DGEIX vs. GWOAX
DGEIX (DFA Global Equity Portfolio Institutional Class) and GWOAX (GMO Global Developed Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, DGEIX returned 12.44%/yr vs 12.12%/yr for GWOAX. Their correlation of 0.94 suggests significant overlap in exposure. DGEIX charges 0.25%/yr vs 0.01%/yr for GWOAX.
Performance
DGEIX vs. GWOAX - Performance Comparison
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Returns By Period
In the year-to-date period, DGEIX achieves a 12.33% return, which is significantly lower than GWOAX's 15.86% return. Both investments have delivered pretty close results over the past 10 years, with DGEIX having a 12.44% annualized return and GWOAX not far behind at 12.12%.
DGEIX
- 1D
- -0.63%
- 1M
- 3.25%
- YTD
- 12.33%
- 6M
- 13.05%
- 1Y
- 29.13%
- 3Y*
- 20.29%
- 5Y*
- 10.57%
- 10Y*
- 12.44%
GWOAX
- 1D
- -0.44%
- 1M
- 4.06%
- YTD
- 15.86%
- 6M
- 17.59%
- 1Y
- 37.23%
- 3Y*
- 21.01%
- 5Y*
- 10.73%
- 10Y*
- 12.12%
DGEIX vs. GWOAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | 12.33% | 19.86% | 15.71% | 20.35% | -14.72% | 20.31% | 13.51% | 26.68% | -11.48% | 21.36% |
GWOAX GMO Global Developed Equity Allocation Fund | 15.86% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
Correlation
The correlation between DGEIX and GWOAX 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 | 0.94 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2006 | 0.94 |
The correlation between DGEIX and GWOAX has been stable across timeframes, ranging from 0.94 to 0.96 - a consistent structural relationship.
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Return for Risk
DGEIX vs. GWOAX — Risk / Return Rank
DGEIX
GWOAX
DGEIX vs. GWOAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Equity Portfolio Institutional Class (DGEIX) and GMO Global Developed Equity Allocation Fund (GWOAX). 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.
| DGEIX | GWOAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.53 | ||
| Sortino ratioReturn per unit of downside risk | -0.71 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.55 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.31 | 4.27 | -0.96 |
| Martin ratioReturn relative to average drawdown | 14.52 | 17.06 | -2.54 |
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
| DGEIX | GWOAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.49 | 3.03 | -0.53 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | 0.71 | -0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.74 | 0.74 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.47 | +0.04 |
Drawdowns
DGEIX vs. GWOAX - Drawdown Comparison
The maximum DGEIX drawdown since its inception was -59.77%, which is greater than GWOAX's maximum drawdown of -49.84%. Use the drawdown chart below to compare losses from any high point for DGEIX and GWOAX.
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Drawdown Indicators
| DGEIX | GWOAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.77% | -49.84% | -9.93% |
Max Drawdown (1Y)Largest decline over 1 year | -8.85% | -8.78% | -0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -16.97% | -16.11% | -0.86% |
Max Drawdown (5Y)Largest decline over 5 years | -25.20% | -26.21% | +1.01% |
Max Drawdown (10Y)Largest decline over 10 years | -37.00% | -35.28% | -1.72% |
Current DrawdownCurrent decline from peak | -0.63% | -0.44% | -0.19% |
Average DrawdownAverage peak-to-trough decline | -8.00% | -9.00% | +1.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 2.19% | -0.17% |
Volatility
DGEIX vs. GWOAX - Volatility Comparison
DFA Global Equity Portfolio Institutional Class (DGEIX) and GMO Global Developed Equity Allocation Fund (GWOAX) have volatilities of 3.31% and 3.26%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DGEIX | GWOAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.31% | 3.26% | +0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 9.10% | 9.47% | -0.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.77% | 12.40% | -0.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.66% | 15.22% | +0.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.87% | 16.50% | +0.37% |
DGEIX vs. GWOAX - Expense Ratio Comparison
DGEIX has a 0.25% expense ratio, which is higher than GWOAX's 0.01% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
DGEIX vs. GWOAX - Dividend Comparison
DGEIX's dividend yield for the trailing twelve months is around 2.70%, less than GWOAX's 3.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | 2.70% | 2.79% | 3.64% | 3.82% | 4.92% | 1.94% | 2.37% | 2.22% | 2.62% | 1.50% | 1.90% | 1.98% |
GWOAX GMO Global Developed Equity Allocation Fund | 3.85% | 4.46% | 0.60% | 6.10% | 7.27% | 12.75% | 3.85% | 4.33% | 3.02% | 3.05% | 6.43% | 12.47% |
Frequently Asked Questions
With a correlation of 0.96, DGEIX and GWOAX 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.
DGEIX has higher volatility (3.31%) compared to GWOAX (3.26%). In terms of maximum drawdown, DGEIX dropped -59.77% vs GWOAX's -49.84%.
GWOAX currently has the higher Sharpe Ratio (3.03 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.
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