NOINX vs. NOSGX

Last updated Aug 5, 2026

NOINX (Northern International Equity Index Fund) and NOSGX (Northern Small Cap Value Fund) are both mutual funds - NOINX is a Foreign Large Cap Equities fund managed by Northern Trust, while NOSGX is a Small Cap Value Equities fund managed by Northern Trust. Over the past 10 years, NOINX returned 9.53%/yr vs 8.70%/yr for NOSGX. Their 0.69 correlation means they have sometimes moved together and sometimes differently. NOINX charges 0.10%/yr vs 1.00%/yr for NOSGX.

Performance

NOINX vs. NOSGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern International Equity Index Fund (NOINX) and Northern Small Cap Value Fund (NOSGX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NOINX achieves a 12.52% return, which is significantly lower than NOSGX's 23.08% return. Over the past 10 years, NOINX has outperformed NOSGX with an annualized return of 9.53%, while NOSGX has yielded a comparatively lower 8.70% annualized return.

NOINX

• 1D: 0.46%
• 1M: 1.80%
• 6M: 6.35%
• YTD: 12.52%
• 1Y: 26.17%
• 3Y*: 17.62%
• 5Y*: 9.32%
• 10Y*: 9.53%
• ALL TIME*: 6.31%

NOSGX

• 1D: 1.23%
• 1M: 1.89%
• 6M: 13.38%
• YTD: 23.08%
• 1Y: 40.27%
• 3Y*: 13.98%
• 5Y*: 9.53%
• 10Y*: 8.70%
• ALL TIME*: 9.08%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
NOINX Northern International Equity Index Fund	$0.00	$0.00	$0.00
NOSGX Northern Small Cap Value Fund	$0.00	$0.00	$0.00

NOINX vs. NOSGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NOINX Northern International Equity Index Fund	12.52%	31.86%	3.69%	18.08%	-14.24%	11.08%	7.92%	21.98%	-13.76%	25.28%
NOSGX Northern Small Cap Value Fund	23.08%	10.63%	2.60%	15.67%	-10.50%	26.17%	-2.29%	22.30%	-13.79%	6.47%

Correlation

The correlation between NOINX and NOSGX is 0.66, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.66
Correlation (3Y) Balances recent behavior with more history.	0.63
Correlation (5Y) Shows whether the relationship held over a longer period.	0.67
Correlation (10Y) Provides a long-term view across more market conditions.	0.65
Correlation (All Time) Calculated using the full available price history since Mar 23, 2005	0.69

The correlation between NOINX and NOSGX has been stable across timeframes, ranging from 0.63 to 0.69 - a consistent structural relationship.

Return for Risk

NOINX vs. NOSGX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

NOINX

NOINX Risk / Return Rank: 58
NOINX Sharpe Ratio Rank: 55
NOINX Sortino Ratio Rank: 54
NOINX Omega Ratio Rank: 53
NOINX Calmar Ratio Rank: 64
NOINX Martin Ratio Rank: 62

NOSGX

NOSGX Risk / Return Rank: 89
NOSGX Sharpe Ratio Rank: 88
NOSGX Sortino Ratio Rank: 89
NOSGX Omega Ratio Rank: 82
NOSGX Calmar Ratio Rank: 94
NOSGX Martin Ratio Rank: 94

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

NOINX vs. NOSGX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Northern International Equity Index Fund (NOINX) and Northern Small Cap Value Fund (NOSGX). 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.

	NOINX	NOSGX	Difference
Sharpe ratio: Return per unit of total volatility	1.60	2.21	-0.61
Sortino ratio: Return per unit of downside risk	2.27	3.30	-1.03
Omega ratio: Gain probability vs. loss probability	1.29	1.40	-0.11
Calmar ratio: Return relative to maximum drawdown	2.37	4.24	-1.86
Martin ratio: Return relative to average drawdown	8.79	15.34	-6.55

NOINX vs. NOSGX - Sharpe Ratio Comparison

The current NOINX Sharpe Ratio is 1.60, which is comparable to the NOSGX Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of NOINX and NOSGX, 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

NOINX vs. NOSGX - Drawdown Comparison

The maximum NOINX drawdown since its inception was -61.10%, which is greater than NOSGX's maximum drawdown of -56.92%. Use the drawdown chart below to compare losses from any high point for NOINX and NOSGX.

Drawdown Indicators

	NOINX	NOSGX	Difference
Max Drawdown Largest peak-to-trough decline	-61.10%	-56.92%	-4.18%
Max Drawdown (1Y) Largest decline over 1 year	-11.12%	-9.07%	-2.05%
Max Drawdown (3Y) Largest decline over 3 years	-13.73%	-28.13%	+14.40%
Max Drawdown (5Y) Largest decline over 5 years	-29.34%	-28.34%	-1.00%
Max Drawdown (10Y) Largest decline over 10 years	-33.69%	-45.66%	+11.97%
Current Drawdown Current decline from peak	-0.20%	-0.16%	-0.04%
Average Drawdown Average peak-to-trough decline	-12.49%	-9.01%	-3.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.99%	2.52%	+0.47%

Volatility

NOINX vs. NOSGX - Volatility Comparison

Northern International Equity Index Fund (NOINX) has a higher volatility of 4.50% compared to Northern Small Cap Value Fund (NOSGX) at 3.34%. This indicates that NOINX's price experiences larger fluctuations and is considered to be riskier than NOSGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NOINX	NOSGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.50%	3.34%	+1.16%
Volatility (6M) Calculated over the trailing 6-month period	14.41%	11.54%	+2.87%
Volatility (1Y) Calculated over the trailing 1-year period	16.52%	17.42%	-0.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.20%	23.65%	-7.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.26%	24.51%	-8.25%

NOINX vs. NOSGX - Expense Ratio Comparison

NOINX has a 0.10% expense ratio, which is lower than NOSGX's 1.00% expense ratio.

Dividends

NOINX vs. NOSGX - Dividend Comparison

NOINX's dividend yield for the trailing twelve months is around 3.17%, less than NOSGX's 35.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NOINX Northern International Equity Index Fund	3.17%	3.57%	3.70%	3.37%	2.71%	3.19%	2.04%	3.08%	3.47%	2.45%	3.21%	2.74%
NOSGX Northern Small Cap Value Fund	35.74%	43.99%	57.55%	6.99%	5.84%	16.35%	1.96%	7.08%	11.90%	9.76%	2.26%	4.50%

Frequently Asked Questions

Can I hold both NOINX and NOSGX in my portfolio?

NOINX and NOSGX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NOINX or NOSGX?

NOINX has higher volatility (4.50%) compared to NOSGX (3.34%). In terms of maximum drawdown, NOINX dropped -61.10% vs NOSGX's -56.92%.

Which has better risk-adjusted returns?

NOSGX currently has the higher Sharpe Ratio (2.21 vs 1.60), 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.