NOIGX vs. GTMIX
NOIGX (Northern International Equity Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, NOIGX returned 9.55%/yr vs 10.95%/yr for GTMIX. Their correlation of 0.93 means they have usually moved in the same direction. NOIGX charges 0.51%/yr vs 0.68%/yr for GTMIX.
Performance
NOIGX vs. GTMIX - Performance Comparison
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Returns By Period
In the year-to-date period, NOIGX achieves a 14.08% return, which is significantly lower than GTMIX's 22.05% return. Over the past 10 years, NOIGX has underperformed GTMIX with an annualized return of 9.55%, while GTMIX has yielded a comparatively higher 10.95% annualized return.
NOIGX
- 1D
- 2.68%
- 1M
- 3.24%
- 6M
- 8.97%
- YTD
- 14.08%
- 1Y
- 29.89%
- 3Y*
- 19.47%
- 5Y*
- 12.00%
- 10Y*
- 9.55%
- ALL TIME*
- 5.80%
GTMIX
- 1D
- 1.72%
- 1M
- 6.92%
- 6M
- 14.84%
- YTD
- 22.05%
- 1Y
- 45.05%
- 3Y*
- 22.18%
- 5Y*
- 13.23%
- 10Y*
- 10.95%
- ALL TIME*
- 7.41%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
NOIGX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NOIGX Northern International Equity Fund | 14.08% | 37.46% | 4.73% | 19.04% | -11.87% | 15.14% | 1.69% | 16.60% | -15.11% | 22.90% |
GTMIX GMO Tax-Managed International Equities Fund | 22.05% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Correlation
The correlation between NOIGX and GTMIX is 0.83, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.83 |
Correlation (3Y) Balances recent behavior with more history. | 0.87 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.91 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 1999 | 0.93 |
The correlation between NOIGX and GTMIX shifts across timeframes, from 0.83 (1 year) to 0.93 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
NOIGX vs. GTMIX — Risk / Return Rank
NOIGX
GTMIX
NOIGX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Northern International Equity Fund (NOIGX) 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.
| NOIGX | GTMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.67 | ||
| Sortino ratioReturn per unit of downside risk | -2.22 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.63 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | 2.83 | 5.60 | -2.77 |
| Martin ratioReturn relative to average drawdown | 11.16 | 22.17 | -11.01 |
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Drawdowns
NOIGX vs. GTMIX - Drawdown Comparison
The maximum NOIGX drawdown since its inception was -57.92%, roughly equal to the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for NOIGX and GTMIX.
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Drawdown Indicators
| NOIGX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.92% | -58.31% | +0.39% |
Max Drawdown (1Y)Largest decline over 1 year | -10.02% | -7.90% | -2.12% |
Max Drawdown (3Y)Largest decline over 3 years | -12.93% | -14.11% | +1.18% |
Max Drawdown (5Y)Largest decline over 5 years | -27.48% | -27.34% | -0.14% |
Max Drawdown (10Y)Largest decline over 10 years | -40.06% | -40.32% | +0.26% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -13.70% | -12.61% | -1.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.54% | 1.99% | +0.55% |
Volatility
NOIGX vs. GTMIX - Volatility Comparison
Northern International Equity Fund (NOIGX) has a higher volatility of 4.37% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.70%. This indicates that NOIGX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NOIGX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.37% | 3.70% | +0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 13.55% | 10.11% | +3.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.62% | 12.77% | +2.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.73% | 14.89% | +0.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.23% | 15.76% | +0.47% |
NOIGX vs. GTMIX - Expense Ratio Comparison
NOIGX has a 0.51% expense ratio, which is lower than GTMIX's 0.68% expense ratio.
Dividends
NOIGX vs. GTMIX - Dividend Comparison
NOIGX's dividend yield for the trailing twelve months is around 0.68%, less than GTMIX's 20.69% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
NOIGX Northern International Equity Fund | 0.68% | 0.78% | 4.50% | 5.79% | 2.94% | 3.20% | 5.86% | 3.83% | 2.71% | 1.21% | 1.57% | 2.02% |
Frequently Asked Questions
NOIGX and GTMIX have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NOIGX has higher volatility (4.37%) compared to GTMIX (3.70%). In terms of maximum drawdown, NOIGX dropped -57.92% vs GTMIX's -58.31%.
GTMIX currently has the higher Sharpe Ratio (3.49 vs 1.82), 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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