NUESX vs. VYM
NUESX (Northern U.S. Quality ESG Fund) and VYM (Vanguard High Dividend Yield ETF) are both funds - NUESX is a Large Cap Blend Equities fund managed by Northern Funds, while VYM is a Dividend fund tracking the FTSE High Dividend Yield Index. Over the past 5 years, NUESX returned 12.00%/yr vs 11.48%/yr for VYM. Their correlation of 0.81 suggests significant overlap in exposure. NUESX charges 0.39%/yr vs 0.04%/yr for VYM.
Performance
NUESX vs. VYM - Performance Comparison
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Returns By Period
In the year-to-date period, NUESX achieves a 8.96% return, which is significantly lower than VYM's 12.47% return.
NUESX
- 1D
- 0.30%
- 1M
- 5.43%
- YTD
- 8.96%
- 6M
- 9.18%
- 1Y
- 25.01%
- 3Y*
- 19.74%
- 5Y*
- 12.00%
- 10Y*
- —
VYM
- 1D
- -0.43%
- 1M
- 3.38%
- YTD
- 12.47%
- 6M
- 12.01%
- 1Y
- 26.16%
- 3Y*
- 18.88%
- 5Y*
- 11.48%
- 10Y*
- 11.90%
NUESX vs. VYM - 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% |
VYM Vanguard High Dividend Yield ETF | 12.47% | 15.42% | 17.60% | 6.57% | -0.43% | 26.20% | 1.15% | 24.06% | -2.93% |
Correlation
The correlation between NUESX and VYM is 0.61, 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 | 0.61 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.70 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.77 |
Correlation (All Time) Calculated using the full available price history since Mar 27, 2018 | 0.81 |
The correlation between NUESX and VYM shifts across timeframes, from 0.61 (1 year) to 0.81 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
NUESX vs. VYM — Risk / Return Rank
NUESX
VYM
NUESX vs. VYM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Northern U.S. Quality ESG Fund (NUESX) and Vanguard High Dividend Yield ETF (VYM). 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 | VYM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.44 | ||
| Sortino ratioReturn per unit of downside risk | -0.67 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.46 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.80 | 3.93 | -1.12 |
| Martin ratioReturn relative to average drawdown | 12.48 | 14.76 | -2.27 |
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 | VYM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.12 | 2.56 | -0.44 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.69 | 0.83 | -0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.73 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.75 | 0.51 | +0.24 |
Drawdowns
NUESX vs. VYM - Drawdown Comparison
The maximum NUESX drawdown since its inception was -33.33%, smaller than the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for NUESX and VYM.
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Drawdown Indicators
| NUESX | VYM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.33% | -56.98% | +23.65% |
Max Drawdown (1Y)Largest decline over 1 year | -9.41% | -6.69% | -2.72% |
Max Drawdown (3Y)Largest decline over 3 years | -19.41% | -14.46% | -4.95% |
Max Drawdown (5Y)Largest decline over 5 years | -24.96% | -15.84% | -9.12% |
Max Drawdown (10Y)Largest decline over 10 years | — | -35.21% | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.43% | +0.43% |
Average DrawdownAverage peak-to-trough decline | -5.22% | -7.19% | +1.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.09% | 1.78% | +0.31% |
Volatility
NUESX vs. VYM - Volatility Comparison
Northern U.S. Quality ESG Fund (NUESX) and Vanguard High Dividend Yield ETF (VYM) have volatilities of 2.70% and 2.77%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NUESX | VYM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.70% | 2.77% | -0.07% |
Volatility (6M)Calculated over the trailing 6-month period | 9.32% | 7.67% | +1.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.43% | 10.28% | +2.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.43% | 13.96% | +3.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.64% | 16.34% | +3.30% |
NUESX vs. VYM - Expense Ratio Comparison
NUESX has a 0.39% expense ratio, which is higher than VYM's 0.04% expense ratio.
Dividends
NUESX vs. VYM - Dividend Comparison
NUESX's dividend yield for the trailing twelve months is around 11.68%, more than VYM's 2.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VYM Vanguard High Dividend Yield ETF | 2.19% | 2.44% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% |
Frequently Asked Questions
NUESX and VYM have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VYM has higher volatility (2.77%) compared to NUESX (2.70%). In terms of maximum drawdown, NUESX dropped -33.33% vs VYM's -56.98%.
VYM currently has the higher Sharpe Ratio (2.56 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.
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