (10Y) Largest decline over 10 years	-41.04%	-40.32%	-0.72%
Current Drawdown Current decline from peak	-0.70%	-1.33%	+0.63%
Average Drawdown Average peak-to-trough decline	-12.15%	-12.66%	+0.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.82%	2.04%	+0.78%

Volatility

DFIEX vs. GTMIX - Volatility Comparison

DFA International Core Equity Portfolio I (DFIEX) has a higher volatility of 4.62% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.61%. This indicates that DFIEX'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

	DFIEX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.62%	3.61%	+1.01%
Volatility (6M) Calculated over the trailing 6-month period	11.75%	9.95%	+1.80%
Volatility (1Y) Calculated over the trailing 1-year period	14.24%	13.00%	+1.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.81%	14.94%	+0.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.38%	16.03%	+0.35%

DFIEX vs. GTMIX - Expense Ratio Comparison

DFIEX has a 0.24% expense ratio, which is lower than GTMIX's 0.68% expense ratio.

Dividends

DFIEX vs. GTMIX - Dividend Comparison

DFIEX's dividend yield for the trailing twelve months is around 2.92%, less than GTMIX's 19.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFIEX DFA International Core Equity Portfolio I	2.92%	3.22%	3.42%	3.36%	2.88%	2.98%	1.77%	2.90%	2.95%	2.49%	2.76%	4.20%
GTMIX GMO Tax-Managed International Equities Fund	19.78%	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 DFIEX and GTMIX in my portfolio?

With a correlation of 0.92, DFIEX 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, DFIEX or GTMIX?

DFIEX has higher volatility (4.62%) compared to GTMIX (3.61%). In terms of maximum drawdown, DFIEX dropped -62.22% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (2.94 vs 1.96), 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.