NUESX vs. DFIEX
Compare and contrast key facts about Northern U.S. Quality ESG Fund (NUESX) and DFA International Core Equity Portfolio I (DFIEX).
NUESX is managed by Northern Funds. It was launched on Oct 2, 2017. DFIEX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
NUESX vs. DFIEX - Performance Comparison
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NUESX vs. DFIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
NUESX Northern U.S. Quality ESG Fund | -5.00% | 15.33% | 20.67% | 25.22% | -18.85% | 31.26% | 20.20% | 31.40% | -4.71% |
DFIEX DFA International Core Equity Portfolio I | 4.28% | 36.18% | 3.99% | 17.50% | -13.51% | 13.85% | 7.73% | 21.70% | -16.26% |
Returns By Period
In the year-to-date period, NUESX achieves a -5.00% return, which is significantly lower than DFIEX's 4.28% return.
NUESX
- 1D
- 2.96%
- 1M
- -5.00%
- YTD
- -5.00%
- 6M
- -2.83%
- 1Y
- 15.06%
- 3Y*
- 15.86%
- 5Y*
- 10.00%
- 10Y*
- —
DFIEX
- 1D
- 1.44%
- 1M
- -2.09%
- YTD
- 4.28%
- 6M
- 9.56%
- 1Y
- 32.02%
- 3Y*
- 17.30%
- 5Y*
- 9.72%
- 10Y*
- 9.79%
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NUESX vs. DFIEX - Expense Ratio Comparison
NUESX has a 0.39% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Return for Risk
NUESX vs. DFIEX — Risk / Return Rank
NUESX
DFIEX
NUESX vs. DFIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Northern U.S. Quality ESG Fund (NUESX) and DFA International Core Equity Portfolio I (DFIEX). 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.
| NUESX | DFIEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.80 | 2.05 | -1.25 |
Sortino ratioReturn per unit of downside risk | 1.31 | 2.66 | -1.35 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.41 | -0.21 |
Calmar ratioReturn relative to maximum drawdown | 0.97 | 2.84 | -1.88 |
Martin ratioReturn relative to average drawdown | 4.33 | 11.17 | -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. | |||
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Sharpe Ratios by Period
| NUESX | DFIEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.80 | 2.05 | -1.25 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.58 | 0.62 | -0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.60 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.66 | 0.35 | +0.31 |
Correlation
The correlation between NUESX and DFIEX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
NUESX vs. DFIEX - Dividend Comparison
NUESX's dividend yield for the trailing twelve months is around 13.39%, more than DFIEX's 3.10% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NUESX Northern U.S. Quality ESG Fund | 13.39% | 12.68% | 1.50% | 1.54% | 3.71% | 5.97% | 1.60% | 1.62% | 2.44% | 0.00% | 0.00% | 0.00% |
DFIEX DFA International Core Equity Portfolio I | 3.10% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
Drawdowns
NUESX vs. DFIEX - Drawdown Comparison
The maximum NUESX drawdown since its inception was -33.33%, smaller than the maximum DFIEX drawdown of -62.22%. Use the drawdown chart below to compare losses from any high point for NUESX and DFIEX.
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Drawdown Indicators
| NUESX | DFIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.33% | -62.22% | +28.89% |
Max Drawdown (1Y)Largest decline over 1 year | -12.43% | -11.01% | -1.42% |
Max Drawdown (5Y)Largest decline over 5 years | -24.96% | -28.66% | +3.70% |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.04% | — |
Current DrawdownCurrent decline from peak | -6.72% | -6.42% | -0.30% |
Average DrawdownAverage peak-to-trough decline | -5.31% | -12.26% | +6.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 2.80% | +0.07% |
Volatility
NUESX vs. DFIEX - Volatility Comparison
The current volatility for Northern U.S. Quality ESG Fund (NUESX) is 5.42%, while DFA International Core Equity Portfolio I (DFIEX) has a volatility of 6.66%. This indicates that NUESX experiences smaller price fluctuations and is considered to be less risky than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NUESX | DFIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.42% | 6.66% | -1.24% |
Volatility (6M)Calculated over the trailing 6-month period | 9.90% | 10.52% | -0.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.89% | 15.92% | +3.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.45% | 15.66% | +1.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.78% | 16.35% | +3.43% |