GMOI vs. FDD
GMOI (GMO International Value ETF) and FDD (First Trust STOXX European Select Dividend Index Fund) are both exchange-traded funds - GMOI is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Value, while FDD is a Europe Equities fund tracking the STOXX Europe Select Dividend 30. Both are passively managed. Over the past year, GMOI returned 37.41% vs 33.97% for FDD. Their correlation of 0.85 suggests significant overlap in exposure. GMOI charges 0.60%/yr vs 0.58%/yr for FDD.
Performance
GMOI vs. FDD - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with GMOI having a 14.33% return and FDD slightly lower at 13.65%.
GMOI
- 1D
- 0.48%
- 1M
- 1.10%
- YTD
- 14.33%
- 6M
- 15.48%
- 1Y
- 37.41%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
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 vs. FDD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
GMOI GMO International Value ETF | 14.33% | 45.64% | -4.48% |
FDD First Trust STOXX European Select Dividend Index Fund | 13.65% | 62.50% | -4.38% |
Correlation
The correlation between GMOI and FDD 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 GMOI and FDD has been stable across timeframes, ranging from 0.85 to 0.87 - a consistent structural relationship.
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Return for Risk
GMOI vs. FDD — Risk / Return Rank
GMOI
FDD
GMOI vs. FDD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO International Value ETF (GMOI) and First Trust STOXX European Select Dividend Index Fund (FDD). 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.
| GMOI | FDD | 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 | 1.47 | 1.36 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 4.33 | 3.58 | +0.76 |
| Martin ratioReturn relative to average drawdown | 17.08 | 11.88 | +5.20 |
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Drawdowns
GMOI vs. FDD - Drawdown Comparison
The maximum GMOI drawdown since its inception was -14.67%, smaller than the maximum FDD drawdown of -74.77%. Use the drawdown chart below to compare losses from any high point for GMOI and FDD.
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Drawdown Indicators
| GMOI | FDD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.67% | -74.77% | +60.10% |
Max Drawdown (1Y)Largest decline over 1 year | -8.36% | -9.39% | +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 | 0.00% | -0.40% | +0.40% |
Average DrawdownAverage peak-to-trough decline | -1.69% | -35.41% | +33.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.13% | 2.83% | -0.70% |
Volatility
GMOI vs. FDD - Volatility Comparison
The current volatility for GMO International Value ETF (GMOI) is 4.15%, while First Trust STOXX European Select Dividend Index Fund (FDD) has a volatility of 5.91%. This indicates that GMOI experiences smaller price fluctuations and is considered to be less risky than FDD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GMOI | FDD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.15% | 5.91% | -1.76% |
Volatility (6M)Calculated over the trailing 6-month period | 10.62% | 12.98% | -2.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.47% | 15.93% | -2.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.62% | 18.48% | -2.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.62% | 20.16% | -4.54% |
GMOI vs. FDD - Expense Ratio Comparison
GMOI has a 0.60% expense ratio, which is higher than FDD's 0.58% expense ratio.
Dividends
GMOI vs. FDD - Dividend Comparison
GMOI's dividend yield for the trailing twelve months is around 2.39%, less than FDD's 3.48% 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
GMOI and FDD 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, GMOI dropped -14.67% vs FDD's -74.77%.
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.
GMOI is categorized as Foreign Large Cap Equities, while FDD is Europe Equities. GMOI tracks MSCI World ex USA Value, while FDD tracks STOXX Europe Select Dividend 30. They also come from different issuers: GMO and First Trust. Their fees differ too: 0.60% for GMOI and 0.58% for FDD.
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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