DREIX vs. GMGEX
DREIX (DFA World Core Equity Portfolio) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, DREIX returned 12.57%/yr vs 11.47%/yr for GMGEX. Their correlation of 0.94 suggests significant overlap in exposure. DREIX charges 0.27%/yr vs 0.01%/yr for GMGEX.
Performance
DREIX vs. GMGEX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, DREIX achieves a 10.90% return, which is significantly lower than GMGEX's 16.34% return. Over the past 10 years, DREIX has outperformed GMGEX with an annualized return of 12.57%, while GMGEX has yielded a comparatively lower 11.47% annualized return.
DREIX
- 1D
- -1.77%
- 1M
- -0.29%
- YTD
- 10.90%
- 6M
- 9.92%
- 1Y
- 25.33%
- 3Y*
- 19.71%
- 5Y*
- 10.63%
- 10Y*
- 12.57%
GMGEX
- 1D
- -2.04%
- 1M
- -0.47%
- YTD
- 16.34%
- 6M
- 15.55%
- 1Y
- 35.58%
- 3Y*
- 20.32%
- 5Y*
- 9.72%
- 10Y*
- 11.47%
DREIX vs. GMGEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DREIX DFA World Core Equity Portfolio | 10.90% | 21.88% | 14.91% | 20.52% | -14.84% | 19.09% | 13.43% | 25.48% | -12.30% | 24.27% |
GMGEX GMO Global Equity Allocation Fund | 16.34% | 29.14% | 4.12% | 22.27% | -17.07% | 14.99% | 9.55% | 25.45% | -13.04% | 26.39% |
Correlation
The correlation between DREIX and GMGEX is 0.94, 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 | 0.94 |
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 Aug 3, 2012 | 0.94 |
The correlation between DREIX and GMGEX has been stable across timeframes, ranging from 0.94 to 0.94 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
DREIX vs. GMGEX — Risk / Return Rank
DREIX
GMGEX
DREIX vs. GMGEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA World Core Equity Portfolio (DREIX) and GMO Global Equity Allocation Fund (GMGEX). 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.
| DREIX | GMGEX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.59 | ||
| Sortino ratioReturn per unit of downside risk | -0.73 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.51 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 2.97 | 4.05 | -1.08 |
| Martin ratioReturn relative to average drawdown | 12.77 | 15.79 | -3.02 |
Loading charts...
Drawdowns
DREIX vs. GMGEX - Drawdown Comparison
The maximum DREIX drawdown since its inception was -36.65%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for DREIX and GMGEX.
Loading charts...
Drawdown Indicators
| DREIX | GMGEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.65% | -58.47% | +21.82% |
Max Drawdown (1Y)Largest decline over 1 year | -9.15% | -9.24% | +0.09% |
Max Drawdown (3Y)Largest decline over 3 years | -16.19% | -17.12% | +0.93% |
Max Drawdown (5Y)Largest decline over 5 years | -24.83% | -28.58% | +3.75% |
Max Drawdown (10Y)Largest decline over 10 years | -36.65% | -34.98% | -1.67% |
Current DrawdownCurrent decline from peak | -2.30% | -2.93% | +0.63% |
Average DrawdownAverage peak-to-trough decline | -4.80% | -16.72% | +11.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.12% | 2.37% | -0.25% |
Volatility
DREIX vs. GMGEX - Volatility Comparison
DFA World Core Equity Portfolio (DREIX) and GMO Global Equity Allocation Fund (GMGEX) have volatilities of 5.02% and 5.18%, 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.
Loading charts...
Volatility by Period
| DREIX | GMGEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.02% | 5.18% | -0.16% |
Volatility (6M)Calculated over the trailing 6-month period | 10.30% | 10.87% | -0.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.34% | 13.38% | -1.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.39% | 14.92% | +0.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.41% | 16.00% | +0.41% |
DREIX vs. GMGEX - Expense Ratio Comparison
DREIX has a 0.27% expense ratio, which is higher than GMGEX'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
DREIX vs. GMGEX - Dividend Comparison
DREIX's dividend yield for the trailing twelve months is around 4.77%, more than GMGEX's 4.03% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DREIX DFA World Core Equity Portfolio | 4.77% | 5.06% | 3.22% | 3.23% | 3.54% | 1.40% | 1.47% | 2.12% | 2.88% | 1.42% | 1.77% | 2.11% |
GMGEX GMO Global Equity Allocation Fund | 4.03% | 4.69% | 0.29% | 5.62% | 7.81% | 7.76% | 3.83% | 3.14% | 3.14% | 2.90% | 3.71% | 4.20% |
Frequently Asked Questions
With a correlation of 0.94, DREIX and GMGEX 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.
GMGEX has higher volatility (5.18%) compared to DREIX (5.02%). In terms of maximum drawdown, DREIX dropped -36.65% vs GMGEX's -58.47%.
GMGEX currently has the higher Sharpe Ratio (2.80 vs 2.21), 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.
Find the right allocation for DREIX and GMGEX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer