NOTEX vs. NOSGX

Last updated Jun 5, 2026

NOTEX (Northern Tax Exempt Fund) and NOSGX (Northern Small Cap Value Fund) are both mutual funds - NOTEX is a Municipal Bonds fund managed by Northern Funds, while NOSGX is a Small Cap Value Equities fund managed by Northern Funds. Over the past 10 years, NOTEX returned 1.58%/yr vs 8.37%/yr for NOSGX. At a correlation of -0.05, they often move in opposite directions. NOTEX charges 0.45%/yr vs 1.00%/yr for NOSGX.

Performance

NOTEX vs. NOSGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern Tax Exempt Fund (NOTEX) 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, NOTEX achieves a 1.51% return, which is significantly lower than NOSGX's 14.73% return. Over the past 10 years, NOTEX has underperformed NOSGX with an annualized return of 1.58%, while NOSGX has yielded a comparatively higher 8.37% annualized return.

NOTEX

• 1D: 0.00%
• 1M: 0.74%
• YTD: 1.51%
• 6M: 1.86%
• 1Y: 6.82%
• 3Y*: 3.45%
• 5Y*: -0.12%
• 10Y*: 1.58%

NOSGX

• 1D: -1.37%
• 1M: -0.00%
• YTD: 14.73%
• 6M: 14.12%
• 1Y: 34.58%
• 3Y*: 14.29%
• 5Y*: 6.34%
• 10Y*: 8.37%

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

NOTEX vs. NOSGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NOTEX Northern Tax Exempt Fund	1.51%	3.59%	2.21%	5.25%	-12.23%	0.84%	4.99%	7.88%	0.64%	5.13%
NOSGX Northern Small Cap Value Fund	14.73%	10.63%	2.60%	15.67%	-10.50%	26.17%	-2.29%	22.30%	-13.79%	6.47%

Correlation

The correlation between NOTEX and NOSGX is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.15
Correlation (5Y) Calculated over the trailing 5-year period	0.10
Correlation (10Y) Calculated over the trailing 10-year period	-0.02
Correlation (All Time) Calculated using the full available price history since Apr 4, 1994	-0.05

The correlation between NOTEX and NOSGX shifts across timeframes, from -0.05 (all time) to 0.21 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

NOTEX vs. NOSGX — Risk / Return Rank

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

NOTEX

NOTEX Risk / Return Rank: 71
NOTEX Sharpe Ratio Rank: 84
NOTEX Sortino Ratio Rank: 88
NOTEX Omega Ratio Rank: 91
NOTEX Calmar Ratio Rank: 52
NOTEX Martin Ratio Rank: 41

NOSGX

NOSGX Risk / Return Rank: 57
NOSGX Sharpe Ratio Rank: 44
NOSGX Sortino Ratio Rank: 48
NOSGX Omega Ratio Rank: 42
NOSGX Calmar Ratio Rank: 83
NOSGX Martin Ratio Rank: 69

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.

NOTEX vs. NOSGX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Northern Tax Exempt Fund (NOTEX) 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.

	NOTEX	NOSGX	Difference
Sharpe ratio: Return per unit of total volatility	2.69	1.94	+0.76
Sortino ratio: Return per unit of downside risk	4.26	2.89	+1.37
Omega ratio: Gain probability vs. loss probability	1.69	1.35	+0.34
Calmar ratio: Return relative to maximum drawdown	2.66	3.80	-1.14
Martin ratio: Return relative to average drawdown	8.59	13.13	-4.53
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NOTEX vs. NOSGX - Sharpe Ratio Comparison

The current NOTEX Sharpe Ratio is 2.69, which is higher than the NOSGX Sharpe Ratio of 1.94. The chart below compares the historical Sharpe Ratios of NOTEX 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.

Sharpe Ratios by Period

	NOTEX	NOSGX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.69	1.94	+0.76
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.03	0.27	-0.30
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	0.34	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	1.00	0.40	+0.60

Drawdowns

NOTEX vs. NOSGX - Drawdown Comparison

The maximum NOTEX drawdown since its inception was -17.48%, smaller than the maximum NOSGX drawdown of -56.92%. Use the drawdown chart below to compare losses from any high point for NOTEX and NOSGX.

Drawdown Indicators

	NOTEX	NOSGX	Difference
Max Drawdown Largest peak-to-trough decline	-17.48%	-56.92%	+39.44%
Max Drawdown (1Y) Largest decline over 1 year	-2.68%	-9.07%	+6.39%
Max Drawdown (3Y) Largest decline over 3 years	-6.00%	-28.13%	+22.13%
Max Drawdown (5Y) Largest decline over 5 years	-17.48%	-28.34%	+10.86%
Max Drawdown (10Y) Largest decline over 10 years	-17.48%	-45.66%	+28.18%
Current Drawdown Current decline from peak	-1.39%	-1.54%	+0.15%
Average Drawdown Average peak-to-trough decline	-2.39%	-9.05%	+6.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.83%	2.60%	-1.77%

Volatility

NOTEX vs. NOSGX - Volatility Comparison

The current volatility for Northern Tax Exempt Fund (NOTEX) is 1.19%, while Northern Small Cap Value Fund (NOSGX) has a volatility of 4.86%. This indicates that NOTEX experiences smaller price fluctuations and is considered to be less risky than NOSGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NOTEX	NOSGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.19%	4.86%	-3.67%
Volatility (6M) Calculated over the trailing 6-month period	2.12%	11.82%	-9.70%
Volatility (1Y) Calculated over the trailing 1-year period	2.66%	17.85%	-15.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.33%	23.85%	-19.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.29%	24.56%	-20.27%

NOTEX vs. NOSGX - Expense Ratio Comparison

NOTEX has a 0.45% expense ratio, which is lower than NOSGX's 1.00% expense ratio.

Dividends

NOTEX vs. NOSGX - Dividend Comparison

NOTEX's dividend yield for the trailing twelve months is around 3.38%, less than NOSGX's 38.34% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NOSGX Northern Small Cap Value Fund	38.34%	43.99%	57.55%	6.99%	5.84%	16.35%	1.96%	7.08%	11.90%	9.76%	2.26%	4.50%
NOTEX Northern Tax Exempt Fund	3.38%	3.25%	3.76%	2.88%	1.76%	1.93%	2.54%	3.40%	3.28%	3.37%	2.78%	3.24%

Frequently Asked Questions

Can I hold both NOTEX and NOSGX in my portfolio?

NOTEX and NOSGX have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NOTEX or NOSGX?

NOSGX has higher volatility (4.86%) compared to NOTEX (1.19%). In terms of maximum drawdown, NOTEX dropped -17.48% vs NOSGX's -56.92%.

Which has better risk-adjusted returns?

NOTEX currently has the higher Sharpe Ratio (2.69 vs 1.94), 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.