ESGN vs. GMOI

Last updated Jun 5, 2026

ESGN (Columbia Sustainable International Equity Income ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - ESGN tracks the MSCI Beta ADV Sust Intl Equity Income 100 while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, ESGN returned 25.40% vs 37.64% for GMOI. Their correlation of 0.91 suggests significant overlap in exposure. ESGN charges 0.45%/yr vs 0.60%/yr for GMOI.

Performance

ESGN vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia Sustainable International Equity Income ETF (ESGN) 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, ESGN achieves a 7.04% return, which is significantly lower than GMOI's 13.97% return.

ESGN

• 1D: 0.02%
• 1M: -0.01%
• YTD: 7.04%
• 6M: 10.06%
• 1Y: 25.40%
• 3Y*: 19.86%
• 5Y*: 11.72%
• 10Y*: —

GMOI

• 1D: 0.82%
• 1M: 2.57%
• YTD: 13.97%
• 6M: 17.28%
• 1Y: 37.64%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

ESGN vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ESGN Columbia Sustainable International Equity Income ETF	7.04%	39.85%	-3.18%
GMOI GMO International Value ETF	13.97%	45.64%	-4.57%

Correlation

The correlation between ESGN and GMOI is 0.92, 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	0.92
Correlation (All Time) Calculated using the full available price history since Oct 30, 2024	0.91

The correlation between ESGN and GMOI has been stable across timeframes, ranging from 0.91 to 0.92 - a consistent structural relationship.

Return for Risk

ESGN vs. GMOI — Risk / Return Rank

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

ESGN

ESGN Risk / Return Rank: 56
ESGN Sharpe Ratio Rank: 57
ESGN Sortino Ratio Rank: 56
ESGN Omega Ratio Rank: 57
ESGN Calmar Ratio Rank: 55
ESGN Martin Ratio Rank: 57

GMOI

GMOI Risk / Return Rank: 86
GMOI Sharpe Ratio Rank: 87
GMOI Sortino Ratio Rank: 88
GMOI Omega Ratio Rank: 85
GMOI Calmar Ratio Rank: 84
GMOI Martin Ratio Rank: 86

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.

ESGN vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia Sustainable International Equity Income ETF (ESGN) 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.

	ESGN	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	1.90	2.88	-0.98
Sortino ratio: Return per unit of downside risk	2.64	3.94	-1.30
Omega ratio: Gain probability vs. loss probability	1.35	1.51	-0.16
Calmar ratio: Return relative to maximum drawdown	2.67	4.52	-1.85
Martin ratio: Return relative to average drawdown	9.79	17.89	-8.11
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGN vs. GMOI - Sharpe Ratio Comparison

The current ESGN Sharpe Ratio is 1.90, which is lower than the GMOI Sharpe Ratio of 2.88. The chart below compares the historical Sharpe Ratios of ESGN 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.

Sharpe Ratios by Period

	ESGN	GMOI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.90	2.88	-0.98
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.77	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	2.17	-1.56

Drawdowns

ESGN vs. GMOI - Drawdown Comparison

The maximum ESGN drawdown since its inception was -41.71%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for ESGN and GMOI.

Drawdown Indicators

	ESGN	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-41.71%	-14.67%	-27.04%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-8.36%	-1.20%
Max Drawdown (3Y) Largest decline over 3 years	-14.38%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-24.51%	—	—
Current Drawdown Current decline from peak	-3.75%	-0.18%	-3.57%
Average Drawdown Average peak-to-trough decline	-7.06%	-1.70%	-5.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.60%	2.11%	+0.49%

Volatility

ESGN vs. GMOI - Volatility Comparison

Columbia Sustainable International Equity Income ETF (ESGN) and GMO International Value ETF (GMOI) have volatilities of 3.73% and 3.88%, 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

	ESGN	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.73%	3.88%	-0.15%
Volatility (6M) Calculated over the trailing 6-month period	10.60%	10.29%	+0.31%
Volatility (1Y) Calculated over the trailing 1-year period	13.45%	13.15%	+0.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.29%	15.58%	-0.29%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.31%	15.58%	+0.73%

ESGN vs. GMOI - Expense Ratio Comparison

ESGN has a 0.45% expense ratio, which is lower than GMOI's 0.60% expense ratio.

Dividends

ESGN vs. GMOI - Dividend Comparison

ESGN's dividend yield for the trailing twelve months is around 9.22%, more than GMOI's 2.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESGN Columbia Sustainable International Equity Income ETF	9.22%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%
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%

Frequently Asked Questions

Can I hold both ESGN and GMOI in my portfolio?

With a correlation of 0.92, ESGN 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, ESGN or GMOI?

GMOI has higher volatility (3.88%) compared to ESGN (3.73%). In terms of maximum drawdown, ESGN dropped -41.71% vs GMOI's -14.67%.

Which ETF is better, ESGN or GMOI?

On 1-year performance, GMOI leads with 37.64% vs 25.40% for ESGN. On fees, ESGN is cheaper at 0.45% per year. On volatility, ESGN has been the lower-risk option at 3.73%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGN or GMOI?

Over the 1-year period, GMOI has performed better with a 37.64% return vs 25.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGN or GMOI?

ESGN is cheaper with a 0.45% expense ratio, compared with 0.60% for GMOI.

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

ESGN has the higher dividend yield at 9.22%, compared with 2.40% for GMOI.

What is the main difference between ESGN and GMOI?

ESGN tracks MSCI Beta ADV Sust Intl Equity Income 100, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: Ameriprise Financial and GMO. Their fees differ too: 0.45% for ESGN and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.88 vs 1.90), 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.