NUESX vs. GQEFX

Last updated Aug 1, 2026

NUESX (Northern U.S. Quality ESG Fund) and GQEFX (GMO Quality Fund Class IV) are both Quality Factor funds. Over the past 5 years, NUESX returned 10.67%/yr vs 12.55%/yr for GQEFX. Their correlation of 0.92 means they have usually moved in the same direction. NUESX charges 0.39%/yr vs 0.47%/yr for GQEFX.

Performance

NUESX vs. GQEFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern U.S. Quality ESG Fund (NUESX) and GMO Quality Fund Class IV (GQEFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NUESX achieves a 8.00% return, which is significantly higher than GQEFX's 6.55% return.

NUESX

• 1D: 1.44%
• 1M: 0.17%
• 6M: 7.01%
• YTD: 8.00%
• 1Y: 17.04%
• 3Y*: 16.34%
• 5Y*: 10.67%
• 10Y*: —
• ALL TIME*: 14.15%

GQEFX

• 1D: 0.86%
• 1M: -0.11%
• 6M: 4.99%
• YTD: 6.55%
• 1Y: 21.67%
• 3Y*: 15.73%
• 5Y*: 12.55%
• 10Y*: —
• ALL TIME*: 15.53%

*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)
GQEFX GMO Quality Fund Class IV	$0.00	$0.00	$0.00
NUESX Northern U.S. Quality ESG Fund	$0.00	$0.00	$0.00

NUESX vs. GQEFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
NUESX Northern U.S. Quality ESG Fund	8.00%	15.33%	20.67%	25.22%	-18.85%	31.26%	20.20%	31.40%	-4.71%
GQEFX GMO Quality Fund Class IV	6.55%	19.64%	17.54%	28.95%	-15.30%	31.76%	18.39%	31.87%	3.59%

Correlation

The correlation between NUESX and GQEFX 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 NUESX and GQEFX shifts across timeframes, from 0.80 (1 year) to 0.92 (all time), reflecting how their relationship changes across market environments.

Return for Risk

NUESX vs. GQEFX — Risk / Return Rank

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

NUESX

NUESX Risk / Return Rank: 43
NUESX Sharpe Ratio Rank: 41
NUESX Sortino Ratio Rank: 41
NUESX Omega Ratio Rank: 40
NUESX Calmar Ratio Rank: 40
NUESX Martin Ratio Rank: 53

GQEFX

GQEFX Risk / Return Rank: 47
GQEFX Sharpe Ratio Rank: 58
GQEFX Sortino Ratio Rank: 56
GQEFX Omega Ratio Rank: 50
GQEFX Calmar Ratio Rank: 33
GQEFX Martin Ratio Rank: 39

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.

NUESX vs. GQEFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Northern U.S. Quality ESG Fund (NUESX) and GMO Quality Fund Class IV (GQEFX). 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.

	NUESX	GQEFX	Difference
Sharpe ratio: Return per unit of total volatility	1.26	1.50	-0.25
Sortino ratio: Return per unit of downside risk	1.81	2.13	-0.31
Omega ratio: Gain probability vs. loss probability	1.23	1.26	-0.03
Calmar ratio: Return relative to maximum drawdown	1.71	1.51	+0.20
Martin ratio: Return relative to average drawdown	7.34	5.97	+1.38

NUESX vs. GQEFX - Sharpe Ratio Comparison

The current NUESX Sharpe Ratio is 1.26, which is comparable to the GQEFX Sharpe Ratio of 1.50. The chart below compares the historical Sharpe Ratios of NUESX and GQEFX, 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

NUESX vs. GQEFX - Drawdown Comparison

The maximum NUESX drawdown since its inception was -33.33%, which is greater than GQEFX's maximum drawdown of -30.42%. Use the drawdown chart below to compare losses from any high point for NUESX and GQEFX.

Drawdown Indicators

	NUESX	GQEFX	Difference
Max Drawdown Largest peak-to-trough decline	-33.33%	-30.42%	-2.91%
Max Drawdown (1Y) Largest decline over 1 year	-9.63%	-12.74%	+3.11%
Max Drawdown (3Y) Largest decline over 3 years	-19.41%	-15.55%	-3.86%
Max Drawdown (5Y) Largest decline over 5 years	-24.96%	-24.22%	-0.74%
Current Drawdown Current decline from peak	-1.19%	-0.36%	-0.83%
Average Drawdown Average peak-to-trough decline	-5.15%	-4.11%	-1.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.23%	3.22%	-0.99%

Volatility

NUESX vs. GQEFX - Volatility Comparison

Northern U.S. Quality ESG Fund (NUESX) has a higher volatility of 3.31% compared to GMO Quality Fund Class IV (GQEFX) at 3.14%. This indicates that NUESX's price experiences larger fluctuations and is considered to be riskier than GQEFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NUESX	GQEFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.31%	3.14%	+0.17%
Volatility (6M) Calculated over the trailing 6-month period	10.00%	10.16%	-0.16%
Volatility (1Y) Calculated over the trailing 1-year period	13.09%	12.80%	+0.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.51%	15.94%	+1.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.54%	17.69%	+1.85%

NUESX vs. GQEFX - Expense Ratio Comparison

NUESX has a 0.39% expense ratio, which is lower than GQEFX's 0.47% expense ratio.

Dividends

NUESX vs. GQEFX - Dividend Comparison

NUESX's dividend yield for the trailing twelve months is around 11.54%, more than GQEFX's 11.25% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
GQEFX GMO Quality Fund Class IV	11.25%	11.15%	3.70%	3.43%	11.84%	10.23%	13.62%	8.09%	21.69%	7.08%
NUESX Northern U.S. Quality ESG Fund	11.54%	12.68%	1.50%	1.54%	3.71%	5.97%	1.60%	1.62%	2.44%	0.00%

Frequently Asked Questions

Can I hold both NUESX and GQEFX in my portfolio?

NUESX and GQEFX 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.

Which is riskier, NUESX or GQEFX?

NUESX has higher volatility (3.31%) compared to GQEFX (3.14%). In terms of maximum drawdown, NUESX dropped -33.33% vs GQEFX's -30.42%.

Which has better risk-adjusted returns?

GQEFX currently has the higher Sharpe Ratio (1.50 vs 1.26), 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.