DFSPX vs. GTMIX
Compare and contrast key facts about DFA International Sustainability Core 1 Portfolio (DFSPX) and GMO Tax-Managed International Equities Fund (GTMIX).
DFSPX is managed by Dimensional. It was launched on Mar 12, 2008. GTMIX is managed by GMO. It was launched on Jul 28, 1998.
Performance
DFSPX vs. GTMIX - Performance Comparison
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DFSPX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFSPX DFA International Sustainability Core 1 Portfolio | -4.18% | 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 | 5.80% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Returns By Period
In the year-to-date period, DFSPX achieves a -4.18% return, which is significantly lower than GTMIX's 5.80% return. Over the past 10 years, DFSPX has underperformed GTMIX with an annualized return of 8.63%, while GTMIX has yielded a comparatively higher 9.60% annualized return.
DFSPX
- 1D
- 0.06%
- 1M
- -11.91%
- YTD
- -4.18%
- 6M
- -0.02%
- 1Y
- 19.98%
- 3Y*
- 13.48%
- 5Y*
- 7.03%
- 10Y*
- 8.63%
GTMIX
- 1D
- 0.35%
- 1M
- -6.82%
- YTD
- 5.80%
- 6M
- 15.97%
- 1Y
- 37.75%
- 3Y*
- 19.28%
- 5Y*
- 11.05%
- 10Y*
- 9.60%
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DFSPX vs. GTMIX - Expense Ratio Comparison
DFSPX has a 0.24% expense ratio, which is lower than GTMIX's 0.68% expense ratio.
Return for Risk
DFSPX vs. GTMIX — Risk / Return Rank
DFSPX
GTMIX
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.
| DFSPX | GTMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.18 | 2.38 | -1.20 |
Sortino ratioReturn per unit of downside risk | 1.63 | 3.06 | -1.43 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.47 | -0.23 |
Calmar ratioReturn relative to maximum drawdown | 1.51 | 2.92 | -1.41 |
Martin ratioReturn relative to average drawdown | 6.04 | 14.29 | -8.25 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DFSPX | GTMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.18 | 2.38 | -1.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 0.75 | -0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.60 | -0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.39 | +0.14 |
Correlation
The correlation between DFSPX and GTMIX is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
DFSPX vs. GTMIX - Dividend Comparison
DFSPX's dividend yield for the trailing twelve months is around 3.17%, less than GTMIX's 21.21% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFSPX DFA International Sustainability Core 1 Portfolio | 3.17% | 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 | 21.21% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
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.
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Drawdown Indicators
| DFSPX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.86% | -58.31% | +22.45% |
Max Drawdown (1Y)Largest decline over 1 year | -11.96% | -11.24% | -0.72% |
Max Drawdown (5Y)Largest decline over 5 years | -32.68% | -28.81% | -3.87% |
Max Drawdown (10Y)Largest decline over 10 years | -35.86% | -40.32% | +4.46% |
Current DrawdownCurrent decline from peak | -11.91% | -6.82% | -5.09% |
Average DrawdownAverage peak-to-trough decline | -7.26% | -12.75% | +5.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 2.46% | +0.53% |
Volatility
DFSPX vs. GTMIX - Volatility Comparison
DFA International Sustainability Core 1 Portfolio (DFSPX) has a higher volatility of 6.68% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 5.33%. 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.
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Volatility by Period
| DFSPX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.68% | 5.33% | +1.35% |
Volatility (6M)Calculated over the trailing 6-month period | 10.48% | 9.28% | +1.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.20% | 15.41% | +0.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.88% | 14.87% | +1.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.13% | 16.05% | +0.08% |