DMXF vs. GMOI

Last updated Jun 24, 2026

DMXF (iShares ESG Advanced MSCI EAFE ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - DMXF tracks the MSCI EAFE Choice ESG Screened Index while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, DMXF returned 19.96% vs 35.21% for GMOI. Their correlation of 0.82 suggests significant overlap in exposure. DMXF charges 0.12%/yr vs 0.60%/yr for GMOI.

Performance

DMXF vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EAFE ETF (DMXF) and GMO International Value ETF (GMOI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with DMXF having a 11.78% return and GMOI slightly lower at 11.52%.

DMXF

• 1D: -2.70%
• 1M: 1.22%
• YTD: 11.78%
• 6M: 10.88%
• 1Y: 19.96%
• 3Y*: 15.44%
• 5Y*: 6.99%
• 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)

DMXF vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
DMXF iShares ESG Advanced MSCI EAFE ETF	11.78%	22.07%	-5.32%
GMOI GMO International Value ETF	11.52%	45.64%	-4.48%

Correlation

The correlation between DMXF and GMOI is 0.83, 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	0.83
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024	0.82

The correlation between DMXF and GMOI has been stable across timeframes, ranging from 0.82 to 0.83 - a consistent structural relationship.

Return for Risk

DMXF vs. GMOI — Risk / Return Rank

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

DMXF

DMXF Risk / Return Rank: 36
DMXF Sharpe Ratio Rank: 35
DMXF Sortino Ratio Rank: 34
DMXF Omega Ratio Rank: 34
DMXF Calmar Ratio Rank: 36
DMXF Martin Ratio Rank: 41

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.

DMXF vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) 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.

	DMXF	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	1.19	2.64	-1.46
Sortino ratio: Return per unit of downside risk	1.74	3.65	-1.91
Omega ratio: Gain probability vs. loss probability	1.22	1.47	-0.25
Calmar ratio: Return relative to maximum drawdown	1.69	4.23	-2.54
Martin ratio: Return relative to average drawdown	6.32	16.65	-10.33

DMXF vs. GMOI - Sharpe Ratio Comparison

The current DMXF Sharpe Ratio is 1.19, which is lower than the GMOI Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of DMXF 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

DMXF vs. GMOI - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for DMXF and GMOI.

Drawdown Indicators

	DMXF	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-34.52%	-14.67%	-19.85%
Max Drawdown (1Y) Largest decline over 1 year	-11.84%	-8.36%	-3.48%
Max Drawdown (3Y) Largest decline over 3 years	-16.54%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-34.52%	—	—
Current Drawdown Current decline from peak	-2.70%	-2.63%	-0.07%
Average Drawdown Average peak-to-trough decline	-7.61%	-1.69%	-5.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.17%	2.12%	+1.05%

Volatility

DMXF vs. GMOI - Volatility Comparison

iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 6.29% compared to GMO International Value ETF (GMOI) at 3.99%. This indicates that DMXF'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

	DMXF	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.29%	3.99%	+2.30%
Volatility (6M) Calculated over the trailing 6-month period	14.41%	10.67%	+3.74%
Volatility (1Y) Calculated over the trailing 1-year period	16.93%	13.40%	+3.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.83%	15.57%	+2.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.34%	15.57%	+1.77%

DMXF vs. GMOI - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is lower than GMOI's 0.60% expense ratio.

Dividends

DMXF vs. GMOI - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 4.26%, more than GMOI's 2.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
DMXF iShares ESG Advanced MSCI EAFE ETF	4.26%	4.85%	2.92%	2.29%	2.37%	1.91%	0.31%
GMOI GMO International Value ETF	2.45%	2.74%	0.54%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DMXF and GMOI in my portfolio?

DMXF and GMOI have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DMXF or GMOI?

DMXF has higher volatility (6.29%) compared to GMOI (3.99%). In terms of maximum drawdown, DMXF dropped -34.52% vs GMOI's -14.67%.

Which ETF is better, DMXF or GMOI?

On 1-year performance, GMOI leads with 35.21% vs 19.96% for DMXF. On fees, DMXF is cheaper at 0.12% 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, DMXF or GMOI?

Over the 1-year period, GMOI has performed better with a 35.21% return vs 19.96%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DMXF or GMOI?

DMXF is cheaper with a 0.12% expense ratio, compared with 0.60% for GMOI.

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

DMXF has the higher dividend yield at 4.26%, compared with 2.45% for GMOI.

What is the main difference between DMXF and GMOI?

DMXF tracks MSCI EAFE Choice ESG Screened Index, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.12% for DMXF and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.64 vs 1.19), 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.