EFA vs. GMOI
EFA (iShares MSCI EAFE ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - EFA tracks the MSCI EAFE Index (Net) while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, EFA returned 25.09% vs 42.70% for GMOI. Their correlation of 0.90 means they have usually moved in the same direction. EFA charges 0.32%/yr vs 0.60%/yr for GMOI.
Performance
EFA vs. GMOI - Performance Comparison
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Returns By Period
In the year-to-date period, EFA achieves a 11.69% return, which is significantly lower than GMOI's 20.56% return.
EFA
- 1D
- -0.62%
- 1M
- 1.16%
- 6M
- 6.46%
- YTD
- 11.69%
- 1Y
- 25.09%
- 3Y*
- 16.41%
- 5Y*
- 9.23%
- 10Y*
- 9.47%
- ALL TIME*
- 6.58%
GMOI
- 1D
- -0.84%
- 1M
- 5.97%
- 6M
- 13.54%
- YTD
- 20.56%
- 1Y
- 42.70%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 34.33%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.24B | $1.12B | $1.39B | |
| $7.55M | $4.55M | $3.04M |
EFA vs. GMOI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
EFA iShares MSCI EAFE ETF | 11.69% | 31.55% | -4.82% |
GMOI GMO International Value ETF | 20.56% | 45.64% | -4.48% |
Correlation
The correlation between EFA and GMOI is 0.90, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.90 |
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024 | 0.90 |
The correlation between EFA and GMOI has been stable across timeframes, ranging from 0.90 to 0.90 - a consistent structural relationship.
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Return for Risk
EFA vs. GMOI — Risk / Return Rank
EFA
GMOI
EFA vs. GMOI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) 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.
| EFA | GMOI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.65 | ||
| Sortino ratioReturn per unit of downside risk | -2.14 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.57 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | 2.18 | 5.05 | -2.88 |
| Martin ratioReturn relative to average drawdown | 8.23 | 20.38 | -12.15 |
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Drawdowns
EFA vs. GMOI - Drawdown Comparison
The maximum EFA drawdown since its inception was -61.04%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for EFA and GMOI.
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Drawdown Indicators
| EFA | GMOI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.04% | -14.67% | -46.37% |
Max Drawdown (1Y)Largest decline over 1 year | -11.42% | -8.36% | -3.06% |
Max Drawdown (3Y)Largest decline over 3 years | -14.05% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -29.53% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -34.19% | — | — |
Current DrawdownCurrent decline from peak | -0.62% | -0.84% | +0.22% |
Average DrawdownAverage peak-to-trough decline | -11.86% | -1.63% | -10.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 2.07% | +0.95% |
Volatility
EFA vs. GMOI - Volatility Comparison
iShares MSCI EAFE ETF (EFA) has a higher volatility of 4.69% compared to GMO International Value ETF (GMOI) at 3.78%. This indicates that EFA'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.
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Volatility by Period
| EFA | GMOI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.69% | 3.78% | +0.91% |
Volatility (6M)Calculated over the trailing 6-month period | 13.71% | 10.78% | +2.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.79% | 13.11% | +2.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.62% | 15.39% | +1.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.00% | 15.39% | +1.61% |
EFA vs. GMOI - Expense Ratio Comparison
EFA has a 0.32% expense ratio, which is lower than GMOI's 0.60% expense ratio.
Dividends
EFA vs. GMOI - Dividend Comparison
EFA's dividend yield for the trailing twelve months is around 3.19%, more than GMOI's 2.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFA iShares MSCI EAFE ETF | 3.19% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
GMOI GMO International Value ETF | 2.65% | 2.74% | 0.54% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EFA and GMOI have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EFA has higher volatility (4.69%) compared to GMOI (3.78%). In terms of maximum drawdown, EFA dropped -61.04% vs GMOI's -14.67%.
On 1-year performance, GMOI leads with 42.70% vs 25.09% for EFA. On fees, EFA is cheaper at 0.32% per year. On volatility, GMOI has been the lower-risk option at 3.78%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, GMOI has performed better with a 42.70% return vs 25.09%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFA is cheaper with a 0.32% expense ratio, compared with 0.60% for GMOI.
EFA has the higher dividend yield at 3.19%, compared with 2.65% for GMOI.
EFA tracks MSCI EAFE Index (Net), while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.32% for EFA and 0.60% for GMOI.
GMOI currently has the higher Sharpe Ratio (3.23 vs 1.58), 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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