DFSI vs. GMOI

Last updated Jun 24, 2026

DFSI (Dimensional International Sustainability Core 1 ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds. DFSI is actively managed, while GMOI is passively managed. Over the past year, DFSI returned 17.86% vs 35.21% for GMOI. Their correlation of 0.86 suggests significant overlap in exposure. DFSI charges 0.24%/yr vs 0.60%/yr for GMOI.

Performance

DFSI vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional International Sustainability Core 1 ETF (DFSI) 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, DFSI achieves a 4.33% return, which is significantly lower than GMOI's 11.52% return.

DFSI

• 1D: -2.97%
• 1M: -1.56%
• YTD: 4.33%
• 6M: 3.89%
• 1Y: 17.86%
• 3Y*: 16.74%
• 5Y*: —
• 10Y*: —

GMOI

• 1D: -1.03%
• 1M: -1.76%
• YTD: 11.52%
• 6M: 11.19%
• 1Y: 35.21%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

DFSI vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
DFSI Dimensional International Sustainability Core 1 ETF	4.33%	33.62%	-3.95%
GMOI GMO International Value ETF	11.52%	45.64%	-4.48%

Correlation

The correlation between DFSI and GMOI is 0.86, 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	0.86
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024	0.86

The correlation between DFSI and GMOI has been stable across timeframes, ranging from 0.86 to 0.86 - a consistent structural relationship.

Return for Risk

DFSI vs. GMOI — Risk / Return Rank

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

DFSI

DFSI Risk / Return Rank: 34
DFSI Sharpe Ratio Rank: 34
DFSI Sortino Ratio Rank: 33
DFSI Omega Ratio Rank: 34
DFSI Calmar Ratio Rank: 31
DFSI Martin Ratio Rank: 37

GMOI

GMOI Risk / Return Rank: 85
GMOI Sharpe Ratio Rank: 87
GMOI Sortino Ratio Rank: 87
GMOI Omega Ratio Rank: 83
GMOI Calmar Ratio Rank: 84
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.

DFSI vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Sustainability Core 1 ETF (DFSI) 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.

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.

	DFSI	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	1.15	2.64	-1.49
Sortino ratio: Return per unit of downside risk	1.70	3.65	-1.96
Omega ratio: Gain probability vs. loss probability	1.22	1.47	-0.25
Calmar ratio: Return relative to maximum drawdown	1.46	4.23	-2.77
Martin ratio: Return relative to average drawdown	5.45	16.65	-11.20

DFSI vs. GMOI - Sharpe Ratio Comparison

The current DFSI Sharpe Ratio is 1.15, which is lower than the GMOI Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of DFSI 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.

Drawdowns

DFSI vs. GMOI - Drawdown Comparison

The maximum DFSI drawdown since its inception was -12.82%, smaller than the maximum GMOI drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for DFSI and GMOI.

Drawdown Indicators

	DFSI	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-12.82%	-14.67%	+1.85%
Max Drawdown (1Y) Largest decline over 1 year	-12.26%	-8.36%	-3.90%
Max Drawdown (3Y) Largest decline over 3 years	-12.82%	—	—
Current Drawdown Current decline from peak	-4.26%	-2.63%	-1.63%
Average Drawdown Average peak-to-trough decline	-2.62%	-1.69%	-0.93%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.28%	2.12%	+1.16%

Volatility

DFSI vs. GMOI - Volatility Comparison

Dimensional International Sustainability Core 1 ETF (DFSI) has a higher volatility of 5.34% compared to GMO International Value ETF (GMOI) at 3.99%. This indicates that DFSI's price experiences larger fluctuations and is considered to be riskier than GMOI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFSI	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.34%	3.99%	+1.35%
Volatility (6M) Calculated over the trailing 6-month period	13.46%	10.67%	+2.79%
Volatility (1Y) Calculated over the trailing 1-year period	15.57%	13.40%	+2.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.37%	15.57%	-0.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.37%	15.57%	-0.20%

DFSI vs. GMOI - Expense Ratio Comparison

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

Dividends

DFSI vs. GMOI - Dividend Comparison

DFSI's dividend yield for the trailing twelve months is around 2.17%, less than GMOI's 2.45% yield.

Position	TTM	2025	2024	2023	2022
DFSI Dimensional International Sustainability Core 1 ETF	2.17%	2.23%	2.39%	2.10%	0.18%
GMOI GMO International Value ETF	2.45%	2.74%	0.54%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DFSI and GMOI in my portfolio?

DFSI and GMOI have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFSI or GMOI?

DFSI has higher volatility (5.34%) compared to GMOI (3.99%). In terms of maximum drawdown, DFSI dropped -12.82% vs GMOI's -14.67%.

Which ETF is better, DFSI or GMOI?

On 1-year performance, GMOI leads with 35.21% vs 17.86% for DFSI. On fees, DFSI is cheaper at 0.24% per year. On volatility, GMOI has been the lower-risk option at 3.99%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DFSI or GMOI?

Over the 1-year period, GMOI has performed better with a 35.21% return vs 17.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DFSI or GMOI?

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

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

GMOI has the higher dividend yield at 2.45%, compared with 2.17% for DFSI.

What is the main difference between DFSI and GMOI?

They also come from different issuers: Dimensional and GMO. Their fees differ too: 0.24% for DFSI and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.64 vs 1.15), 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.