NALFX vs. GMGEX

Last updated Jun 24, 2026

NALFX (New Alternatives Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, NALFX returned 11.22%/yr vs 11.70%/yr for GMGEX. A 0.72 correlation means they provide meaningful diversification when combined. NALFX charges 0.89%/yr vs 0.01%/yr for GMGEX.

Performance

NALFX vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Alternatives Fund (NALFX) and GMO Global Equity Allocation Fund (GMGEX). 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 NALFX having a 18.71% return and GMGEX slightly higher at 18.76%. Both investments have delivered pretty close results over the past 10 years, with NALFX having a 11.22% annualized return and GMGEX not far ahead at 11.70%.

NALFX

• 1D: 0.80%
• 1M: 1.06%
• YTD: 18.71%
• 6M: 18.42%
• 1Y: 30.46%
• 3Y*: 11.60%
• 5Y*: 3.27%
• 10Y*: 11.22%

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)

NALFX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NALFX New Alternatives Fund	18.71%	28.13%	-6.03%	-2.49%	-15.87%	-4.78%	61.74%	36.98%	-6.91%	21.24%
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 NALFX and GMGEX is 0.74, 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	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.70
Correlation (10Y) Calculated over the trailing 10-year period	0.66
Correlation (All Time) Calculated using the full available price history since Jan 2, 1997	0.72

The correlation between NALFX and GMGEX has been stable across timeframes, ranging from 0.66 to 0.74 - a consistent structural relationship.

Return for Risk

NALFX vs. GMGEX — Risk / Return Rank

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

NALFX

NALFX Risk / Return Rank: 63
NALFX Sharpe Ratio Rank: 58
NALFX Sortino Ratio Rank: 52
NALFX Omega Ratio Rank: 50
NALFX Calmar Ratio Rank: 89
NALFX Martin Ratio Rank: 67

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.

NALFX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for New Alternatives Fund (NALFX) 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.

	NALFX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	2.07	3.12	-1.04
Sortino ratio: Return per unit of downside risk	2.79	4.22	-1.42
Omega ratio: Gain probability vs. loss probability	1.36	1.57	-0.22
Calmar ratio: Return relative to maximum drawdown	4.17	4.46	-0.29
Martin ratio: Return relative to average drawdown	12.18	17.42	-5.25

NALFX vs. GMGEX - Sharpe Ratio Comparison

The current NALFX Sharpe Ratio is 2.07, which is lower than the GMGEX Sharpe Ratio of 3.12. The chart below compares the historical Sharpe Ratios of NALFX 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

NALFX vs. GMGEX - Drawdown Comparison

The maximum NALFX drawdown since its inception was -59.67%, roughly equal to the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for NALFX and GMGEX.

Drawdown Indicators

	NALFX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-59.67%	-58.47%	-1.20%
Max Drawdown (1Y) Largest decline over 1 year	-7.53%	-9.24%	+1.71%
Max Drawdown (3Y) Largest decline over 3 years	-24.35%	-17.12%	-7.23%
Max Drawdown (5Y) Largest decline over 5 years	-38.03%	-28.58%	-9.45%
Max Drawdown (10Y) Largest decline over 10 years	-42.35%	-34.98%	-7.37%
Current Drawdown Current decline from peak	-0.45%	-0.91%	+0.46%
Average Drawdown Average peak-to-trough decline	-14.82%	-16.72%	+1.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.57%	2.36%	+0.21%

Volatility

NALFX vs. GMGEX - Volatility Comparison

New Alternatives Fund (NALFX) and GMO Global Equity Allocation Fund (GMGEX) have volatilities of 4.82% and 4.75%, 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

	NALFX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.82%	4.75%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	12.41%	10.65%	+1.76%
Volatility (1Y) Calculated over the trailing 1-year period	15.15%	13.23%	+1.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.88%	14.89%	+2.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.04%	16.08%	+1.96%

NALFX vs. GMGEX - Expense Ratio Comparison

NALFX has a 0.89% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

NALFX vs. GMGEX - Dividend Comparison

NALFX's dividend yield for the trailing twelve months is around 0.98%, less than GMGEX's 3.95% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
NALFX New Alternatives Fund	0.98%	1.17%	2.04%	4.47%	4.63%	5.14%	4.93%	5.55%	6.62%	4.16%	3.71%	1.71%

Frequently Asked Questions

Can I hold both NALFX and GMGEX in my portfolio?

NALFX and GMGEX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NALFX or GMGEX?

NALFX has higher volatility (4.82%) compared to GMGEX (4.75%). In terms of maximum drawdown, NALFX dropped -59.67% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.12 vs 2.07), 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.