DFSPX vs. GTMIX

Last updated Jun 23, 2026

DFSPX (DFA International Sustainability Core 1 Portfolio) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, DFSPX returned 9.61%/yr vs 10.27%/yr for GTMIX. Their correlation of 0.94 suggests significant overlap in exposure. DFSPX charges 0.24%/yr vs 0.68%/yr for GTMIX.

Performance

DFSPX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA International Sustainability Core 1 Portfolio (DFSPX) 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, DFSPX achieves a 7.29% return, which is significantly lower than GTMIX's 13.42% return. Over the past 10 years, DFSPX has underperformed GTMIX with an annualized return of 9.61%, while GTMIX has yielded a comparatively higher 10.27% annualized return.

DFSPX

• 1D: 0.58%
• 1M: 1.41%
• YTD: 7.29%
• 6M: 7.42%
• 1Y: 22.15%
• 3Y*: 16.37%
• 5Y*: 8.34%
• 10Y*: 9.61%

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)

DFSPX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFSPX DFA International Sustainability Core 1 Portfolio	7.29%	32.97%	4.99%	18.37%	-17.70%	12.12%	11.64%	24.22%	-15.53%	27.25%
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 DFSPX and GTMIX is 0.89, 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	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Aug 3, 2012	0.94

The correlation between DFSPX and GTMIX has been stable across timeframes, ranging from 0.89 to 0.94 - a consistent structural relationship.

Return for Risk

DFSPX vs. GTMIX — Risk / Return Rank

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

DFSPX

DFSPX Risk / Return Rank: 28
DFSPX Sharpe Ratio Rank: 29
DFSPX Sortino Ratio Rank: 28
DFSPX Omega Ratio Rank: 28
DFSPX Calmar Ratio Rank: 26
DFSPX Martin Ratio Rank: 30

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.

DFSPX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA International Sustainability Core 1 Portfolio (DFSPX) 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.

	DFSPX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.42	2.94	-1.52
Sortino ratio: Return per unit of downside risk	2.06	4.05	-1.99
Omega ratio: Gain probability vs. loss probability	1.26	1.53	-0.27
Calmar ratio: Return relative to maximum drawdown	1.80	4.85	-3.05
Martin ratio: Return relative to average drawdown	6.55	18.73	-12.18

DFSPX vs. GTMIX - Sharpe Ratio Comparison

The current DFSPX Sharpe Ratio is 1.42, which is lower than the GTMIX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of DFSPX 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

DFSPX vs. GTMIX - Drawdown Comparison

The maximum DFSPX drawdown since its inception was -35.86%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for DFSPX and GTMIX.

Drawdown Indicators

	DFSPX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.86%	-58.31%	+22.45%
Max Drawdown (1Y) Largest decline over 1 year	-11.96%	-7.90%	-4.06%
Max Drawdown (3Y) Largest decline over 3 years	-12.72%	-14.11%	+1.39%
Max Drawdown (5Y) Largest decline over 5 years	-32.68%	-27.34%	-5.34%
Max Drawdown (10Y) Largest decline over 10 years	-35.86%	-40.32%	+4.46%
Current Drawdown Current decline from peak	-1.37%	-1.33%	-0.04%
Average Drawdown Average peak-to-trough decline	-7.20%	-12.66%	+5.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.27%	2.04%	+1.23%

Volatility

DFSPX vs. GTMIX - Volatility Comparison

DFA International Sustainability Core 1 Portfolio (DFSPX) has a higher volatility of 4.73% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.61%. This indicates that DFSPX'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

	DFSPX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.73%	3.61%	+1.12%
Volatility (6M) Calculated over the trailing 6-month period	12.64%	9.95%	+2.69%
Volatility (1Y) Calculated over the trailing 1-year period	15.14%	13.00%	+2.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.18%	14.94%	+1.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.25%	16.03%	+0.22%

DFSPX vs. GTMIX - Expense Ratio Comparison

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

Dividends

DFSPX vs. GTMIX - Dividend Comparison

DFSPX's dividend yield for the trailing twelve months is around 2.83%, less than GTMIX's 19.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFSPX DFA International Sustainability Core 1 Portfolio	2.83%	3.06%	3.06%	2.59%	2.27%	2.64%	1.44%	2.52%	2.60%	2.32%	2.48%	2.43%
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 DFSPX and GTMIX in my portfolio?

DFSPX and GTMIX have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFSPX or GTMIX?

DFSPX has higher volatility (4.73%) compared to GTMIX (3.61%). In terms of maximum drawdown, DFSPX dropped -35.86% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (2.94 vs 1.42), 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.