SFNNX vs. GIOTX

Last updated Jul 14, 2026

SFNNX (Schwab Fundamental International Equity Index Fund) and GIOTX (GMO International Developed Equity Allocation Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, SFNNX returned 11.53%/yr vs 12.05%/yr for GIOTX. With a 0.96 correlation, they move nearly in lockstep. SFNNX charges 0.25%/yr vs 0.00%/yr for GIOTX.

Performance

SFNNX vs. GIOTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schwab Fundamental International Equity Index Fund (SFNNX) and GMO International Developed Equity Allocation Fund (GIOTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with SFNNX having a 17.57% return and GIOTX slightly higher at 18.20%. Both investments have delivered pretty close results over the past 10 years, with SFNNX having a 11.53% annualized return and GIOTX not far ahead at 12.05%.

SFNNX

• 1D: 0.55%
• 1M: -1.27%
• 6M: 13.80%
• YTD: 17.57%
• 1Y: 36.03%
• 3Y*: 22.54%
• 5Y*: 13.40%
• 10Y*: 11.53%

GIOTX

• 1D: 0.72%
• 1M: -0.14%
• 6M: 14.30%
• YTD: 18.20%
• 1Y: 38.74%
• 3Y*: 26.68%
• 5Y*: 14.46%
• 10Y*: 12.05%

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

SFNNX vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SFNNX Schwab Fundamental International Equity Index Fund	17.57%	41.06%	2.27%	19.88%	-7.95%	14.38%	4.35%	18.09%	-13.96%	23.95%
GIOTX GMO International Developed Equity Allocation Fund	18.20%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	24.45%	-19.66%	26.38%

Correlation

The correlation between SFNNX and GIOTX is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since Jan 2, 2008	0.96

The correlation between SFNNX and GIOTX has been stable across timeframes, ranging from 0.93 to 0.96 - a consistent structural relationship.

Return for Risk

SFNNX vs. GIOTX — Risk / Return Rank

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

SFNNX

SFNNX Risk / Return Rank: 83
SFNNX Sharpe Ratio Rank: 86
SFNNX Sortino Ratio Rank: 79
SFNNX Omega Ratio Rank: 81
SFNNX Calmar Ratio Rank: 86
SFNNX Martin Ratio Rank: 82

GIOTX

GIOTX Risk / Return Rank: 87
GIOTX Sharpe Ratio Rank: 88
GIOTX Sortino Ratio Rank: 84
GIOTX Omega Ratio Rank: 83
GIOTX Calmar Ratio Rank: 89
GIOTX Martin Ratio Rank: 90

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.

SFNNX vs. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental International Equity Index Fund (SFNNX) and GMO International Developed Equity Allocation Fund (GIOTX). 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.

	SFNNX	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	2.28	2.35	-0.07
Sortino ratio: Return per unit of downside risk	2.97	3.23	-0.26
Omega ratio: Gain probability vs. loss probability	1.41	1.43	-0.01
Calmar ratio: Return relative to maximum drawdown	3.33	3.54	-0.21
Martin ratio: Return relative to average drawdown	11.69	13.70	-2.00

SFNNX vs. GIOTX - Sharpe Ratio Comparison

The current SFNNX Sharpe Ratio is 2.28, which is comparable to the GIOTX Sharpe Ratio of 2.35. The chart below compares the historical Sharpe Ratios of SFNNX and GIOTX, 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

SFNNX vs. GIOTX - Drawdown Comparison

The maximum SFNNX drawdown since its inception was -59.60%, which is greater than GIOTX's maximum drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for SFNNX and GIOTX.

Drawdown Indicators

	SFNNX	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-59.60%	-56.51%	-3.09%
Max Drawdown (1Y) Largest decline over 1 year	-10.63%	-10.66%	+0.03%
Max Drawdown (3Y) Largest decline over 3 years	-13.78%	-13.40%	-0.38%
Max Drawdown (5Y) Largest decline over 5 years	-25.66%	-28.34%	+2.68%
Max Drawdown (10Y) Largest decline over 10 years	-40.23%	-39.29%	-0.94%
Current Drawdown Current decline from peak	-3.26%	-1.16%	-2.10%
Average Drawdown Average peak-to-trough decline	-11.92%	-14.17%	+2.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	2.76%	+0.27%

Volatility

SFNNX vs. GIOTX - Volatility Comparison

Schwab Fundamental International Equity Index Fund (SFNNX) and GMO International Developed Equity Allocation Fund (GIOTX) have volatilities of 5.86% and 5.59%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SFNNX	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.86%	5.59%	+0.27%
Volatility (6M) Calculated over the trailing 6-month period	13.30%	13.20%	+0.10%
Volatility (1Y) Calculated over the trailing 1-year period	15.55%	16.05%	-0.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.74%	15.51%	+0.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.04%	16.13%	+0.91%

SFNNX vs. GIOTX - Expense Ratio Comparison

SFNNX has a 0.25% expense ratio, which is higher than GIOTX's 0.00% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

SFNNX vs. GIOTX - Dividend Comparison

SFNNX's dividend yield for the trailing twelve months is around 4.35%, less than GIOTX's 8.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GIOTX GMO International Developed Equity Allocation Fund	8.62%	8.04%	5.07%	6.54%	4.45%	6.67%	4.48%	3.74%	3.90%	3.15%	4.04%	3.39%
SFNNX Schwab Fundamental International Equity Index Fund	4.35%	5.11%	3.61%	3.26%	2.92%	3.81%	2.42%	3.69%	3.51%	2.70%	3.21%	2.92%

Frequently Asked Questions

Can I hold both SFNNX and GIOTX in my portfolio?

With a correlation of 0.93, SFNNX and GIOTX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SFNNX or GIOTX?

SFNNX has higher volatility (5.86%) compared to GIOTX (5.59%). In terms of maximum drawdown, SFNNX dropped -59.60% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.35 vs 2.28), 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.