GMOI vs. MCSE

Last updated Aug 4, 2026

GMOI (GMO International Value ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. GMOI is passively managed, while MCSE is actively managed. Over the past year, GMOI returned 42.85% vs 4.30% for MCSE. Their 0.56 correlation means they have sometimes moved together and sometimes differently. GMOI charges 0.60%/yr vs 0.59%/yr for MCSE.

Performance

GMOI vs. MCSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO International Value ETF (GMOI) and Franklin Sustainable International Equity ETF (MCSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMOI achieves a 20.68% return, which is significantly higher than MCSE's 1.12% return.

GMOI

• 1D: 0.10%
• 1M: 6.07%
• 6M: 13.00%
• YTD: 20.68%
• 1Y: 42.85%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 34.22%

MCSE

• 1D: 0.00%
• 1M: 0.00%
• 6M: 0.00%
• YTD: 1.12%
• 1Y: 4.30%
• 3Y*: 0.74%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.06%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GMOI GMO International Value ETF	$8.04M	$4.71M	$3.16M
MCSE Franklin Sustainable International Equity ETF	$0.00	$0.00	$0.00

GMOI vs. MCSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024
GMOI GMO International Value ETF	20.68%	45.64%	-4.48%
MCSE Franklin Sustainable International Equity ETF	1.12%	7.79%	-8.60%

Correlation

The correlation between GMOI and MCSE is 0.41, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.41
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024	0.56

The correlation between GMOI and MCSE shifts across timeframes, from 0.41 (1 year) to 0.56 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GMOI vs. MCSE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

GMOI

GMOI Risk / Return Rank: 95
GMOI Sharpe Ratio Rank: 97
GMOI Sortino Ratio Rank: 96
GMOI Omega Ratio Rank: 95
GMOI Calmar Ratio Rank: 94
GMOI Martin Ratio Rank: 95

MCSE

MCSE Risk / Return Rank: 20
MCSE Sharpe Ratio Rank: 20
MCSE Sortino Ratio Rank: 19
MCSE Omega Ratio Rank: 24
MCSE Calmar Ratio Rank: 18
MCSE Martin Ratio Rank: 18

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

GMOI vs. MCSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO International Value ETF (GMOI) and Franklin Sustainable International Equity ETF (MCSE). 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	MCSE	Difference
Sharpe ratio: Return per unit of total volatility	3.29	0.46	+2.83
Sortino ratio: Return per unit of downside risk	4.47	0.70	+3.77
Omega ratio: Gain probability vs. loss probability	1.58	1.12	+0.46
Calmar ratio: Return relative to maximum drawdown	5.15	0.45	+4.69
Martin ratio: Return relative to average drawdown	20.75	1.13	+19.62

GMOI vs. MCSE - Sharpe Ratio Comparison

The current GMOI Sharpe Ratio is 3.29, which is higher than the MCSE Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of GMOI and MCSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GMOI vs. MCSE - Drawdown Comparison

The maximum GMOI drawdown since its inception was -14.67%, smaller than the maximum MCSE drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for GMOI and MCSE.

Drawdown Indicators

	GMOI	MCSE	Difference
Max Drawdown Largest peak-to-trough decline	-14.67%	-26.36%	+11.69%
Max Drawdown (1Y) Largest decline over 1 year	-8.36%	-10.42%	+2.06%
Max Drawdown (3Y) Largest decline over 3 years	—	-26.36%	—
Current Drawdown Current decline from peak	-0.74%	-10.51%	+9.77%
Average Drawdown Average peak-to-trough decline	-1.63%	-8.80%	+7.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.07%	4.37%	-2.30%

Volatility

GMOI vs. MCSE - Volatility Comparison

GMO International Value ETF (GMOI) has a higher volatility of 3.53% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that GMOI's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMOI	MCSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.53%	0.00%	+3.53%
Volatility (6M) Calculated over the trailing 6-month period	10.72%	1.87%	+8.85%
Volatility (1Y) Calculated over the trailing 1-year period	13.11%	10.29%	+2.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.37%	19.07%	-3.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.37%	19.07%	-3.70%

GMOI vs. MCSE - Expense Ratio Comparison

GMOI has a 0.60% expense ratio, which is higher than MCSE's 0.59% expense ratio.

Dividends

GMOI vs. MCSE - Dividend Comparison

GMOI's dividend yield for the trailing twelve months is around 2.65%, less than MCSE's 3.74% yield.

Position	TTM	2025	2024	2023	2022
GMOI GMO International Value ETF	2.65%	2.74%	0.54%	0.00%	0.00%
MCSE Franklin Sustainable International Equity ETF	3.74%	3.78%	0.63%	0.57%	0.48%

Frequently Asked Questions

Can I hold both GMOI and MCSE in my portfolio?

GMOI and MCSE have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMOI or MCSE?

GMOI has higher volatility (3.53%) compared to MCSE (0.00%). In terms of maximum drawdown, GMOI dropped -14.67% vs MCSE's -26.36%.

Which ETF is better, GMOI or MCSE?

On 1-year performance, GMOI leads with 42.85% vs 4.30% for MCSE. On fees, MCSE is cheaper at 0.59% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GMOI or MCSE?

Over the 1-year period, GMOI has performed better with a 42.85% return vs 4.30%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GMOI or MCSE?

MCSE is cheaper with a 0.59% expense ratio, compared with 0.60% for GMOI.

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

MCSE has the higher dividend yield at 3.74%, compared with 2.65% for GMOI.

What is the main difference between GMOI and MCSE?

They also come from different issuers: GMO and Franklin. Their fees differ too: 0.60% for GMOI and 0.59% for MCSE.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (3.29 vs 0.46), 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.