DGEIX vs. GWOAX
Compare and contrast key facts about DFA Global Equity Portfolio Institutional Class (DGEIX) and GMO Global Developed Equity Allocation Fund (GWOAX).
DGEIX is managed by Dimensional. It was launched on Dec 24, 2003. GWOAX is managed by GMO. It was launched on Jun 15, 2005.
Performance
DGEIX vs. GWOAX - Performance Comparison
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DGEIX vs. GWOAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | -0.29% | 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 | 3.10% | 28.37% | 6.14% | 22.49% | -14.10% | 18.53% | 10.53% | 26.56% | -12.95% | 25.63% |
Returns By Period
In the year-to-date period, DGEIX achieves a -0.29% return, which is significantly lower than GWOAX's 3.10% return. Both investments have delivered pretty close results over the past 10 years, with DGEIX having a 11.39% annualized return and GWOAX not far behind at 11.04%.
DGEIX
- 1D
- 2.71%
- 1M
- -5.64%
- YTD
- -0.29%
- 6M
- 2.53%
- 1Y
- 21.51%
- 3Y*
- 16.34%
- 5Y*
- 9.15%
- 10Y*
- 11.39%
GWOAX
- 1D
- 2.74%
- 1M
- -5.28%
- YTD
- 3.10%
- 6M
- 9.71%
- 1Y
- 28.87%
- 3Y*
- 17.19%
- 5Y*
- 9.50%
- 10Y*
- 11.04%
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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%.
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 | 1.33 | 1.83 | -0.50 |
Sortino ratioReturn per unit of downside risk | 1.92 | 2.51 | -0.59 |
Omega ratioGain probability vs. loss probability | 1.29 | 1.37 | -0.08 |
Calmar ratioReturn relative to maximum drawdown | 1.84 | 2.52 | -0.68 |
Martin ratioReturn relative to average drawdown | 8.72 | 11.23 | -2.51 |
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 | 1.33 | 1.83 | -0.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.59 | 0.63 | -0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.68 | 0.67 | +0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.48 | 0.44 | +0.04 |
Correlation
The correlation between DGEIX and GWOAX 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
DGEIX vs. GWOAX - Dividend Comparison
DGEIX's dividend yield for the trailing twelve months is around 3.04%, less than GWOAX's 4.33% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | 3.04% | 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 | 4.33% | 4.46% | 0.60% | 6.10% | 7.27% | 12.75% | 3.85% | 4.33% | 3.02% | 3.05% | 6.43% | 12.47% |
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 | -12.05% | -11.43% | -0.62% |
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 | -6.38% | -6.28% | -0.10% |
Average DrawdownAverage peak-to-trough decline | -8.05% | -9.06% | +1.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.54% | 2.56% | -0.02% |
Volatility
DGEIX vs. GWOAX - Volatility Comparison
The current volatility for DFA Global Equity Portfolio Institutional Class (DGEIX) is 5.52%, while GMO Global Developed Equity Allocation Fund (GWOAX) has a volatility of 5.89%. This indicates that DGEIX experiences smaller price fluctuations and is considered to be less risky than GWOAX based on this measure. 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 | 5.52% | 5.89% | -0.37% |
Volatility (6M)Calculated over the trailing 6-month period | 9.23% | 9.70% | -0.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.60% | 15.92% | +0.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.65% | 15.21% | +0.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.86% | 16.48% | +0.38% |