HEFA vs. GMOI

Last updated Jun 26, 2026

HEFA (iShares Currency Hedged MSCI EAFE ETF) and GMOI (GMO International Value ETF) are both Foreign Large Cap Equities funds - HEFA tracks the MSCI EAFE 100% Hedged to USD Index while GMOI tracks the MSCI World ex USA Value. Both are passively managed. Over the past year, HEFA returned 30.25% vs 34.97% for GMOI. A 0.76 correlation means they provide meaningful diversification when combined. HEFA charges 0.35%/yr vs 0.60%/yr for GMOI.

Performance

HEFA vs. GMOI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Currency Hedged MSCI EAFE ETF (HEFA) 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, HEFA achieves a 12.74% return, which is significantly higher than GMOI's 11.64% return.

HEFA

• 1D: 0.60%
• 1M: 1.90%
• YTD: 12.74%
• 6M: 12.69%
• 1Y: 30.25%
• 3Y*: 19.62%
• 5Y*: 13.80%
• 10Y*: 13.63%

GMOI

• 1D: 0.67%
• 1M: -2.22%
• YTD: 11.64%
• 6M: 11.19%
• 1Y: 34.97%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

HEFA vs. GMOI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
HEFA iShares Currency Hedged MSCI EAFE ETF	12.74%	24.58%	-0.72%
GMOI GMO International Value ETF	11.64%	45.64%	-4.48%

Correlation

The correlation between HEFA and GMOI is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.78
Correlation (All Time) Calculated using the full available price history since Oct 29, 2024	0.76

The correlation between HEFA and GMOI has been stable across timeframes, ranging from 0.76 to 0.78 - a consistent structural relationship.

Return for Risk

HEFA vs. GMOI — Risk / Return Rank

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

HEFA

HEFA Risk / Return Rank: 80
HEFA Sharpe Ratio Rank: 84
HEFA Sortino Ratio Rank: 83
HEFA Omega Ratio Rank: 84
HEFA Calmar Ratio Rank: 73
HEFA Martin Ratio Rank: 79

GMOI

GMOI Risk / Return Rank: 88
GMOI Sharpe Ratio Rank: 90
GMOI Sortino Ratio Rank: 90
GMOI Omega Ratio Rank: 87
GMOI Calmar Ratio Rank: 86
GMOI Martin Ratio Rank: 88

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.

HEFA vs. GMOI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Currency Hedged MSCI EAFE ETF (HEFA) 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.

	HEFA	GMOI	Difference
Sharpe ratio: Return per unit of total volatility	2.33	2.63	-0.30
Sortino ratio: Return per unit of downside risk	3.22	3.63	-0.42
Omega ratio: Gain probability vs. loss probability	1.44	1.46	-0.03
Calmar ratio: Return relative to maximum drawdown	3.19	4.20	-1.01
Martin ratio: Return relative to average drawdown	13.35	16.42	-3.07

HEFA vs. GMOI - Sharpe Ratio Comparison

The current HEFA Sharpe Ratio is 2.33, which is comparable to the GMOI Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of HEFA 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

HEFA vs. GMOI - Drawdown Comparison

The maximum HEFA drawdown since its inception was -32.39%, which is greater than GMOI's maximum drawdown of -14.67%. Use the drawdown chart below to compare losses from any high point for HEFA and GMOI.

Drawdown Indicators

	HEFA	GMOI	Difference
Max Drawdown Largest peak-to-trough decline	-32.39%	-14.67%	-17.72%
Max Drawdown (1Y) Largest decline over 1 year	-9.52%	-8.36%	-1.16%
Max Drawdown (3Y) Largest decline over 3 years	-14.28%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-14.79%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-32.39%	—	—
Current Drawdown Current decline from peak	-1.04%	-2.53%	+1.49%
Average Drawdown Average peak-to-trough decline	-4.15%	-1.69%	-2.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.27%	2.14%	+0.13%

Volatility

HEFA vs. GMOI - Volatility Comparison

iShares Currency Hedged MSCI EAFE ETF (HEFA) has a higher volatility of 4.43% compared to GMO International Value ETF (GMOI) at 4.02%. This indicates that HEFA's price experiences larger fluctuations and is considered to be riskier than GMOI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HEFA	GMOI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.43%	4.02%	+0.41%
Volatility (6M) Calculated over the trailing 6-month period	10.75%	10.70%	+0.05%
Volatility (1Y) Calculated over the trailing 1-year period	13.10%	13.40%	-0.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.86%	15.55%	-1.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.70%	15.55%	+0.15%

HEFA vs. GMOI - Expense Ratio Comparison

HEFA has a 0.35% expense ratio, which is lower than GMOI's 0.60% expense ratio.

Dividends

HEFA vs. GMOI - Dividend Comparison

HEFA's dividend yield for the trailing twelve months is around 3.90%, 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%
HEFA iShares Currency Hedged MSCI EAFE ETF	3.90%	4.40%	3.09%	3.02%	25.14%	3.06%	2.10%	7.56%	4.58%	2.55%	3.17%	3.54%

Frequently Asked Questions

Can I hold both HEFA and GMOI in my portfolio?

HEFA and GMOI have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HEFA or GMOI?

HEFA has higher volatility (4.43%) compared to GMOI (4.02%). In terms of maximum drawdown, HEFA dropped -32.39% vs GMOI's -14.67%.

Which ETF is better, HEFA or GMOI?

On 1-year performance, GMOI leads with 34.97% vs 30.25% for HEFA. On fees, HEFA is cheaper at 0.35% per year. On volatility, GMOI has been the lower-risk option at 4.02%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, HEFA or GMOI?

Over the 1-year period, GMOI has performed better with a 34.97% return vs 30.25%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, HEFA or GMOI?

HEFA is cheaper with a 0.35% expense ratio, compared with 0.60% for GMOI.

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

HEFA has the higher dividend yield at 3.90%, compared with 2.45% for GMOI.

What is the main difference between HEFA and GMOI?

HEFA tracks MSCI EAFE 100% Hedged to USD Index, while GMOI tracks MSCI World ex USA Value. They also come from different issuers: iShares and GMO. Their fees differ too: 0.35% for HEFA and 0.60% for GMOI.

Which has better risk-adjusted returns?

GMOI currently has the higher Sharpe Ratio (2.63 vs 2.33), 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.