FDD vs. GMOI
FDD (First Trust STOXX European Select Dividend Index Fund) and GMOI (GMO International Value ETF) are both exchange-traded funds - FDD is a Europe Equities fund tracking the STOXX Europe Select Dividend 30, while GMOI is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Value. Both are passively managed. Over the past year, FDD returned 33.97% vs 37.41% for GMOI. Their correlation of 0.85 suggests significant overlap in exposure. FDD charges 0.58%/yr vs 0.60%/yr for GMOI.
Performance
FDD vs. GMOI - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with FDD having a 13.65% return and GMOI slightly higher at 14.33%.
FDD
- 1D
- 0.81%
- 1M
- 1.80%
- YTD
- 13.65%
- 6M
- 17.76%
- 1Y
- 33.97%
- 3Y*
- 26.21%
- 5Y*
- 11.32%
- 10Y*
- 10.93%
GMOI
- 1D
- 0.48%
- 1M
- 1.10%
- YTD
- 14.33%
- 6M
- 15.48%
- 1Y
- 37.41%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
FDD vs. GMOI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
FDD First Trust STOXX European Select Dividend Index Fund | 13.65% | 62.50% | -4.38% |
GMOI GMO International Value ETF | 14.33% | 45.64% | -4.48% |
Correlation
The correlation between FDD and GMOI is 0.87, 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 | 0.87 |
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024 | 0.85 |
The correlation between FDD and GMOI has been stable across timeframes, ranging from 0.85 to 0.87 - a consistent structural relationship.
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Return for Risk
FDD vs. GMOI — Risk / Return Rank
FDD
GMOI
FDD vs. GMOI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust STOXX European Select Dividend Index Fund (FDD) 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.
| FDD | GMOI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.58 | ||
| Sortino ratioReturn per unit of downside risk | -0.79 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.47 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 3.58 | 4.33 | -0.76 |
| Martin ratioReturn relative to average drawdown | 11.88 | 17.08 | -5.20 |
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Drawdowns
FDD vs. GMOI - Drawdown Comparison
The maximum FDD drawdown since its inception was -74.77%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for FDD and GMOI.
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Drawdown Indicators
| FDD | GMOI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -74.77% | -14.67% | -60.10% |
Max Drawdown (1Y)Largest decline over 1 year | -9.39% | -8.36% | -1.03% |
Max Drawdown (3Y)Largest decline over 3 years | -13.06% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -35.11% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -41.43% | — | — |
Current DrawdownCurrent decline from peak | -0.40% | 0.00% | -0.40% |
Average DrawdownAverage peak-to-trough decline | -35.41% | -1.69% | -33.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.83% | 2.13% | +0.70% |
Volatility
FDD vs. GMOI - Volatility Comparison
First Trust STOXX European Select Dividend Index Fund (FDD) has a higher volatility of 5.91% compared to GMO International Value ETF (GMOI) at 4.15%. This indicates that FDD'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
| FDD | GMOI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.91% | 4.15% | +1.76% |
Volatility (6M)Calculated over the trailing 6-month period | 12.98% | 10.62% | +2.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.93% | 13.47% | +2.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.48% | 15.62% | +2.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.16% | 15.62% | +4.54% |
FDD vs. GMOI - Expense Ratio Comparison
FDD has a 0.58% expense ratio, which is lower than GMOI's 0.60% expense ratio.
Dividends
FDD vs. GMOI - Dividend Comparison
FDD's dividend yield for the trailing twelve months is around 3.48%, more than GMOI's 2.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FDD First Trust STOXX European Select Dividend Index Fund | 3.48% | 3.99% | 7.65% | 6.85% | 6.07% | 3.44% | 4.01% | 4.69% | 5.05% | 2.78% | 4.88% | 4.35% |
GMOI GMO International Value ETF | 2.39% | 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
FDD and GMOI have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FDD has higher volatility (5.91%) compared to GMOI (4.15%). In terms of maximum drawdown, FDD dropped -74.77% vs GMOI's -14.67%.
On 1-year performance, GMOI leads with 37.41% vs 33.97% for FDD. On fees, FDD is cheaper at 0.58% per year. On volatility, GMOI has been the lower-risk option at 4.15%. 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 37.41% return vs 33.97%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FDD is cheaper with a 0.58% expense ratio, compared with 0.60% for GMOI.
FDD has the higher dividend yield at 3.48%, compared with 2.39% for GMOI.
FDD is categorized as Europe Equities, while GMOI is Foreign Large Cap Equities. FDD tracks STOXX Europe Select Dividend 30, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: First Trust and GMO. Their fees differ too: 0.58% for FDD and 0.60% for GMOI.
GMOI currently has the higher Sharpe Ratio (2.69 vs 2.11), 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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