HDEF vs. GMOI

Last updated Jun 24, 2026

HDEF (Xtrackers MSCI EAFE High Dividend Yield Equity ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - HDEF tracks the MSCI EAFE High Dividend Yield US Dollar Hedged Index while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, HDEF returned 15.97% vs 35.21% for GMOI. Their correlation of 0.84 suggests significant overlap in exposure. HDEF charges 0.20%/yr vs 0.60%/yr for GMOI.

Performance

HDEF vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and GMO International Value ETF (GMOI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HDEF achieves a 4.97% return, which is significantly lower than GMOI's 11.52% return.

HDEF

• 1D: 0.28%
• 1M: -2.23%
• YTD: 4.97%
• 6M: 4.60%
• 1Y: 15.97%
• 3Y*: 16.71%
• 5Y*: 10.35%
• 10Y*: 8.94%

GMOI

• 1D: -1.03%
• 1M: -1.76%
• YTD: 11.52%
• 6M: 11.19%
• 1Y: 35.21%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

HDEF vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	4.97%	33.01%	-6.03%
GMOI GMO International Value ETF	11.52%	45.64%	-4.48%

Correlation

The correlation between HDEF and GMOI is 0.85, 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	0.85
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024	0.84

The correlation between HDEF and GMOI has been stable across timeframes, ranging from 0.84 to 0.85 - a consistent structural relationship.

Return for Risk

HDEF vs. GMOI — Risk / Return Rank

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

HDEF

HDEF Risk / Return Rank: 40
HDEF Sharpe Ratio Rank: 40
HDEF Sortino Ratio Rank: 39
HDEF Omega Ratio Rank: 40
HDEF Calmar Ratio Rank: 42
HDEF Martin Ratio Rank: 38

GMOI

GMOI Risk / Return Rank: 85
GMOI Sharpe Ratio Rank: 87
GMOI Sortino Ratio Rank: 87
GMOI Omega Ratio Rank: 83
GMOI Calmar Ratio Rank: 84
GMOI Martin Ratio Rank: 85

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.

HDEF vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) and GMO International Value ETF (GMOI). 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.

	HDEF	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	1.37	2.64	-1.27
Sortino ratio: Return per unit of downside risk	1.94	3.65	-1.71
Omega ratio: Gain probability vs. loss probability	1.25	1.47	-0.22
Calmar ratio: Return relative to maximum drawdown	2.00	4.23	-2.23
Martin ratio: Return relative to average drawdown	5.75	16.65	-10.90

HDEF vs. GMOI - Sharpe Ratio Comparison

The current HDEF Sharpe Ratio is 1.37, which is lower than the GMOI Sharpe Ratio of 2.64. The chart below compares the historical Sharpe Ratios of HDEF and GMOI, 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

HDEF vs. GMOI - Drawdown Comparison

The maximum HDEF drawdown since its inception was -36.43%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for HDEF and GMOI.

Drawdown Indicators

	HDEF	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-14.67%	-21.76%
Max Drawdown (1Y) Largest decline over 1 year	-8.03%	-8.36%	+0.33%
Max Drawdown (3Y) Largest decline over 3 years	-11.15%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-23.63%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-36.43%	—	—
Current Drawdown Current decline from peak	-4.80%	-2.63%	-2.17%
Average Drawdown Average peak-to-trough decline	-5.05%	-1.69%	-3.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.78%	2.12%	+0.66%

Volatility

HDEF vs. GMOI - Volatility Comparison

The current volatility for Xtrackers MSCI EAFE High Dividend Yield Equity ETF (HDEF) is 3.05%, while GMO International Value ETF (GMOI) has a volatility of 3.99%. This indicates that HDEF experiences smaller price fluctuations and is considered to be less risky than GMOI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HDEF	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.05%	3.99%	-0.94%
Volatility (6M) Calculated over the trailing 6-month period	9.32%	10.67%	-1.35%
Volatility (1Y) Calculated over the trailing 1-year period	11.77%	13.40%	-1.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.13%	15.57%	-1.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.12%	15.57%	+0.55%

HDEF vs. GMOI - Expense Ratio Comparison

HDEF has a 0.20% expense ratio, which is lower than GMOI's 0.60% expense ratio.

Dividends

HDEF vs. GMOI - Dividend Comparison

HDEF's dividend yield for the trailing twelve months is around 3.96%, more than GMOI's 2.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMOI GMO International Value ETF	2.45%	2.74%	0.54%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
HDEF Xtrackers MSCI EAFE High Dividend Yield Equity ETF	3.96%	3.88%	4.53%	4.38%	5.41%	4.76%	3.93%	4.20%	3.55%	3.38%	9.53%	1.87%

Frequently Asked Questions

Can I hold both HDEF and GMOI in my portfolio?

HDEF and GMOI have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HDEF or GMOI?

GMOI has higher volatility (3.99%) compared to HDEF (3.05%). In terms of maximum drawdown, HDEF dropped -36.43% vs GMOI's -14.67%.

Which ETF is better, HDEF or GMOI?

On 1-year performance, GMOI leads with 35.21% vs 15.97% for HDEF. On fees, HDEF is cheaper at 0.20% per year. On volatility, HDEF has been the lower-risk option at 3.05%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HDEF or GMOI?

Over the 1-year period, GMOI has performed better with a 35.21% return vs 15.97%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HDEF or GMOI?

HDEF is cheaper with a 0.20% expense ratio, compared with 0.60% for GMOI.

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

HDEF has the higher dividend yield at 3.96%, compared with 2.45% for GMOI.

What is the main difference between HDEF and GMOI?

HDEF tracks MSCI EAFE High Dividend Yield US Dollar Hedged Index, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: Deutsche Bank and GMO. Their fees differ too: 0.20% for HDEF and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.64 vs 1.37), 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.