GDGIX vs. GMGEX

Last updated Jun 24, 2026

GDGIX (Sit Global Dividend Growth Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, GDGIX returned 12.05%/yr vs 11.70%/yr for GMGEX. Their correlation of 0.90 suggests significant overlap in exposure. GDGIX charges 1.00%/yr vs 0.01%/yr for GMGEX.

Performance

GDGIX vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sit Global Dividend Growth Fund (GDGIX) and GMO Global Equity Allocation Fund (GMGEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GDGIX achieves a 7.61% return, which is significantly lower than GMGEX's 18.76% return. Both investments have delivered pretty close results over the past 10 years, with GDGIX having a 12.05% annualized return and GMGEX not far behind at 11.70%.

GDGIX

• 1D: -0.66%
• 1M: -0.29%
• YTD: 7.61%
• 6M: 7.14%
• 1Y: 19.86%
• 3Y*: 17.46%
• 5Y*: 10.54%
• 10Y*: 12.05%

GMGEX

• 1D: 0.05%
• 1M: 1.60%
• YTD: 18.76%
• 6M: 18.21%
• 1Y: 40.11%
• 3Y*: 21.14%
• 5Y*: 10.37%
• 10Y*: 11.70%

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

GDGIX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GDGIX Sit Global Dividend Growth Fund	7.61%	16.68%	16.80%	23.12%	-18.05%	23.59%	16.01%	26.70%	-9.65%	19.75%
GMGEX GMO Global Equity Allocation Fund	18.76%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between GDGIX and GMGEX is 0.85, 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	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.84
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (10Y) Calculated over the trailing 10-year period	0.87
Correlation (All Time) Calculated using the full available price history since Jan 2, 2009	0.90

The correlation between GDGIX and GMGEX has been stable across timeframes, ranging from 0.84 to 0.90 - a consistent structural relationship.

Return for Risk

GDGIX vs. GMGEX — Risk / Return Rank

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

GDGIX

GDGIX Risk / Return Rank: 45
GDGIX Sharpe Ratio Rank: 41
GDGIX Sortino Ratio Rank: 40
GDGIX Omega Ratio Rank: 38
GDGIX Calmar Ratio Rank: 50
GDGIX Martin Ratio Rank: 57

GMGEX

GMGEX Risk / Return Rank: 91
GMGEX Sharpe Ratio Rank: 95
GMGEX Sortino Ratio Rank: 91
GMGEX Omega Ratio Rank: 87
GMGEX Calmar Ratio Rank: 91
GMGEX Martin Ratio Rank: 92

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.

GDGIX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Sit Global Dividend Growth Fund (GDGIX) and GMO Global Equity Allocation Fund (GMGEX). 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.

	GDGIX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	1.74	3.12	-1.38
Sortino ratio: Return per unit of downside risk	2.43	4.22	-1.79
Omega ratio: Gain probability vs. loss probability	1.31	1.57	-0.26
Calmar ratio: Return relative to maximum drawdown	2.58	4.46	-1.87
Martin ratio: Return relative to average drawdown	10.71	17.42	-6.71

GDGIX vs. GMGEX - Sharpe Ratio Comparison

The current GDGIX Sharpe Ratio is 1.74, which is lower than the GMGEX Sharpe Ratio of 3.12. The chart below compares the historical Sharpe Ratios of GDGIX and GMGEX, 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

GDGIX vs. GMGEX - Drawdown Comparison

The maximum GDGIX drawdown since its inception was -33.91%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for GDGIX and GMGEX.

Drawdown Indicators

	GDGIX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-33.91%	-58.47%	+24.56%
Max Drawdown (1Y) Largest decline over 1 year	-8.12%	-9.24%	+1.12%
Max Drawdown (3Y) Largest decline over 3 years	-14.69%	-17.12%	+2.43%
Max Drawdown (5Y) Largest decline over 5 years	-26.60%	-28.58%	+1.98%
Max Drawdown (10Y) Largest decline over 10 years	-33.91%	-34.98%	+1.07%
Current Drawdown Current decline from peak	-2.85%	-0.91%	-1.94%
Average Drawdown Average peak-to-trough decline	-4.58%	-16.72%	+12.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.95%	2.36%	-0.41%

Volatility

GDGIX vs. GMGEX - Volatility Comparison

The current volatility for Sit Global Dividend Growth Fund (GDGIX) is 4.43%, while GMO Global Equity Allocation Fund (GMGEX) has a volatility of 4.75%. This indicates that GDGIX experiences smaller price fluctuations and is considered to be less risky than GMGEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GDGIX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.43%	4.75%	-0.32%
Volatility (6M) Calculated over the trailing 6-month period	9.66%	10.65%	-0.99%
Volatility (1Y) Calculated over the trailing 1-year period	12.09%	13.23%	-1.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.16%	14.89%	+0.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.43%	16.08%	+0.35%

GDGIX vs. GMGEX - Expense Ratio Comparison

GDGIX has a 1.00% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

GDGIX vs. GMGEX - Dividend Comparison

GDGIX's dividend yield for the trailing twelve months is around 1.27%, less than GMGEX's 3.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GDGIX Sit Global Dividend Growth Fund	1.27%	1.38%	2.47%	1.03%	1.11%	0.69%	1.03%	1.59%	1.93%	1.50%	2.11%	9.52%
GMGEX GMO Global Equity Allocation Fund	3.95%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%

Frequently Asked Questions

Can I hold both GDGIX and GMGEX in my portfolio?

GDGIX and GMGEX have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GDGIX or GMGEX?

GMGEX has higher volatility (4.75%) compared to GDGIX (4.43%). In terms of maximum drawdown, GDGIX dropped -33.91% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.12 vs 1.74), 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.