NUESX vs. GQETX
NUESX (Northern U.S. Quality ESG Fund) and GQETX (GMO Quality Fund) are both Quality Factor funds. Over the past 5 years, NUESX returned 10.67%/yr vs 12.56%/yr for GQETX. Their correlation of 0.92 means they have usually moved in the same direction. NUESX charges 0.39%/yr vs 0.49%/yr for GQETX.
Performance
NUESX vs. GQETX - Performance Comparison
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Returns By Period
In the year-to-date period, NUESX achieves a 8.00% return, which is significantly higher than GQETX's 6.51% 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%
GQETX
- 1D
- 0.86%
- 1M
- -0.11%
- 6M
- 4.98%
- YTD
- 6.51%
- 1Y
- 21.59%
- 3Y*
- 15.78%
- 5Y*
- 12.56%
- 10Y*
- 15.76%
- ALL TIME*
- 11.67%
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 |
NUESX vs. GQETX - 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% |
GQETX GMO Quality Fund | 6.51% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 31.77% | 3.59% |
Correlation
The correlation between NUESX and GQETX 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 GQETX 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
NUESX vs. GQETX — Risk / Return Rank
NUESX
GQETX
NUESX vs. GQETX - 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 (GQETX). 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 | GQETX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.24 | ||
| Sortino ratioReturn per unit of downside risk | -0.30 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.26 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.71 | 1.50 | +0.20 |
| Martin ratioReturn relative to average drawdown | 7.34 | 5.93 | +1.42 |
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Drawdowns
NUESX vs. GQETX - Drawdown Comparison
The maximum NUESX drawdown since its inception was -33.33%, smaller than the maximum GQETX drawdown of -39.99%. Use the drawdown chart below to compare losses from any high point for NUESX and GQETX.
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Drawdown Indicators
| NUESX | GQETX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.33% | -39.99% | +6.66% |
Max Drawdown (1Y)Largest decline over 1 year | -9.63% | -12.76% | +3.13% |
Max Drawdown (3Y)Largest decline over 3 years | -19.41% | -15.54% | -3.87% |
Max Drawdown (5Y)Largest decline over 5 years | -24.96% | -24.22% | -0.74% |
Max Drawdown (10Y)Largest decline over 10 years | — | -30.44% | — |
Current DrawdownCurrent decline from peak | -1.19% | -0.36% | -0.83% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -4.97% | -0.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.23% | 3.23% | -1.00% |
Volatility
NUESX vs. GQETX - Volatility Comparison
Northern U.S. Quality ESG Fund (NUESX) has a higher volatility of 3.31% compared to GMO Quality Fund (GQETX) at 3.13%. This indicates that NUESX's price experiences larger fluctuations and is considered to be riskier than GQETX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NUESX | GQETX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.31% | 3.13% | +0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 10.00% | 10.17% | -0.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.09% | 12.81% | +0.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.51% | 15.93% | +1.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.54% | 17.06% | +2.48% |
NUESX vs. GQETX - Expense Ratio Comparison
NUESX has a 0.39% expense ratio, which is lower than GQETX's 0.49% expense ratio.
Dividends
NUESX vs. GQETX - Dividend Comparison
NUESX's dividend yield for the trailing twelve months is around 11.54%, more than GQETX's 11.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 11.24% | 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 | 11.54% | 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
NUESX and GQETX 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 (3.31%) compared to GQETX (3.13%). In terms of maximum drawdown, NUESX dropped -33.33% vs GQETX's -39.99%.
GQETX 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.
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