EFG vs. GMOI
EFG (iShares MSCI EAFE Growth ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - EFG tracks the MSCI EAFE Growth Index while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, EFG returned 14.70% vs 37.64% for GMOI. Their correlation of 0.81 suggests significant overlap in exposure. EFG charges 0.40%/yr vs 0.60%/yr for GMOI.
Performance
EFG vs. GMOI - Performance Comparison
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Returns By Period
In the year-to-date period, EFG achieves a 8.93% return, which is significantly lower than GMOI's 13.97% return.
EFG
- 1D
- 0.94%
- 1M
- 3.79%
- YTD
- 8.93%
- 6M
- 9.83%
- 1Y
- 14.70%
- 3Y*
- 11.46%
- 5Y*
- 4.43%
- 10Y*
- 8.02%
GMOI
- 1D
- 0.82%
- 1M
- 2.57%
- YTD
- 13.97%
- 6M
- 17.28%
- 1Y
- 37.64%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
EFG vs. GMOI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
EFG iShares MSCI EAFE Growth ETF | 8.93% | 20.70% | -5.22% |
GMOI GMO International Value ETF | 13.97% | 45.64% | -4.57% |
Correlation
The correlation between EFG 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 30, 2024 | 0.81 |
The correlation between EFG and GMOI has been stable across timeframes, ranging from 0.81 to 0.83 - a consistent structural relationship.
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Return for Risk
EFG vs. GMOI — Risk / Return Rank
EFG
GMOI
EFG vs. GMOI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE Growth ETF (EFG) 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.
| EFG | GMOI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.01 | ||
| Sortino ratioReturn per unit of downside risk | -2.60 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.51 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | 1.15 | 4.52 | -3.37 |
| Martin ratioReturn relative to average drawdown | 4.26 | 17.89 | -13.64 |
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
| EFG | GMOI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.86 | 2.88 | -2.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.25 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.45 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 2.17 | -1.87 |
Drawdowns
EFG vs. GMOI - Drawdown Comparison
The maximum EFG drawdown since its inception was -58.40%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for EFG and GMOI.
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Drawdown Indicators
| EFG | GMOI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.40% | -14.67% | -43.73% |
Max Drawdown (1Y)Largest decline over 1 year | -12.78% | -8.36% | -4.42% |
Max Drawdown (3Y)Largest decline over 3 years | -16.87% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -35.78% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -35.78% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.18% | +0.18% |
Average DrawdownAverage peak-to-trough decline | -12.15% | -1.70% | -10.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.46% | 2.11% | +1.35% |
Volatility
EFG vs. GMOI - Volatility Comparison
iShares MSCI EAFE Growth ETF (EFG) has a higher volatility of 5.72% compared to GMO International Value ETF (GMOI) at 3.88%. This indicates that EFG'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
| EFG | GMOI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.72% | 3.88% | +1.84% |
Volatility (6M)Calculated over the trailing 6-month period | 14.38% | 10.29% | +4.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.08% | 13.15% | +3.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.11% | 15.58% | +2.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.69% | 15.58% | +2.11% |
EFG vs. GMOI - Expense Ratio Comparison
EFG has a 0.40% expense ratio, which is lower than GMOI's 0.60% expense ratio.
Dividends
EFG vs. GMOI - Dividend Comparison
EFG's dividend yield for the trailing twelve months is around 2.32%, less than GMOI's 2.40% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFG iShares MSCI EAFE Growth ETF | 2.32% | 2.53% | 1.64% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% |
GMOI GMO International Value ETF | 2.40% | 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
EFG 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.
EFG has higher volatility (5.72%) compared to GMOI (3.88%). In terms of maximum drawdown, EFG dropped -58.40% vs GMOI's -14.67%.
On 1-year performance, GMOI leads with 37.64% vs 14.70% for EFG. On fees, EFG is cheaper at 0.40% per year. On volatility, GMOI has been the lower-risk option at 3.88%. 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 37.64% return vs 14.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFG is cheaper with a 0.40% expense ratio, compared with 0.60% for GMOI.
GMOI has the higher dividend yield at 2.40%, compared with 2.32% for EFG.
EFG tracks MSCI EAFE Growth Index, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.40% for EFG and 0.60% for GMOI.
GMOI currently has the higher Sharpe Ratio (2.88 vs 0.86), 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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