GWOAX vs. MEGI

Last updated Jun 5, 2026

GWOAX (GMO Global Developed Equity Allocation Fund) and MEGI (NYLI CBRE Global Infrastructure Megatrends Term Fund) are both Global Equities funds. Over the past 3 years, GWOAX returned 21.01%/yr vs 14.66%/yr for MEGI. A 0.51 correlation means they provide meaningful diversification when combined. GWOAX charges 0.01%/yr vs 0.02%/yr for MEGI.

Performance

GWOAX vs. MEGI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Global Developed Equity Allocation Fund (GWOAX) and NYLI CBRE Global Infrastructure Megatrends Term Fund (MEGI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GWOAX achieves a 15.86% return, which is significantly higher than MEGI's 14.62% return.

GWOAX

• 1D: -0.44%
• 1M: 4.06%
• YTD: 15.86%
• 6M: 17.59%
• 1Y: 37.23%
• 3Y*: 21.01%
• 5Y*: 10.73%
• 10Y*: 12.12%

MEGI

• 1D: 0.60%
• 1M: -0.82%
• YTD: 14.62%
• 6M: 14.44%
• 1Y: 17.98%
• 3Y*: 14.66%
• 5Y*: —
• 10Y*: —

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

GWOAX vs. MEGI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
GWOAX GMO Global Developed Equity Allocation Fund	15.86%	28.37%	6.14%	22.49%	-14.10%	2.39%
MEGI NYLI CBRE Global Infrastructure Megatrends Term Fund	14.62%	26.19%	5.19%	5.52%	-23.32%	-3.50%

Correlation

The correlation between GWOAX and MEGI is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.45
Correlation (All Time) Calculated using the full available price history since Oct 28, 2021	0.51

The correlation between GWOAX and MEGI has been stable across timeframes, ranging from 0.42 to 0.51 - a consistent structural relationship.

Return for Risk

GWOAX vs. MEGI — Risk / Return Rank

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

GWOAX

GWOAX Risk / Return Rank: 87
GWOAX Sharpe Ratio Rank: 91
GWOAX Sortino Ratio Rank: 87
GWOAX Omega Ratio Rank: 82
GWOAX Calmar Ratio Rank: 88
GWOAX Martin Ratio Rank: 89

MEGI

MEGI Risk / Return Rank: 21
MEGI Sharpe Ratio Rank: 20
MEGI Sortino Ratio Rank: 21
MEGI Omega Ratio Rank: 20
MEGI Calmar Ratio Rank: 27
MEGI Martin Ratio Rank: 18

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.

GWOAX vs. MEGI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Global Developed Equity Allocation Fund (GWOAX) and NYLI CBRE Global Infrastructure Megatrends Term Fund (MEGI). 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.

	GWOAX	MEGI	Difference
Sharpe ratio: Return per unit of total volatility	3.03	1.28	+1.74
Sortino ratio: Return per unit of downside risk	4.17	1.90	+2.27
Omega ratio: Gain probability vs. loss probability	1.55	1.23	+0.32
Calmar ratio: Return relative to maximum drawdown	4.27	1.90	+2.37
Martin ratio: Return relative to average drawdown	17.06	4.71	+12.35
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GWOAX vs. MEGI - Sharpe Ratio Comparison

The current GWOAX Sharpe Ratio is 3.03, which is higher than the MEGI Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of GWOAX and MEGI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GWOAX	MEGI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.03	1.28	+1.74
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.71	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.74	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.47	0.19	+0.28

Drawdowns

GWOAX vs. MEGI - Drawdown Comparison

The maximum GWOAX drawdown since its inception was -49.84%, which is greater than MEGI's maximum drawdown of -39.48%. Use the drawdown chart below to compare losses from any high point for GWOAX and MEGI.

Drawdown Indicators

	GWOAX	MEGI	Difference
Max Drawdown Largest peak-to-trough decline	-49.84%	-39.48%	-10.36%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-9.52%	+0.74%
Max Drawdown (3Y) Largest decline over 3 years	-16.11%	-22.53%	+6.42%
Max Drawdown (5Y) Largest decline over 5 years	-26.21%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-35.28%	—	—
Current Drawdown Current decline from peak	-0.44%	-2.06%	+1.62%
Average Drawdown Average peak-to-trough decline	-9.00%	-14.64%	+5.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.19%	3.83%	-1.64%

Volatility

GWOAX vs. MEGI - Volatility Comparison

The current volatility for GMO Global Developed Equity Allocation Fund (GWOAX) is 3.26%, while NYLI CBRE Global Infrastructure Megatrends Term Fund (MEGI) has a volatility of 3.93%. This indicates that GWOAX experiences smaller price fluctuations and is considered to be less risky than MEGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GWOAX	MEGI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.26%	3.93%	-0.67%
Volatility (6M) Calculated over the trailing 6-month period	9.47%	10.15%	-0.68%
Volatility (1Y) Calculated over the trailing 1-year period	12.40%	14.06%	-1.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.22%	19.86%	-4.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.50%	19.86%	-3.36%

GWOAX vs. MEGI - Expense Ratio Comparison

GWOAX has a 0.01% expense ratio, which is lower than MEGI's 0.02% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

GWOAX vs. MEGI - Dividend Comparison

GWOAX's dividend yield for the trailing twelve months is around 3.85%, less than MEGI's 9.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GWOAX GMO Global Developed Equity Allocation Fund	3.85%	4.46%	0.60%	6.10%	7.27%	12.75%	3.85%	4.33%	3.02%	3.05%	6.43%	12.47%
MEGI NYLI CBRE Global Infrastructure Megatrends Term Fund	9.92%	10.90%	12.33%	10.66%	9.52%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GWOAX and MEGI in my portfolio?

GWOAX and MEGI have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GWOAX or MEGI?

MEGI has higher volatility (3.93%) compared to GWOAX (3.26%). In terms of maximum drawdown, GWOAX dropped -49.84% vs MEGI's -39.48%.

Which has better risk-adjusted returns?

GWOAX currently has the higher Sharpe Ratio (3.03 vs 1.28), 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.