NUESX vs. NOSGX

Last updated Jun 4, 2026

NUESX (Northern U.S. Quality ESG Fund) and NOSGX (Northern Small Cap Value Fund) are both mutual funds - NUESX is a Large Cap Blend Equities fund managed by Northern Funds, while NOSGX is a Small Cap Value Equities fund managed by Northern Funds. Over the past 5 years, NUESX returned 12.00%/yr vs 6.67%/yr for NOSGX. A 0.78 correlation means they provide meaningful diversification when combined. NUESX charges 0.39%/yr vs 1.00%/yr for NOSGX.

Performance

NUESX vs. NOSGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Northern U.S. Quality ESG Fund (NUESX) 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, NUESX achieves a 8.96% return, which is significantly lower than NOSGX's 16.32% return.

NUESX

• 1D: 0.30%
• 1M: 5.43%
• YTD: 8.96%
• 6M: 9.18%
• 1Y: 25.01%
• 3Y*: 19.74%
• 5Y*: 12.00%
• 10Y*: —

NOSGX

• 1D: 1.12%
• 1M: 2.72%
• YTD: 16.32%
• 6M: 15.39%
• 1Y: 35.68%
• 3Y*: 14.82%
• 5Y*: 6.67%
• 10Y*: 8.52%

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

NUESX vs. NOSGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
NUESX Northern U.S. Quality ESG Fund	8.96%	15.33%	20.67%	25.22%	-18.85%	31.26%	20.20%	31.40%	-4.71%
NOSGX Northern Small Cap Value Fund	16.32%	10.63%	2.60%	15.67%	-10.50%	26.17%	-2.29%	22.30%	-11.13%

Correlation

The correlation between NUESX and NOSGX is 0.72, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.74
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (All Time) Calculated using the full available price history since Mar 27, 2018	0.78

The correlation between NUESX and NOSGX has been stable across timeframes, ranging from 0.72 to 0.78 - a consistent structural relationship.

Return for Risk

NUESX vs. NOSGX — Risk / Return Rank

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

NUESX

NUESX Risk / Return Rank: 53
NUESX Sharpe Ratio Rank: 52
NUESX Sortino Ratio Rank: 50
NUESX Omega Ratio Rank: 49
NUESX Calmar Ratio Rank: 53
NUESX Martin Ratio Rank: 63

NOSGX

NOSGX Risk / Return Rank: 65
NOSGX Sharpe Ratio Rank: 53
NOSGX Sortino Ratio Rank: 57
NOSGX Omega Ratio Rank: 49
NOSGX Calmar Ratio Rank: 87
NOSGX Martin Ratio Rank: 78

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.

NUESX vs. NOSGX - Risk-Adjusted Trends Comparison

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

	NUESX	NOSGX	Difference
Sharpe ratio Return per unit of total volatility	2.12	2.15	-0.03
Sortino ratio Return per unit of downside risk	2.98	3.18	-0.20
Omega ratio Gain probability vs. loss probability	1.38	1.39	0.00
Calmar ratio Return relative to maximum drawdown	2.80	4.22	-1.42
Martin ratio Return relative to average drawdown	12.48	14.59	-2.11
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NUESX vs. NOSGX - Sharpe Ratio Comparison

The current NUESX Sharpe Ratio is 2.12, which is comparable to the NOSGX Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of NUESX 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

	NUESX	NOSGX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.12	2.15	-0.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	0.28	+0.41
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.35	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.75	0.40	+0.34

Drawdowns

NUESX vs. NOSGX - Drawdown Comparison

The maximum NUESX drawdown since its inception was -33.33%, smaller than the maximum NOSGX drawdown of -56.92%. Use the drawdown chart below to compare losses from any high point for NUESX and NOSGX.

Drawdown Indicators

	NUESX	NOSGX	Difference
Max Drawdown Largest peak-to-trough decline	-33.33%	-56.92%	+23.59%
Max Drawdown (1Y) Largest decline over 1 year	-9.41%	-9.07%	-0.34%
Max Drawdown (3Y) Largest decline over 3 years	-19.41%	-28.13%	+8.72%
Max Drawdown (5Y) Largest decline over 5 years	-24.96%	-28.34%	+3.38%
Max Drawdown (10Y) Largest decline over 10 years	—	-45.66%	—
Current Drawdown Current decline from peak	0.00%	-0.17%	+0.17%
Average Drawdown Average peak-to-trough decline	-5.22%	-9.05%	+3.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	2.60%	-0.51%

Volatility

NUESX vs. NOSGX - Volatility Comparison

The current volatility for Northern U.S. Quality ESG Fund (NUESX) is 2.70%, while Northern Small Cap Value Fund (NOSGX) has a volatility of 4.74%. This indicates that NUESX 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

	NUESX	NOSGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.70%	4.74%	-2.04%
Volatility (6M) Calculated over the trailing 6-month period	9.32%	11.73%	-2.41%
Volatility (1Y) Calculated over the trailing 1-year period	12.43%	17.79%	-5.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.43%	23.84%	-6.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.64%	24.56%	-4.92%

NUESX vs. NOSGX - Expense Ratio Comparison

NUESX has a 0.39% expense ratio, which is lower than NOSGX's 1.00% expense ratio.

Dividends

NUESX vs. NOSGX - Dividend Comparison

NUESX's dividend yield for the trailing twelve months is around 11.68%, less than NOSGX's 37.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NOSGX Northern Small Cap Value Fund	37.82%	43.99%	57.55%	6.99%	5.84%	16.35%	1.96%	7.08%	11.90%	9.76%	2.26%	4.50%
NUESX Northern U.S. Quality ESG Fund	11.68%	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

Can I hold both NUESX and NOSGX in my portfolio?

NUESX and NOSGX have a correlation of 0.72, 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 NOSGX?

NOSGX has higher volatility (4.74%) compared to NUESX (2.70%). In terms of maximum drawdown, NUESX dropped -33.33% vs NOSGX's -56.92%.

Which has better risk-adjusted returns?

NOSGX currently has the higher Sharpe Ratio (2.15 vs 2.12), 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.