DFIVX vs. GTMIX

Last updated Jun 23, 2026

DFIVX (DFA International Value Portfolio Institutional Class) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, DFIVX returned 11.79%/yr vs 10.27%/yr for GTMIX. Their correlation of 0.95 suggests significant overlap in exposure. DFIVX charges 0.28%/yr vs 0.68%/yr for GTMIX.

Performance

DFIVX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA International Value Portfolio Institutional Class (DFIVX) 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, DFIVX achieves a 11.82% return, which is significantly lower than GTMIX's 13.42% return. Over the past 10 years, DFIVX has outperformed GTMIX with an annualized return of 11.79%, while GTMIX has yielded a comparatively lower 10.27% annualized return.

DFIVX

• 1D: 0.06%
• 1M: -0.25%
• YTD: 11.82%
• 6M: 12.10%
• 1Y: 35.88%
• 3Y*: 22.58%
• 5Y*: 15.08%
• 10Y*: 11.79%

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)

DFIVX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFIVX DFA International Value Portfolio Institutional Class	11.82%	45.24%	6.87%	17.83%	-3.51%	18.57%	-2.13%	15.68%	-17.49%	26.08%
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 DFIVX and GTMIX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999	0.95

The correlation between DFIVX and GTMIX has been stable across timeframes, ranging from 0.93 to 0.96 - a consistent structural relationship.

Return for Risk

DFIVX vs. GTMIX — Risk / Return Rank

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

DFIVX

DFIVX Risk / Return Rank: 80
DFIVX Sharpe Ratio Rank: 83
DFIVX Sortino Ratio Rank: 77
DFIVX Omega Ratio Rank: 75
DFIVX Calmar Ratio Rank: 83
DFIVX Martin Ratio Rank: 83

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.

DFIVX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International Value Portfolio Institutional Class (DFIVX) 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.

	DFIVX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.49	2.94	-0.45
Sortino ratio: Return per unit of downside risk	3.35	4.05	-0.69
Omega ratio: Gain probability vs. loss probability	1.44	1.53	-0.08
Calmar ratio: Return relative to maximum drawdown	3.69	4.85	-1.15
Martin ratio: Return relative to average drawdown	14.41	18.73	-4.33

DFIVX vs. GTMIX - Sharpe Ratio Comparison

The current DFIVX Sharpe Ratio is 2.49, which is comparable to the GTMIX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of DFIVX 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

DFIVX vs. GTMIX - Drawdown Comparison

The maximum DFIVX drawdown since its inception was -66.61%, which is greater than GTMIX's maximum drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for DFIVX and GTMIX.

Drawdown Indicators

	DFIVX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-66.61%	-58.31%	-8.30%
Max Drawdown (1Y) Largest decline over 1 year	-9.58%	-7.90%	-1.68%
Max Drawdown (3Y) Largest decline over 3 years	-14.39%	-14.11%	-0.28%
Max Drawdown (5Y) Largest decline over 5 years	-25.29%	-27.34%	+2.05%
Max Drawdown (10Y) Largest decline over 10 years	-48.11%	-40.32%	-7.79%
Current Drawdown Current decline from peak	-1.33%	-1.33%	0.00%
Average Drawdown Average peak-to-trough decline	-12.22%	-12.66%	+0.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.45%	2.04%	+0.41%

Volatility

DFIVX vs. GTMIX - Volatility Comparison

DFA International Value Portfolio Institutional Class (DFIVX) has a higher volatility of 4.31% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.61%. This indicates that DFIVX'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

	DFIVX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.31%	3.61%	+0.70%
Volatility (6M) Calculated over the trailing 6-month period	11.38%	9.95%	+1.43%
Volatility (1Y) Calculated over the trailing 1-year period	14.19%	13.00%	+1.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.31%	14.94%	+1.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.99%	16.03%	+1.96%

DFIVX vs. GTMIX - Expense Ratio Comparison

DFIVX has a 0.28% expense ratio, which is lower than GTMIX's 0.68% expense ratio.

Dividends

DFIVX vs. GTMIX - Dividend Comparison

DFIVX's dividend yield for the trailing twelve months is around 3.77%, less than GTMIX's 19.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFIVX DFA International Value Portfolio Institutional Class	3.77%	4.21%	3.94%	4.40%	3.78%	4.37%	2.42%	3.70%	6.60%	2.85%	3.36%	3.45%
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 DFIVX and GTMIX in my portfolio?

With a correlation of 0.96, DFIVX 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, DFIVX or GTMIX?

DFIVX has higher volatility (4.31%) compared to GTMIX (3.61%). In terms of maximum drawdown, DFIVX dropped -66.61% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (2.94 vs 2.49), 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.