EIISX vs. GTMIX

Last updated Jun 6, 2026

EIISX (Parametric International Equity Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, EIISX returned 8.67%/yr vs 10.12%/yr for GTMIX. Their correlation of 0.95 suggests significant overlap in exposure. EIISX charges 0.50%/yr vs 0.68%/yr for GTMIX.

Performance

EIISX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric International Equity Fund (EIISX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EIISX achieves a 6.30% return, which is significantly lower than GTMIX's 14.40% return. Over the past 10 years, EIISX has underperformed GTMIX with an annualized return of 8.67%, while GTMIX has yielded a comparatively higher 10.12% annualized return.

EIISX

• 1D: 0.49%
• 1M: -1.19%
• YTD: 6.30%
• 6M: 8.40%
• 1Y: 14.96%
• 3Y*: 16.52%
• 5Y*: 7.18%
• 10Y*: 8.67%

GTMIX

• 1D: 0.59%
• 1M: 0.48%
• YTD: 14.40%
• 6M: 18.42%
• 1Y: 39.03%
• 3Y*: 22.56%
• 5Y*: 10.88%
• 10Y*: 10.12%

*Multi-year figures are annualized to reflect compound growth (CAGR)

EIISX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EIISX Parametric International Equity Fund	6.30%	28.86%	7.31%	15.85%	-15.68%	8.76%	9.96%	22.12%	-11.62%	25.72%
GTMIX GMO Tax-Managed International Equities Fund	14.40%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between EIISX and GTMIX is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Apr 5, 2010	0.95

The correlation between EIISX and GTMIX has been stable across timeframes, ranging from 0.91 to 0.95 - a consistent structural relationship.

Return for Risk

EIISX vs. GTMIX — Risk / Return Rank

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

EIISX

EIISX Risk / Return Rank: 24
EIISX Sharpe Ratio Rank: 23
EIISX Sortino Ratio Rank: 22
EIISX Omega Ratio Rank: 23
EIISX Calmar Ratio Rank: 23
EIISX Martin Ratio Rank: 27

GTMIX

GTMIX Risk / Return Rank: 90
GTMIX Sharpe Ratio Rank: 92
GTMIX Sortino Ratio Rank: 88
GTMIX Omega Ratio Rank: 83
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 93

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.

EIISX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric International Equity Fund (EIISX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.

	EIISX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.33	3.07	-1.75
Sortino ratio: Return per unit of downside risk	1.89	4.19	-2.30
Omega ratio: Gain probability vs. loss probability	1.24	1.55	-0.31
Calmar ratio: Return relative to maximum drawdown	1.70	4.99	-3.29
Martin ratio: Return relative to average drawdown	6.14	19.21	-13.06
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EIISX vs. GTMIX - Sharpe Ratio Comparison

The current EIISX Sharpe Ratio is 1.33, which is lower than the GTMIX Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of EIISX and GTMIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	EIISX	GTMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.33	3.07	-1.75
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.50	0.73	-0.24
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.57	0.63	-0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.41	+0.05

Drawdowns

EIISX vs. GTMIX - Drawdown Comparison

The maximum EIISX drawdown since its inception was -33.36%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for EIISX and GTMIX.

Drawdown Indicators

	EIISX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-33.36%	-58.31%	+24.95%
Max Drawdown (1Y) Largest decline over 1 year	-8.90%	-7.90%	-1.00%
Max Drawdown (3Y) Largest decline over 3 years	-11.58%	-14.11%	+2.53%
Max Drawdown (5Y) Largest decline over 5 years	-31.33%	-28.81%	-2.52%
Max Drawdown (10Y) Largest decline over 10 years	-33.36%	-40.32%	+6.96%
Current Drawdown Current decline from peak	-1.84%	-0.21%	-1.63%
Average Drawdown Average peak-to-trough decline	-6.63%	-12.67%	+6.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.45%	2.05%	+0.40%

Volatility

EIISX vs. GTMIX - Volatility Comparison

Parametric International Equity Fund (EIISX) and GMO Tax-Managed International Equities Fund (GTMIX) have volatilities of 3.24% and 3.27%, 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.

Volatility by Period

	EIISX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.24%	3.27%	-0.03%
Volatility (6M) Calculated over the trailing 6-month period	8.92%	9.69%	-0.77%
Volatility (1Y) Calculated over the trailing 1-year period	11.40%	12.83%	-1.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.53%	14.93%	-0.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.38%	16.05%	-0.67%

EIISX vs. GTMIX - Expense Ratio Comparison

EIISX has a 0.50% expense ratio, which is lower than GTMIX's 0.68% expense ratio.

Dividends

EIISX vs. GTMIX - Dividend Comparison

EIISX's dividend yield for the trailing twelve months is around 12.66%, less than GTMIX's 19.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EIISX Parametric International Equity Fund	12.66%	13.46%	10.34%	3.29%	4.37%	4.77%	1.55%	3.10%	3.18%	2.80%	1.81%	2.59%
GTMIX GMO Tax-Managed International Equities Fund	19.61%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%

Frequently Asked Questions

Can I hold both EIISX and GTMIX in my portfolio?

With a correlation of 0.93, EIISX and GTMIX 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, EIISX or GTMIX?

GTMIX has higher volatility (3.27%) compared to EIISX (3.24%). In terms of maximum drawdown, EIISX dropped -33.36% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.07 vs 1.32), 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.