EFA vs. GMOI

Last updated Jun 24, 2026

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 21.83% vs 35.21% for GMOI. Their correlation of 0.90 suggests significant overlap in exposure. EFA charges 0.32%/yr vs 0.60%/yr for GMOI.

Performance

EFA vs. GMOI - Performance Comparison

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

Returns By Period

In the year-to-date period, EFA achieves a 8.38% return, which is significantly lower than GMOI's 11.52% return.

EFA

• 1D: -2.03%
• 1M: 0.10%
• YTD: 8.38%
• 6M: 8.09%
• 1Y: 21.83%
• 3Y*: 16.63%
• 5Y*: 8.49%
• 10Y*: 9.87%

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)

EFA vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
EFA iShares MSCI EAFE ETF	8.38%	31.55%	-4.82%
GMOI GMO International Value ETF	11.52%	45.64%	-4.48%

Correlation

The correlation between EFA and GMOI is 0.91, 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	0.91
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 0.91 - a consistent structural relationship.

Return for Risk

EFA vs. GMOI — Risk / Return Rank

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

EFA

EFA Risk / Return Rank: 42
EFA Sharpe Ratio Rank: 41
EFA Sortino Ratio Rank: 41
EFA Omega Ratio Rank: 41
EFA Calmar Ratio Rank: 40
EFA Martin Ratio Rank: 45

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.

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 ratio: Return per unit of total volatility	1.40	2.64	-1.24
Sortino ratio: Return per unit of downside risk	2.02	3.65	-1.63
Omega ratio: Gain probability vs. loss probability	1.26	1.47	-0.21
Calmar ratio: Return relative to maximum drawdown	1.92	4.23	-2.31
Martin ratio: Return relative to average drawdown	7.16	16.65	-9.48

EFA vs. GMOI - Sharpe Ratio Comparison

The current EFA Sharpe Ratio is 1.40, which is lower than the GMOI Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of EFA 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

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.

Drawdown Indicators

	EFA	GMOI	Difference
Max Drawdown Largest 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 Drawdown Current decline from peak	-2.03%	-2.63%	+0.60%
Average Drawdown Average peak-to-trough decline	-11.91%	-1.69%	-10.22%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.05%	2.12%	+0.93%

Volatility

EFA vs. GMOI - Volatility Comparison

iShares MSCI EAFE ETF (EFA) has a higher volatility of 5.30% compared to GMO International Value ETF (GMOI) at 3.99%. 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.

Volatility by Period

	EFA	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.30%	3.99%	+1.31%
Volatility (6M) Calculated over the trailing 6-month period	13.31%	10.67%	+2.64%
Volatility (1Y) Calculated over the trailing 1-year period	15.65%	13.40%	+2.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.58%	15.57%	+1.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.03%	15.57%	+1.46%

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 3.28%, more than GMOI's 2.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFA iShares MSCI EAFE ETF	3.28%	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	2.45%	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

Can I hold both EFA and GMOI in my portfolio?

With a correlation of 0.91, EFA and GMOI 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.

Which is riskier, EFA or GMOI?

EFA has higher volatility (5.30%) compared to GMOI (3.99%). In terms of maximum drawdown, EFA dropped -61.04% vs GMOI's -14.67%.

Which ETF is better, EFA or GMOI?

On 1-year performance, GMOI leads with 35.21% vs 21.83% for EFA. On fees, EFA is cheaper at 0.32% 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, EFA or GMOI?

Over the 1-year period, GMOI has performed better with a 35.21% return vs 21.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFA or GMOI?

EFA is cheaper with a 0.32% expense ratio, compared with 0.60% for GMOI.

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

EFA has the higher dividend yield at 3.28%, compared with 2.45% for GMOI.

What is the main difference between EFA and 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.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.64 vs 1.40), 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.