GTMIX vs. PZRIX
Compare and contrast key facts about GMO Tax-Managed International Equities Fund (GTMIX) and PIMCO RAE Global ex-US Fund (PZRIX).
GTMIX is managed by GMO. It was launched on Jul 28, 1998. PZRIX is managed by PIMCO. It was launched on Jun 4, 2015.
Performance
GTMIX vs. PZRIX - Performance Comparison
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GTMIX vs. PZRIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 8.42% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
PZRIX PIMCO RAE Global ex-US Fund | 9.93% | 34.05% | 3.29% | 19.31% | -9.11% | 12.08% | 1.74% | 15.94% | -14.93% | 26.00% |
Returns By Period
In the year-to-date period, GTMIX achieves a 8.42% return, which is significantly lower than PZRIX's 9.93% return. Both investments have delivered pretty close results over the past 10 years, with GTMIX having a 9.87% annualized return and PZRIX not far ahead at 10.15%.
GTMIX
- 1D
- 2.48%
- 1M
- -3.58%
- YTD
- 8.42%
- 6M
- 17.91%
- 1Y
- 41.17%
- 3Y*
- 20.26%
- 5Y*
- 11.29%
- 10Y*
- 9.87%
PZRIX
- 1D
- 1.89%
- 1M
- -4.32%
- YTD
- 9.93%
- 6M
- 17.91%
- 1Y
- 37.11%
- 3Y*
- 19.65%
- 5Y*
- 10.81%
- 10Y*
- 10.15%
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GTMIX vs. PZRIX - Expense Ratio Comparison
GTMIX has a 0.68% expense ratio, which is higher than PZRIX's 0.00% expense ratio.
Return for Risk
GTMIX vs. PZRIX — Risk / Return Rank
GTMIX
PZRIX
GTMIX vs. PZRIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Tax-Managed International Equities Fund (GTMIX) and PIMCO RAE Global ex-US Fund (PZRIX). 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.
| GTMIX | PZRIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.67 | 2.67 | -0.01 |
Sortino ratioReturn per unit of downside risk | 3.40 | 3.39 | 0.00 |
Omega ratioGain probability vs. loss probability | 1.52 | 1.52 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 3.54 | 3.09 | +0.45 |
Martin ratioReturn relative to average drawdown | 16.76 | 14.29 | +2.47 |
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
| GTMIX | PZRIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.67 | 2.67 | -0.01 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.69 | +0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.62 | 0.60 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.59 | -0.20 |
Correlation
The correlation between GTMIX and PZRIX is 0.94, 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
GTMIX vs. PZRIX - Dividend Comparison
GTMIX's dividend yield for the trailing twelve months is around 20.69%, more than PZRIX's 5.96% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
PZRIX PIMCO RAE Global ex-US Fund | 5.96% | 6.56% | 6.70% | 9.19% | 8.80% | 11.99% | 2.04% | 6.32% | 2.80% | 4.13% | 2.58% | 0.00% |
Drawdowns
GTMIX vs. PZRIX - Drawdown Comparison
The maximum GTMIX drawdown since its inception was -58.31%, which is greater than PZRIX's maximum drawdown of -43.53%. Use the drawdown chart below to compare losses from any high point for GTMIX and PZRIX.
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Drawdown Indicators
| GTMIX | PZRIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.31% | -43.53% | -14.78% |
Max Drawdown (1Y)Largest decline over 1 year | -11.24% | -10.68% | -0.56% |
Max Drawdown (5Y)Largest decline over 5 years | -28.81% | -30.85% | +2.04% |
Max Drawdown (10Y)Largest decline over 10 years | -40.32% | -43.53% | +3.21% |
Current DrawdownCurrent decline from peak | -4.51% | -5.20% | +0.69% |
Average DrawdownAverage peak-to-trough decline | -12.75% | -9.00% | -3.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.38% | 2.45% | -0.07% |
Volatility
GTMIX vs. PZRIX - Volatility Comparison
GMO Tax-Managed International Equities Fund (GTMIX) has a higher volatility of 5.97% compared to PIMCO RAE Global ex-US Fund (PZRIX) at 5.45%. This indicates that GTMIX's price experiences larger fluctuations and is considered to be riskier than PZRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GTMIX | PZRIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.97% | 5.45% | +0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 9.56% | 8.92% | +0.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.56% | 14.17% | +1.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.91% | 15.85% | -0.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.06% | 17.02% | -0.96% |