NUESX vs. VYM
NUESX (Northern U.S. Quality ESG Fund) and VYM (Vanguard High Dividend Yield ETF) are both funds - NUESX is a Quality Factor fund managed by Northern Trust, while VYM is a Dividend fund tracking the FTSE High Dividend Yield Index. Over the past 5 years, NUESX returned 10.67%/yr vs 12.20%/yr for VYM. Their correlation of 0.81 means they have usually moved in the same direction. 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 8.00% return, which is significantly lower than VYM's 14.21% 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%
VYM
- 1D
- 0.00%
- 1M
- 1.56%
- 6M
- 9.31%
- YTD
- 14.21%
- 1Y
- 24.90%
- 3Y*
- 16.96%
- 5Y*
- 12.20%
- 10Y*
- 11.71%
- ALL TIME*
- 9.38%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $195.34M | $198.02M | $200.78M |
NUESX vs. VYM - 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% |
VYM Vanguard High Dividend Yield ETF | 14.21% | 15.42% | 17.60% | 6.57% | -0.43% | 26.20% | 1.15% | 24.06% | -0.47% |
Correlation
The correlation between NUESX and VYM is 0.59, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.59 |
Correlation (3Y) Balances recent behavior with more history. | 0.70 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (All Time) Calculated using the full available price history since Mar 26, 2018 | 0.81 |
Over the past year, the correlation between NUESX and VYM has dropped to 0.59 - well below their long-term average of 0.81, suggesting their price drivers have been diverging.
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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.
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 | VYM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.08 | ||
| Sortino ratioReturn per unit of downside risk | -1.53 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.43 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 1.71 | 3.56 | -1.86 |
| Martin ratioReturn relative to average drawdown | 7.34 | 13.40 | -6.06 |
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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 | -9.63% | -6.69% | -2.94% |
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 | -1.19% | -1.15% | -0.04% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -7.14% | +1.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.23% | 1.78% | +0.45% |
Volatility
NUESX vs. VYM - Volatility Comparison
Northern U.S. Quality ESG Fund (NUESX) has a higher volatility of 3.31% compared to Vanguard High Dividend Yield ETF (VYM) at 2.46%. This indicates that NUESX's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. 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 | 3.31% | 2.46% | +0.85% |
Volatility (6M)Calculated over the trailing 6-month period | 10.00% | 7.42% | +2.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.09% | 10.29% | +2.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.51% | 13.87% | +3.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.54% | 16.29% | +3.25% |
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 11.54%, more than VYM's 2.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VYM Vanguard High Dividend Yield ETF | 2.24% | 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 0.59, 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 VYM (2.46%). In terms of maximum drawdown, NUESX dropped -33.33% vs VYM's -56.98%.
VYM currently has the higher Sharpe Ratio (2.34 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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