FNGAX vs. GTMIX
FNGAX (Franklin International Growth Fund Class A) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, FNGAX returned 6.07%/yr vs 10.85%/yr for GTMIX. Their 0.78 correlation means they have sometimes moved together and sometimes differently. FNGAX charges 1.12%/yr vs 0.68%/yr for GTMIX.
Performance
FNGAX vs. GTMIX - Performance Comparison
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Returns By Period
In the year-to-date period, FNGAX achieves a -1.33% return, which is significantly lower than GTMIX's 21.28% return. Over the past 10 years, FNGAX has underperformed GTMIX with an annualized return of 6.07%, while GTMIX has yielded a comparatively higher 10.85% annualized return.
FNGAX
- 1D
- 0.77%
- 1M
- -1.84%
- 6M
- -1.50%
- YTD
- -1.33%
- 1Y
- -2.99%
- 3Y*
- 4.33%
- 5Y*
- -4.12%
- 10Y*
- 6.07%
- ALL TIME*
- 4.06%
GTMIX
- 1D
- 0.21%
- 1M
- 6.24%
- 6M
- 12.37%
- YTD
- 21.28%
- 1Y
- 42.47%
- 3Y*
- 22.90%
- 5Y*
- 12.91%
- 10Y*
- 10.85%
- ALL TIME*
- 7.38%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
FNGAX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FNGAX Franklin International Growth Fund Class A | -1.33% | 10.48% | 0.37% | 15.00% | -32.05% | 1.17% | 32.56% | 36.91% | -14.53% | 36.80% |
GTMIX GMO Tax-Managed International Equities Fund | 21.28% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Correlation
The correlation between FNGAX and GTMIX is 0.72, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.72 |
Correlation (3Y) Balances recent behavior with more history. | 0.71 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.74 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.76 |
Correlation (All Time) Calculated using the full available price history since Jun 4, 2008 | 0.78 |
The correlation between FNGAX and GTMIX has been stable across timeframes, ranging from 0.71 to 0.78 - a consistent structural relationship.
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Return for Risk
FNGAX vs. GTMIX — Risk / Return Rank
FNGAX
GTMIX
FNGAX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin International Growth Fund Class A (FNGAX) 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.
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.
| FNGAX | GTMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.60 | ||
| Sortino ratioReturn per unit of downside risk | -4.79 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.63 | -0.63 |
| Calmar ratioReturn relative to maximum drawdown | -0.11 | 5.61 | -5.72 |
| Martin ratioReturn relative to average drawdown | -0.28 | 22.23 | -22.51 |
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Drawdowns
FNGAX vs. GTMIX - Drawdown Comparison
The maximum FNGAX drawdown since its inception was -53.35%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for FNGAX and GTMIX.
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Drawdown Indicators
| FNGAX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.35% | -58.31% | +4.96% |
Max Drawdown (1Y)Largest decline over 1 year | -17.35% | -7.90% | -9.45% |
Max Drawdown (3Y)Largest decline over 3 years | -20.13% | -14.11% | -6.02% |
Max Drawdown (5Y)Largest decline over 5 years | -47.24% | -27.34% | -19.90% |
Max Drawdown (10Y)Largest decline over 10 years | -47.24% | -40.32% | -6.92% |
Current DrawdownCurrent decline from peak | -22.09% | -0.63% | -21.46% |
Average DrawdownAverage peak-to-trough decline | -14.24% | -12.60% | -1.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.53% | 1.99% | +4.54% |
Volatility
FNGAX vs. GTMIX - Volatility Comparison
Franklin International Growth Fund Class A (FNGAX) has a higher volatility of 4.92% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.39%. This indicates that FNGAX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FNGAX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.92% | 3.39% | +1.53% |
Volatility (6M)Calculated over the trailing 6-month period | 14.77% | 10.05% | +4.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.23% | 12.71% | +5.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.52% | 14.89% | +6.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.11% | 15.76% | +4.35% |
FNGAX vs. GTMIX - Expense Ratio Comparison
FNGAX has a 1.12% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Dividends
FNGAX vs. GTMIX - Dividend Comparison
FNGAX's dividend yield for the trailing twelve months is around 3.31%, less than GTMIX's 20.82% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNGAX Franklin International Growth Fund Class A | 3.31% | 3.36% | 1.86% | 0.00% | 1.75% | 1.80% | 2.22% | 0.13% | 1.94% | 1.31% | 0.53% | 0.01% |
GTMIX GMO Tax-Managed International Equities Fund | 20.82% | 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
FNGAX and GTMIX have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FNGAX has higher volatility (4.92%) compared to GTMIX (3.39%). In terms of maximum drawdown, FNGAX dropped -53.35% vs GTMIX's -58.31%.
GTMIX currently has the higher Sharpe Ratio (3.50 vs -0.10), 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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