TGVAX vs. GTMIX
TGVAX (Thornburg International Equity Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, TGVAX returned 10.58%/yr vs 10.27%/yr for GTMIX. Their correlation of 0.80 suggests significant overlap in exposure. TGVAX charges 1.25%/yr vs 0.68%/yr for GTMIX.
Performance
TGVAX vs. GTMIX - Performance Comparison
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Returns By Period
In the year-to-date period, TGVAX achieves a 10.66% return, which is significantly lower than GTMIX's 13.42% return. Both investments have delivered pretty close results over the past 10 years, with TGVAX having a 10.58% annualized return and GTMIX not far behind at 10.27%.
TGVAX
- 1D
- 0.56%
- 1M
- 0.59%
- YTD
- 10.66%
- 6M
- 11.18%
- 1Y
- 25.32%
- 3Y*
- 19.03%
- 5Y*
- 9.41%
- 10Y*
- 10.58%
GTMIX
- 1D
- -0.38%
- 1M
- -0.54%
- YTD
- 13.42%
- 6M
- 13.84%
- 1Y
- 39.10%
- 3Y*
- 20.69%
- 5Y*
- 11.56%
- 10Y*
- 10.27%
TGVAX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TGVAX Thornburg International Equity Fund | 10.66% | 33.81% | 11.24% | 15.77% | -17.04% | 7.25% | 22.59% | 28.67% | -20.08% | 25.03% |
GTMIX GMO Tax-Managed International Equities Fund | 13.42% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Correlation
The correlation between TGVAX and GTMIX is 0.77, 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 | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999 | 0.80 |
The correlation between TGVAX and GTMIX has been stable across timeframes, ranging from 0.77 to 0.82 - a consistent structural relationship.
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Return for Risk
TGVAX vs. GTMIX — Risk / Return Rank
TGVAX
GTMIX
TGVAX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Thornburg International Equity Fund (TGVAX) 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.
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.
| TGVAX | GTMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.00 | ||
| Sortino ratioReturn per unit of downside risk | -1.35 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.53 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 2.38 | 4.85 | -2.47 |
| Martin ratioReturn relative to average drawdown | 8.34 | 18.73 | -10.40 |
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Drawdowns
TGVAX vs. GTMIX - Drawdown Comparison
The maximum TGVAX drawdown since its inception was -56.44%, roughly equal to the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for TGVAX and GTMIX.
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Drawdown Indicators
| TGVAX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.44% | -58.31% | +1.87% |
Max Drawdown (1Y)Largest decline over 1 year | -10.34% | -7.90% | -2.44% |
Max Drawdown (3Y)Largest decline over 3 years | -12.00% | -14.11% | +2.11% |
Max Drawdown (5Y)Largest decline over 5 years | -39.96% | -27.34% | -12.62% |
Max Drawdown (10Y)Largest decline over 10 years | -39.96% | -40.32% | +0.36% |
Current DrawdownCurrent decline from peak | -1.35% | -1.33% | -0.02% |
Average DrawdownAverage peak-to-trough decline | -12.44% | -12.66% | +0.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.94% | 2.04% | +0.90% |
Volatility
TGVAX vs. GTMIX - Volatility Comparison
Thornburg International Equity Fund (TGVAX) and GMO Tax-Managed International Equities Fund (GTMIX) have volatilities of 3.73% and 3.61%, 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.
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Volatility by Period
| TGVAX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.73% | 3.61% | +0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 10.39% | 9.95% | +0.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.63% | 13.00% | -0.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.67% | 14.94% | +1.73% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.71% | 16.03% | +0.68% |
TGVAX vs. GTMIX - Expense Ratio Comparison
TGVAX has a 1.25% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Dividends
TGVAX vs. GTMIX - Dividend Comparison
TGVAX's dividend yield for the trailing twelve months is around 3.20%, less than GTMIX's 19.78% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 19.78% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
TGVAX Thornburg International Equity Fund | 3.20% | 3.54% | 6.90% | 2.23% | 1.69% | 14.24% | 2.98% | 6.60% | 1.45% | 17.24% | 1.67% | 18.63% |
Frequently Asked Questions
TGVAX and GTMIX have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TGVAX has higher volatility (3.73%) compared to GTMIX (3.61%). In terms of maximum drawdown, TGVAX dropped -56.44% vs GTMIX's -58.31%.
GTMIX currently has the higher Sharpe Ratio (2.94 vs 1.95), 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.
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