GMOI vs. EFAV
GMOI (GMO International Value ETF) and EFAV (iShares Edge MSCI Min Vol EAFE ETF) are both Foreign Large Cap Equities funds - GMOI tracks the MSCI World ex USA Value while EFAV tracks the MSCI EAFE Minimum Volatility Index. Both are passively managed. Over the past year, GMOI returned 34.93% vs 8.40% for EFAV. A 0.79 correlation means they provide meaningful diversification when combined. GMOI charges 0.60%/yr vs 0.20%/yr for EFAV.
Performance
GMOI vs. EFAV - Performance Comparison
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Returns By Period
In the year-to-date period, GMOI achieves a 11.76% return, which is significantly higher than EFAV's 3.14% return.
GMOI
- 1D
- -1.93%
- 1M
- -1.37%
- YTD
- 11.76%
- 6M
- 15.15%
- 1Y
- 34.93%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
EFAV
- 1D
- -1.22%
- 1M
- -3.52%
- YTD
- 3.14%
- 6M
- 4.99%
- 1Y
- 8.40%
- 3Y*
- 12.50%
- 5Y*
- 6.03%
- 10Y*
- 5.76%
GMOI vs. EFAV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
GMOI GMO International Value ETF | 11.76% | 45.64% | -4.57% |
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.14% | 26.00% | -3.87% |
Correlation
The correlation between GMOI and EFAV is 0.84, 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 | 0.84 |
Correlation (All Time) Calculated using the full available price history since Oct 30, 2024 | 0.79 |
The correlation between GMOI and EFAV has been stable across timeframes, ranging from 0.79 to 0.84 - a consistent structural relationship.
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Return for Risk
GMOI vs. EFAV — Risk / Return Rank
GMOI
EFAV
GMOI vs. EFAV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO International Value ETF (GMOI) and iShares Edge MSCI Min Vol EAFE ETF (EFAV). 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.
| GMOI | EFAV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.83 | ||
| Sortino ratioReturn per unit of downside risk | +2.42 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.15 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 4.20 | 1.31 | +2.89 |
| Martin ratioReturn relative to average drawdown | 16.57 | 3.58 | +13.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GMOI | EFAV | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.64 | 0.81 | +1.83 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.51 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.44 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 2.05 | 0.53 | +1.52 |
Drawdowns
GMOI vs. EFAV - Drawdown Comparison
The maximum GMOI drawdown since its inception was -14.67%, smaller than the maximum EFAV drawdown of -27.56%. Use the drawdown chart below to compare losses from any high point for GMOI and EFAV.
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Drawdown Indicators
| GMOI | EFAV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.67% | -27.56% | +12.89% |
Max Drawdown (1Y)Largest decline over 1 year | -8.36% | -6.46% | -1.90% |
Max Drawdown (3Y)Largest decline over 3 years | — | -8.75% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -27.46% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.56% | — |
Current DrawdownCurrent decline from peak | -2.11% | -6.23% | +4.12% |
Average DrawdownAverage peak-to-trough decline | -1.70% | -4.77% | +3.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.11% | 2.35% | -0.24% |
Volatility
GMOI vs. EFAV - Volatility Comparison
GMO International Value ETF (GMOI) has a higher volatility of 3.90% compared to iShares Edge MSCI Min Vol EAFE ETF (EFAV) at 3.09%. This indicates that GMOI's price experiences larger fluctuations and is considered to be riskier than EFAV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMOI | EFAV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.90% | 3.09% | +0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 10.49% | 8.28% | +2.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.31% | 10.40% | +2.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.64% | 11.80% | +3.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.64% | 13.21% | +2.43% |
GMOI vs. EFAV - Expense Ratio Comparison
GMOI has a 0.60% expense ratio, which is higher than EFAV's 0.20% expense ratio.
Dividends
GMOI vs. EFAV - Dividend Comparison
GMOI's dividend yield for the trailing twelve months is around 2.45%, less than EFAV's 3.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAV iShares Edge MSCI Min Vol EAFE ETF | 3.10% | 3.20% | 3.24% | 3.08% | 2.53% | 2.47% | 1.33% | 4.19% | 3.34% | 2.45% | 3.94% | 2.49% |
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% | 0.00% |
Frequently Asked Questions
GMOI and EFAV have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GMOI has higher volatility (3.90%) compared to EFAV (3.09%). In terms of maximum drawdown, GMOI dropped -14.67% vs EFAV's -27.56%.
On 1-year performance, GMOI leads with 34.93% vs 8.40% for EFAV. On fees, EFAV is cheaper at 0.20% per year. On volatility, EFAV has been the lower-risk option at 3.09%. 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 34.93% return vs 8.40%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EFAV is cheaper with a 0.20% expense ratio, compared with 0.60% for GMOI.
EFAV has the higher dividend yield at 3.10%, compared with 2.45% for GMOI.
GMOI tracks MSCI World ex USA Value, while EFAV tracks MSCI EAFE Minimum Volatility Index. They also come from different issuers: GMO and iShares. Their fees differ too: 0.60% for GMOI and 0.20% for EFAV.
GMOI currently has the higher Sharpe Ratio (2.64 vs 0.81), 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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