KGIIX vs. GTMIX
Compare and contrast key facts about Kopernik International Fund (KGIIX) and GMO Tax-Managed International Equities Fund (GTMIX).
KGIIX is managed by Kopernik. It was launched on Jun 29, 2015. GTMIX is managed by GMO. It was launched on Jul 28, 1998.
Performance
KGIIX vs. GTMIX - Performance Comparison
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KGIIX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
KGIIX Kopernik International Fund | 8.08% | 54.97% | -7.01% | 13.86% | -14.05% | 16.62% | 18.94% | 16.37% | -6.24% | 10.50% |
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% |
Returns By Period
The year-to-date returns for both investments are quite close, with KGIIX having a 8.08% return and GTMIX slightly higher at 8.42%. Over the past 10 years, KGIIX has outperformed GTMIX with an annualized return of 10.80%, while GTMIX has yielded a comparatively lower 9.87% annualized return.
KGIIX
- 1D
- 2.03%
- 1M
- -5.78%
- YTD
- 8.08%
- 6M
- 14.91%
- 1Y
- 47.51%
- 3Y*
- 18.70%
- 5Y*
- 10.47%
- 10Y*
- 10.80%
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%
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KGIIX vs. GTMIX - Expense Ratio Comparison
KGIIX has a 1.04% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Return for Risk
KGIIX vs. GTMIX — Risk / Return Rank
KGIIX
GTMIX
KGIIX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Kopernik International Fund (KGIIX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.
| KGIIX | GTMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.56 | 2.67 | +0.89 |
Sortino ratioReturn per unit of downside risk | 4.34 | 3.40 | +0.95 |
Omega ratioGain probability vs. loss probability | 1.65 | 1.52 | +0.13 |
Calmar ratioReturn relative to maximum drawdown | 5.30 | 3.54 | +1.76 |
Martin ratioReturn relative to average drawdown | 19.59 | 16.76 | +2.83 |
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
| KGIIX | GTMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.56 | 2.67 | +0.89 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.80 | 0.76 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.85 | 0.62 | +0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.94 | 0.40 | +0.54 |
Correlation
The correlation between KGIIX and GTMIX is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
KGIIX vs. GTMIX - Dividend Comparison
KGIIX's dividend yield for the trailing twelve months is around 13.20%, less than GTMIX's 20.69% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KGIIX Kopernik International Fund | 13.20% | 14.26% | 0.48% | 12.56% | 2.46% | 5.77% | 2.89% | 2.50% | 1.19% | 1.35% | 0.33% | 0.00% |
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% |
Drawdowns
KGIIX vs. GTMIX - Drawdown Comparison
The maximum KGIIX drawdown since its inception was -27.81%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for KGIIX and GTMIX.
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Drawdown Indicators
| KGIIX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.81% | -58.31% | +30.50% |
Max Drawdown (1Y)Largest decline over 1 year | -8.76% | -11.24% | +2.48% |
Max Drawdown (5Y)Largest decline over 5 years | -27.81% | -28.81% | +1.00% |
Max Drawdown (10Y)Largest decline over 10 years | -27.81% | -40.32% | +12.51% |
Current DrawdownCurrent decline from peak | -5.78% | -4.51% | -1.27% |
Average DrawdownAverage peak-to-trough decline | -6.15% | -12.75% | +6.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.37% | 2.38% | -0.01% |
Volatility
KGIIX vs. GTMIX - Volatility Comparison
The current volatility for Kopernik International Fund (KGIIX) is 5.35%, while GMO Tax-Managed International Equities Fund (GTMIX) has a volatility of 5.97%. This indicates that KGIIX experiences smaller price fluctuations and is considered to be less risky than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KGIIX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.35% | 5.97% | -0.62% |
Volatility (6M)Calculated over the trailing 6-month period | 10.93% | 9.56% | +1.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.41% | 15.56% | -2.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.21% | 14.91% | -1.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.75% | 16.06% | -3.31% |