GQETX vs. NUESX
GQETX (GMO Quality Fund) and NUESX (Northern U.S. Quality ESG Fund) are both Quality Factor funds. Over the past 5 years, GQETX returned 12.74%/yr vs 10.81%/yr for NUESX. Their correlation of 0.92 means they have usually moved in the same direction. GQETX charges 0.49%/yr vs 0.39%/yr for NUESX.
Performance
GQETX vs. NUESX - Performance Comparison
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Returns By Period
In the year-to-date period, GQETX achieves a 7.37% return, which is significantly lower than NUESX's 8.70% return.
GQETX
- 1D
- 0.80%
- 1M
- 0.69%
- 6M
- 4.85%
- YTD
- 7.37%
- 1Y
- 22.56%
- 3Y*
- 16.24%
- 5Y*
- 12.74%
- 10Y*
- 15.89%
- ALL TIME*
- 11.71%
NUESX
- 1D
- 0.64%
- 1M
- 0.82%
- 6M
- 6.96%
- YTD
- 8.70%
- 1Y
- 17.80%
- 3Y*
- 16.75%
- 5Y*
- 10.81%
- 10Y*
- —
- ALL TIME*
- 14.23%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
GQETX GMO Quality Fund | $0.00 | $0.00 | $0.00 |
| $0.00 | $0.00 | $0.00 |
GQETX vs. NUESX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 7.37% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 31.77% | 3.59% |
NUESX Northern U.S. Quality ESG Fund | 8.70% | 15.33% | 20.67% | 25.22% | -18.85% | 31.26% | 20.20% | 31.40% | -4.71% |
Correlation
The correlation between GQETX and NUESX is 0.80, 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. | 0.80 |
Correlation (3Y) Balances recent behavior with more history. | 0.86 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.90 |
Correlation (All Time) Calculated using the full available price history since Mar 26, 2018 | 0.92 |
The correlation between GQETX and NUESX shifts across timeframes, from 0.80 (1 year) to 0.92 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
GQETX vs. NUESX — Risk / Return Rank
GQETX
NUESX
GQETX vs. NUESX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GMO Quality Fund (GQETX) and Northern U.S. Quality ESG Fund (NUESX). 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.
| GQETX | NUESX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | +0.40 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.24 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.66 | 1.82 | -0.16 |
| Martin ratioReturn relative to average drawdown | 6.56 | 7.85 | -1.30 |
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Drawdowns
GQETX vs. NUESX - Drawdown Comparison
The maximum GQETX drawdown since its inception was -39.99%, which is greater than NUESX's maximum drawdown of -33.33%. Use the drawdown chart below to compare losses from any high point for GQETX and NUESX.
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Drawdown Indicators
| GQETX | NUESX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.99% | -33.33% | -6.66% |
Max Drawdown (1Y)Largest decline over 1 year | -12.76% | -9.63% | -3.13% |
Max Drawdown (3Y)Largest decline over 3 years | -15.54% | -19.41% | +3.87% |
Max Drawdown (5Y)Largest decline over 5 years | -24.22% | -24.96% | +0.74% |
Max Drawdown (10Y)Largest decline over 10 years | -30.44% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.55% | +0.55% |
Average DrawdownAverage peak-to-trough decline | -4.97% | -5.15% | +0.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.23% | 2.23% | +1.00% |
Volatility
GQETX vs. NUESX - Volatility Comparison
The current volatility for GMO Quality Fund (GQETX) is 3.19%, while Northern U.S. Quality ESG Fund (NUESX) has a volatility of 3.37%. This indicates that GQETX experiences smaller price fluctuations and is considered to be less risky than NUESX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GQETX | NUESX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.19% | 3.37% | -0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 10.18% | 10.02% | +0.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.83% | 13.10% | -0.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.93% | 17.50% | -1.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.06% | 19.54% | -2.48% |
GQETX vs. NUESX - Expense Ratio Comparison
GQETX has a 0.49% expense ratio, which is higher than NUESX's 0.39% expense ratio.
Dividends
GQETX vs. NUESX - Dividend Comparison
GQETX's dividend yield for the trailing twelve months is around 11.15%, less than NUESX's 11.47% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 11.15% | 11.16% | 3.91% | 3.43% | 11.85% | 10.19% | 13.61% | 8.08% | 21.66% | 8.10% | 3.56% | 17.25% |
NUESX Northern U.S. Quality ESG Fund | 11.47% | 12.68% | 1.50% | 1.54% | 3.71% | 5.97% | 1.60% | 1.62% | 2.44% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
GQETX and NUESX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NUESX has higher volatility (3.37%) compared to GQETX (3.19%). In terms of maximum drawdown, GQETX dropped -39.99% vs NUESX's -33.33%.
GQETX currently has the higher Sharpe Ratio (1.66 vs 1.34), 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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