GTMIX vs. ANDIX

Last updated Jun 23, 2026

GTMIX (GMO Tax-Managed International Equities Fund) and ANDIX (AQR International Defensive Style Fund) are both Foreign Large Cap Equities funds. Their correlation of 0.89 suggests significant overlap in exposure. GTMIX charges 0.68%/yr vs 0.55%/yr for ANDIX.

Performance

GTMIX vs. ANDIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Tax-Managed International Equities Fund (GTMIX) and AQR International Defensive Style Fund (ANDIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

GTMIX

• 1D: -0.38%
• 1M: -0.54%
• YTD: 13.42%
• 6M: 13.84%
• 1Y: 39.10%
• 3Y*: 20.69%
• 5Y*: 11.56%
• 10Y*: 10.27%

ANDIX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

GTMIX vs. ANDIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GTMIX GMO Tax-Managed International Equities Fund	13.42%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%
ANDIX AQR International Defensive Style Fund	5.63%	21.41%	2.83%	12.06%	-14.26%	7.59%	8.43%	18.39%	-10.35%	22.86%

Correlation

The correlation between GTMIX and ANDIX is 0.81, 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	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.89

The correlation between GTMIX and ANDIX has been stable across timeframes, ranging from 0.81 to 0.89 - a consistent structural relationship.

Return for Risk

GTMIX vs. ANDIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

GTMIX

GTMIX Risk / Return Rank: 91
GTMIX Sharpe Ratio Rank: 93
GTMIX Sortino Ratio Rank: 90
GTMIX Omega Ratio Rank: 84
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 94

ANDIX

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

GTMIX vs. ANDIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Tax-Managed International Equities Fund (GTMIX) and AQR International Defensive Style Fund (ANDIX). 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.

	GTMIX	ANDIX	Difference
Sharpe ratio: Return per unit of total volatility	2.94	—	—
Sortino ratio: Return per unit of downside risk	4.05	—	—
Omega ratio: Gain probability vs. loss probability	1.53	—	—
Calmar ratio: Return relative to maximum drawdown	4.85	—	—
Martin ratio: Return relative to average drawdown	18.73	—	—

Drawdowns

Drawdown Indicators

	GTMIX	ANDIX	Difference
Max Drawdown Largest peak-to-trough decline	-58.31%	—	—
Max Drawdown (1Y) Largest decline over 1 year	-7.90%	—	—
Max Drawdown (3Y) Largest decline over 3 years	-14.11%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-27.34%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-40.32%	—	—
Current Drawdown Current decline from peak	-1.33%	—	—
Average Drawdown Average peak-to-trough decline	-12.66%	—	—
Ulcer Index Depth and duration of drawdowns from previous peaks	2.04%	—	—

Volatility

Volatility by Period

	GTMIX	ANDIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.61%	—	—
Volatility (6M) Calculated over the trailing 6-month period	9.95%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	13.00%	—	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.94%	—	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.03%	—	—

GTMIX vs. ANDIX - Expense Ratio Comparison

GTMIX has a 0.68% expense ratio, which is higher than ANDIX's 0.55% expense ratio.

Dividends

GTMIX vs. ANDIX - Dividend Comparison

GTMIX's dividend yield for the trailing twelve months is around 19.78%, less than ANDIX's 70.16% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ANDIX AQR International Defensive Style Fund	70.16%	4.74%	2.29%	3.02%	2.00%	2.53%	1.73%	2.51%	2.40%	3.30%	1.47%	2.09%
GTMIX GMO Tax-Managed International Equities Fund	19.78%	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

Can I hold both GTMIX and ANDIX in my portfolio?

GTMIX and ANDIX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.