GQETX vs. DFIEX
Compare and contrast key facts about GMO Quality Fund (GQETX) and DFA International Core Equity Portfolio I (DFIEX).
GQETX is managed by GMO. It was launched on Feb 6, 2004. DFIEX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
GQETX vs. DFIEX - Performance Comparison
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GQETX vs. DFIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | -6.09% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 31.77% | 0.50% | 29.11% |
DFIEX DFA International Core Equity Portfolio I | 4.28% | 36.18% | 3.99% | 17.50% | -13.51% | 13.85% | 7.73% | 21.70% | -17.41% | 28.04% |
Returns By Period
In the year-to-date period, GQETX achieves a -6.09% return, which is significantly lower than DFIEX's 4.28% return. Over the past 10 years, GQETX has outperformed DFIEX with an annualized return of 14.96%, while DFIEX has yielded a comparatively lower 9.79% annualized return.
GQETX
- 1D
- 0.98%
- 1M
- -4.36%
- YTD
- -6.09%
- 6M
- -1.84%
- 1Y
- 12.88%
- 3Y*
- 16.21%
- 5Y*
- 11.94%
- 10Y*
- 14.96%
DFIEX
- 1D
- 1.44%
- 1M
- -2.09%
- YTD
- 4.28%
- 6M
- 9.56%
- 1Y
- 32.02%
- 3Y*
- 17.30%
- 5Y*
- 9.72%
- 10Y*
- 9.79%
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GQETX vs. DFIEX - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Return for Risk
GQETX vs. DFIEX — Risk / Return Rank
GQETX
DFIEX
GQETX vs. DFIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and DFA International Core Equity Portfolio I (DFIEX). 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.
| GQETX | DFIEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.82 | 2.05 | -1.23 |
Sortino ratioReturn per unit of downside risk | 1.29 | 2.66 | -1.37 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.41 | -0.23 |
Calmar ratioReturn relative to maximum drawdown | 1.06 | 2.84 | -1.79 |
Martin ratioReturn relative to average drawdown | 4.16 | 11.17 | -7.00 |
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
| GQETX | DFIEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.82 | 2.05 | -1.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.62 | +0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.88 | 0.60 | +0.28 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.68 | 0.35 | +0.33 |
Correlation
The correlation between GQETX and DFIEX is 0.77, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
GQETX vs. DFIEX - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 11.88%, more than DFIEX's 3.10% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 11.88% | 11.16% | 3.91% | 3.43% | 11.85% | 10.19% | 13.61% | 8.08% | 21.66% | 8.10% | 3.56% | 17.25% |
DFIEX DFA International Core Equity Portfolio I | 3.10% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
Drawdowns
GQETX vs. DFIEX - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, smaller than the maximum DFIEX drawdown of -62.22%. Use the drawdown chart below to compare losses from any high point for GQETX and DFIEX.
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Drawdown Indicators
| GQETX | DFIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.99% | -62.22% | +22.23% |
Max Drawdown (1Y)Largest decline over 1 year | -12.76% | -11.01% | -1.75% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -28.66% | +4.44% |
Max Drawdown (10Y)Largest decline over 10 years | -30.44% | -41.04% | +10.60% |
Current DrawdownCurrent decline from peak | -9.42% | -6.42% | -3.00% |
Average DrawdownAverage peak-to-trough decline | -5.02% | -12.26% | +7.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.24% | 2.80% | +0.44% |
Volatility
GQETX vs. DFIEX - Volatility Comparison
The current volatility for GMO Quality Fund (GQETX) is 5.69%, while DFA International Core Equity Portfolio I (DFIEX) has a volatility of 6.66%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GQETX | DFIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.69% | 6.66% | -0.97% |
Volatility (6M)Calculated over the trailing 6-month period | 9.74% | 10.52% | -0.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.65% | 15.92% | +0.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.85% | 15.66% | +0.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.03% | 16.35% | +0.68% |