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NTSI vs. AVDE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NTSIAVDE
YTD Return4.22%8.17%
1Y Return17.64%20.43%
3Y Return (Ann)-1.62%2.40%
Sharpe Ratio1.301.57
Sortino Ratio1.902.21
Omega Ratio1.231.27
Calmar Ratio0.851.84
Martin Ratio6.279.18
Ulcer Index2.69%2.24%
Daily Std Dev12.96%13.06%
Max Drawdown-34.01%-36.99%
Current Drawdown-7.97%-5.19%

Correlation

-0.50.00.51.00.9

The correlation between NTSI and AVDE is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

NTSI vs. AVDE - Performance Comparison

In the year-to-date period, NTSI achieves a 4.22% return, which is significantly lower than AVDE's 8.17% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.29%
1.80%
NTSI
AVDE

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NTSI vs. AVDE - Expense Ratio Comparison

NTSI has a 0.26% expense ratio, which is higher than AVDE's 0.23% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


NTSI
WisdomTree International Efficient Core Fund
Expense ratio chart for NTSI: current value at 0.26% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.26%
Expense ratio chart for AVDE: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%

Risk-Adjusted Performance

NTSI vs. AVDE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Efficient Core Fund (NTSI) and Avantis International Equity ETF (AVDE). 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.


NTSI
Sharpe ratio
The chart of Sharpe ratio for NTSI, currently valued at 1.30, compared to the broader market-2.000.002.004.006.001.30
Sortino ratio
The chart of Sortino ratio for NTSI, currently valued at 1.90, compared to the broader market0.005.0010.001.90
Omega ratio
The chart of Omega ratio for NTSI, currently valued at 1.23, compared to the broader market1.001.502.002.503.001.23
Calmar ratio
The chart of Calmar ratio for NTSI, currently valued at 0.85, compared to the broader market0.005.0010.0015.000.85
Martin ratio
The chart of Martin ratio for NTSI, currently valued at 6.27, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.27
AVDE
Sharpe ratio
The chart of Sharpe ratio for AVDE, currently valued at 1.57, compared to the broader market-2.000.002.004.006.001.57
Sortino ratio
The chart of Sortino ratio for AVDE, currently valued at 2.21, compared to the broader market0.005.0010.002.21
Omega ratio
The chart of Omega ratio for AVDE, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for AVDE, currently valued at 1.84, compared to the broader market0.005.0010.0015.001.84
Martin ratio
The chart of Martin ratio for AVDE, currently valued at 9.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.18

NTSI vs. AVDE - Sharpe Ratio Comparison

The current NTSI Sharpe Ratio is 1.30, which is comparable to the AVDE Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of NTSI and AVDE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.30
1.57
NTSI
AVDE

Dividends

NTSI vs. AVDE - Dividend Comparison

NTSI's dividend yield for the trailing twelve months is around 2.59%, less than AVDE's 3.03% yield.


TTM20232022202120202019
NTSI
WisdomTree International Efficient Core Fund
2.59%2.35%2.66%0.97%0.00%0.00%
AVDE
Avantis International Equity ETF
3.03%3.01%2.79%2.46%1.63%0.29%

Drawdowns

NTSI vs. AVDE - Drawdown Comparison

The maximum NTSI drawdown since its inception was -34.01%, smaller than the maximum AVDE drawdown of -36.99%. Use the drawdown chart below to compare losses from any high point for NTSI and AVDE. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.97%
-5.19%
NTSI
AVDE

Volatility

NTSI vs. AVDE - Volatility Comparison

WisdomTree International Efficient Core Fund (NTSI) has a higher volatility of 4.04% compared to Avantis International Equity ETF (AVDE) at 3.81%. This indicates that NTSI's price experiences larger fluctuations and is considered to be riskier than AVDE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
4.04%
3.81%
NTSI
AVDE