MDIZX vs. GTMIX
Compare and contrast key facts about MFS International Diversification Fund R6 (MDIZX) and GMO Tax-Managed International Equities Fund (GTMIX).
MDIZX is a passively managed fund by MFS that tracks the performance of the MSCI All Country World (ex-US) Index (net div). It was launched on Oct 2, 2017. GTMIX is managed by GMO. It was launched on Jul 28, 1998.
Performance
MDIZX vs. GTMIX - Performance Comparison
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MDIZX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MDIZX MFS International Diversification Fund R6 | -0.18% | 27.99% | 6.52% | 14.48% | -17.04% | 7.79% | 15.45% | 26.09% | -10.93% | 3.71% |
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% | 2.58% |
Returns By Period
In the year-to-date period, MDIZX achieves a -0.18% return, which is significantly lower than GTMIX's 8.42% return.
MDIZX
- 1D
- 2.59%
- 1M
- -7.35%
- YTD
- -0.18%
- 6M
- 3.01%
- 1Y
- 20.14%
- 3Y*
- 13.13%
- 5Y*
- 6.22%
- 10Y*
- —
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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MDIZX vs. GTMIX - Expense Ratio Comparison
MDIZX has a 0.73% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Return for Risk
MDIZX vs. GTMIX — Risk / Return Rank
MDIZX
GTMIX
MDIZX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS International Diversification Fund R6 (MDIZX) 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.
| MDIZX | GTMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.49 | 2.67 | -1.17 |
Sortino ratioReturn per unit of downside risk | 1.97 | 3.40 | -1.43 |
Omega ratioGain probability vs. loss probability | 1.30 | 1.52 | -0.23 |
Calmar ratioReturn relative to maximum drawdown | 1.72 | 3.54 | -1.82 |
Martin ratioReturn relative to average drawdown | 6.75 | 16.76 | -10.01 |
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
| MDIZX | GTMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.49 | 2.67 | -1.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | 0.76 | -0.32 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.62 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.40 | +0.11 |
Correlation
The correlation between MDIZX and GTMIX is 0.89, 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
MDIZX vs. GTMIX - Dividend Comparison
MDIZX's dividend yield for the trailing twelve months is around 5.27%, less than GTMIX's 20.69% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MDIZX MFS International Diversification Fund R6 | 5.27% | 5.26% | 3.61% | 4.24% | 2.76% | 2.79% | 1.72% | 2.57% | 3.23% | 1.66% | 0.00% | 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
MDIZX vs. GTMIX - Drawdown Comparison
The maximum MDIZX drawdown since its inception was -30.09%, smaller than the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for MDIZX and GTMIX.
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Drawdown Indicators
| MDIZX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.09% | -58.31% | +28.22% |
Max Drawdown (1Y)Largest decline over 1 year | -11.36% | -11.24% | -0.12% |
Max Drawdown (5Y)Largest decline over 5 years | -30.09% | -28.81% | -1.28% |
Max Drawdown (10Y)Largest decline over 10 years | — | -40.32% | — |
Current DrawdownCurrent decline from peak | -8.99% | -4.51% | -4.48% |
Average DrawdownAverage peak-to-trough decline | -6.78% | -12.75% | +5.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 2.38% | +0.52% |
Volatility
MDIZX vs. GTMIX - Volatility Comparison
MFS International Diversification Fund R6 (MDIZX) has a higher volatility of 6.28% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 5.97%. This indicates that MDIZX's price experiences larger fluctuations and is considered to be riskier 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
| MDIZX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.28% | 5.97% | +0.31% |
Volatility (6M)Calculated over the trailing 6-month period | 9.37% | 9.56% | -0.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.97% | 15.56% | -1.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.09% | 14.91% | -0.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.20% | 16.06% | -0.86% |