ESGD vs. GMOI

Last updated Jun 24, 2026

ESGD (iShares ESG Aware MSCI EAFE ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - ESGD tracks the MSCI EAFE Extended ESG Focus Index while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, ESGD returned 20.95% vs 35.21% for GMOI. Their correlation of 0.90 suggests significant overlap in exposure. ESGD charges 0.20%/yr vs 0.60%/yr for GMOI.

Performance

ESGD vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EAFE ETF (ESGD) 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, ESGD achieves a 8.26% return, which is significantly lower than GMOI's 11.52% return.

ESGD

• 1D: -2.14%
• 1M: 0.17%
• YTD: 8.26%
• 6M: 7.92%
• 1Y: 20.95%
• 3Y*: 16.09%
• 5Y*: 8.11%
• 10Y*: —

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)

ESGD vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ESGD iShares ESG Aware MSCI EAFE ETF	8.26%	29.63%	-4.65%
GMOI GMO International Value ETF	11.52%	45.64%	-4.48%

Correlation

The correlation between ESGD and GMOI is 0.90, 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	0.90
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024	0.90

The correlation between ESGD and GMOI has been stable across timeframes, ranging from 0.90 to 0.90 - a consistent structural relationship.

Return for Risk

ESGD vs. GMOI — Risk / Return Rank

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

ESGD

ESGD Risk / Return Rank: 39
ESGD Sharpe Ratio Rank: 39
ESGD Sortino Ratio Rank: 39
ESGD Omega Ratio Rank: 39
ESGD Calmar Ratio Rank: 38
ESGD Martin Ratio Rank: 43

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.

ESGD vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) 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.

	ESGD	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	1.33	2.64	-1.31
Sortino ratio: Return per unit of downside risk	1.93	3.65	-1.72
Omega ratio: Gain probability vs. loss probability	1.24	1.47	-0.22
Calmar ratio: Return relative to maximum drawdown	1.80	4.23	-2.43
Martin ratio: Return relative to average drawdown	6.72	16.65	-9.93

ESGD vs. GMOI - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.33, which is lower than the GMOI Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of ESGD 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

ESGD vs. GMOI - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for ESGD and GMOI.

Drawdown Indicators

	ESGD	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-33.70%	-14.67%	-19.03%
Max Drawdown (1Y) Largest decline over 1 year	-11.68%	-8.36%	-3.32%
Max Drawdown (3Y) Largest decline over 3 years	-13.86%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-30.03%	—	—
Current Drawdown Current decline from peak	-2.14%	-2.63%	+0.49%
Average Drawdown Average peak-to-trough decline	-6.16%	-1.69%	-4.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.12%	2.12%	+1.00%

Volatility

ESGD vs. GMOI - Volatility Comparison

iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 5.48% compared to GMO International Value ETF (GMOI) at 3.99%. This indicates that ESGD'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

	ESGD	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.48%	3.99%	+1.49%
Volatility (6M) Calculated over the trailing 6-month period	13.45%	10.67%	+2.78%
Volatility (1Y) Calculated over the trailing 1-year period	15.86%	13.40%	+2.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.72%	15.57%	+1.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.00%	15.57%	+1.43%

ESGD vs. GMOI - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is lower than GMOI's 0.60% expense ratio.

Dividends

ESGD vs. GMOI - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.38%, more than GMOI's 2.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESGD iShares ESG Aware MSCI EAFE ETF	3.38%	3.60%	3.23%	3.02%	2.59%	2.75%	1.63%	2.57%	2.69%	2.65%	0.09%
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%

Frequently Asked Questions

Can I hold both ESGD and GMOI in my portfolio?

ESGD 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.

Which is riskier, ESGD or GMOI?

ESGD has higher volatility (5.48%) compared to GMOI (3.99%). In terms of maximum drawdown, ESGD dropped -33.70% vs GMOI's -14.67%.

Which ETF is better, ESGD or GMOI?

On 1-year performance, GMOI leads with 35.21% vs 20.95% for ESGD. On fees, ESGD is cheaper at 0.20% 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, ESGD or GMOI?

Over the 1-year period, GMOI has performed better with a 35.21% return vs 20.95%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGD or GMOI?

ESGD is cheaper with a 0.20% expense ratio, compared with 0.60% for GMOI.

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

ESGD has the higher dividend yield at 3.38%, compared with 2.45% for GMOI.

What is the main difference between ESGD and GMOI?

ESGD tracks MSCI EAFE Extended ESG Focus Index, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.20% for ESGD and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.64 vs 1.33), 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.