NSRIX vs. GMGEX

Last updated Jun 5, 2026

NSRIX (Northern Global Sustainability Index Fund) and GMGEX (GMO Global Equity Allocation Fund) are both Global Equities funds. Over the past 10 years, NSRIX returned 12.88%/yr vs 11.28%/yr for GMGEX. Their correlation of 0.92 suggests significant overlap in exposure. NSRIX charges 0.29%/yr vs 0.01%/yr for GMGEX.

Performance

NSRIX vs. GMGEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern Global Sustainability Index Fund (NSRIX) 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, NSRIX achieves a 8.86% return, which is significantly lower than GMGEX's 19.27% return. Over the past 10 years, NSRIX has outperformed GMGEX with an annualized return of 12.88%, while GMGEX has yielded a comparatively lower 11.28% annualized return.

NSRIX

• 1D: -0.91%
• 1M: 3.52%
• YTD: 8.86%
• 6M: 9.74%
• 1Y: 25.29%
• 3Y*: 19.88%
• 5Y*: 11.46%
• 10Y*: 12.88%

GMGEX

• 1D: -0.48%
• 1M: 4.86%
• YTD: 19.27%
• 6M: 21.08%
• 1Y: 41.55%
• 3Y*: 21.78%
• 5Y*: 9.85%
• 10Y*: 11.28%

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

NSRIX vs. GMGEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NSRIX Northern Global Sustainability Index Fund	8.86%	21.03%	17.02%	25.44%	-19.45%	24.60%	15.49%	28.29%	-7.65%	21.21%
GMGEX GMO Global Equity Allocation Fund	19.27%	29.14%	4.12%	22.27%	-17.07%	14.99%	9.55%	25.45%	-13.04%	26.39%

Correlation

The correlation between NSRIX 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	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since Mar 7, 2008	0.92

The correlation between NSRIX and GMGEX shifts across timeframes, from 0.74 (1 year) to 0.92 (all time), reflecting how their relationship changes across market environments.

Return for Risk

NSRIX vs. GMGEX — Risk / Return Rank

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

NSRIX

NSRIX Risk / Return Rank: 49
NSRIX Sharpe Ratio Rank: 48
NSRIX Sortino Ratio Rank: 48
NSRIX Omega Ratio Rank: 46
NSRIX Calmar Ratio Rank: 45
NSRIX Martin Ratio Rank: 56

GMGEX

GMGEX Risk / Return Rank: 90
GMGEX Sharpe Ratio Rank: 94
GMGEX Sortino Ratio Rank: 91
GMGEX Omega Ratio Rank: 86
GMGEX Calmar Ratio Rank: 90
GMGEX Martin Ratio Rank: 90

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.

NSRIX vs. GMGEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Northern Global Sustainability Index Fund (NSRIX) 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.

	NSRIX	GMGEX	Difference
Sharpe ratio: Return per unit of total volatility	2.04	3.31	-1.27
Sortino ratio: Return per unit of downside risk	2.93	4.53	-1.60
Omega ratio: Gain probability vs. loss probability	1.37	1.60	-0.23
Calmar ratio: Return relative to maximum drawdown	2.53	4.54	-2.01
Martin ratio: Return relative to average drawdown	11.18	18.01	-6.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NSRIX vs. GMGEX - Sharpe Ratio Comparison

The current NSRIX Sharpe Ratio is 2.04, which is lower than the GMGEX Sharpe Ratio of 3.31. The chart below compares the historical Sharpe Ratios of NSRIX 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.

Sharpe Ratios by Period

	NSRIX	GMGEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.04	3.31	-1.27
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.70	0.67	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.76	0.70	+0.05
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	0.25	+0.21

Drawdowns

NSRIX vs. GMGEX - Drawdown Comparison

The maximum NSRIX drawdown since its inception was -55.30%, smaller than the maximum GMGEX drawdown of -58.47%. Use the drawdown chart below to compare losses from any high point for NSRIX and GMGEX.

Drawdown Indicators

	NSRIX	GMGEX	Difference
Max Drawdown Largest peak-to-trough decline	-55.30%	-58.47%	+3.17%
Max Drawdown (1Y) Largest decline over 1 year	-10.36%	-9.24%	-1.12%
Max Drawdown (3Y) Largest decline over 3 years	-17.58%	-17.12%	-0.46%
Max Drawdown (5Y) Largest decline over 5 years	-27.86%	-28.58%	+0.72%
Max Drawdown (10Y) Largest decline over 10 years	-33.66%	-34.98%	+1.32%
Current Drawdown Current decline from peak	-1.12%	-0.48%	-0.64%
Average Drawdown Average peak-to-trough decline	-8.45%	-16.75%	+8.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	2.32%	0.00%

Volatility

NSRIX vs. GMGEX - Volatility Comparison

The current volatility for Northern Global Sustainability Index Fund (NSRIX) is 3.73%, while GMO Global Equity Allocation Fund (GMGEX) has a volatility of 4.01%. This indicates that NSRIX 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

	NSRIX	GMGEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.73%	4.01%	-0.28%
Volatility (6M) Calculated over the trailing 6-month period	9.97%	9.91%	+0.06%
Volatility (1Y) Calculated over the trailing 1-year period	12.85%	12.66%	+0.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.46%	14.81%	+1.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.13%	16.06%	+1.07%

NSRIX vs. GMGEX - Expense Ratio Comparison

NSRIX has a 0.29% expense ratio, which is higher than GMGEX's 0.01% expense ratio.

Dividends

NSRIX vs. GMGEX - Dividend Comparison

NSRIX's dividend yield for the trailing twelve months is around 5.20%, more than GMGEX's 3.93% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GMGEX GMO Global Equity Allocation Fund	3.93%	4.69%	0.29%	5.62%	7.81%	7.76%	3.83%	3.14%	3.14%	2.90%	3.71%	4.20%
NSRIX Northern Global Sustainability Index Fund	5.20%	5.66%	5.55%	1.57%	1.90%	5.26%	1.62%	2.70%	3.46%	3.14%	3.46%	3.79%

Frequently Asked Questions

Can I hold both NSRIX and GMGEX in my portfolio?

NSRIX 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, NSRIX or GMGEX?

GMGEX has higher volatility (4.01%) compared to NSRIX (3.73%). In terms of maximum drawdown, NSRIX dropped -55.30% vs GMGEX's -58.47%.

Which has better risk-adjusted returns?

GMGEX currently has the higher Sharpe Ratio (3.31 vs 2.04), 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.