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

Key characteristics


NTSINTSX
YTD Return2.09%22.64%
1Y Return14.27%35.19%
3Y Return (Ann)-2.05%4.21%
Sharpe Ratio1.112.75
Sortino Ratio1.633.77
Omega Ratio1.201.49
Calmar Ratio0.761.93
Martin Ratio5.2118.24
Ulcer Index2.80%1.90%
Daily Std Dev13.11%12.60%
Max Drawdown-34.01%-31.34%
Current Drawdown-9.85%-0.60%

Correlation

-0.50.00.51.00.8

The correlation between NTSI and NTSX is 0.76, 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. NTSX - Performance Comparison

In the year-to-date period, NTSI achieves a 2.09% return, which is significantly lower than NTSX's 22.64% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-3.77%
12.33%
NTSI
NTSX

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NTSI vs. NTSX - Expense Ratio Comparison

NTSI has a 0.26% expense ratio, which is higher than NTSX's 0.20% 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 NTSX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

NTSI vs. NTSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Efficient Core Fund (NTSI) and WisdomTree U.S. Efficient Core Fund (NTSX). 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 1.11, compared to the broader market-2.000.002.004.006.001.11
Sortino ratio
The chart of Sortino ratio for NTSI, currently valued at 1.63, compared to the broader market-2.000.002.004.006.008.0010.0012.001.63
Omega ratio
The chart of Omega ratio for NTSI, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for NTSI, currently valued at 0.76, compared to the broader market0.005.0010.0015.000.76
Martin ratio
The chart of Martin ratio for NTSI, currently valued at 5.21, compared to the broader market0.0020.0040.0060.0080.00100.005.21
NTSX
Sharpe ratio
The chart of Sharpe ratio for NTSX, currently valued at 2.75, compared to the broader market-2.000.002.004.006.002.75
Sortino ratio
The chart of Sortino ratio for NTSX, currently valued at 3.77, compared to the broader market-2.000.002.004.006.008.0010.0012.003.77
Omega ratio
The chart of Omega ratio for NTSX, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for NTSX, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.93
Martin ratio
The chart of Martin ratio for NTSX, currently valued at 18.24, compared to the broader market0.0020.0040.0060.0080.00100.0018.24

NTSI vs. NTSX - Sharpe Ratio Comparison

The current NTSI Sharpe Ratio is 1.11, which is lower than the NTSX Sharpe Ratio of 2.75. The chart below compares the historical Sharpe Ratios of NTSI and NTSX, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.11
2.75
NTSI
NTSX

Dividends

NTSI vs. NTSX - Dividend Comparison

NTSI's dividend yield for the trailing twelve months is around 2.65%, more than NTSX's 1.05% yield.


TTM202320222021202020192018
NTSI
WisdomTree International Efficient Core Fund
2.65%2.35%2.66%0.97%0.00%0.00%0.00%
NTSX
WisdomTree U.S. Efficient Core Fund
1.05%1.21%1.36%0.82%0.92%1.53%0.62%

Drawdowns

NTSI vs. NTSX - Drawdown Comparison

The maximum NTSI drawdown since its inception was -34.01%, which is greater than NTSX's maximum drawdown of -31.34%. Use the drawdown chart below to compare losses from any high point for NTSI and NTSX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.85%
-0.60%
NTSI
NTSX

Volatility

NTSI vs. NTSX - Volatility Comparison

WisdomTree International Efficient Core Fund (NTSI) has a higher volatility of 4.39% compared to WisdomTree U.S. Efficient Core Fund (NTSX) at 3.62%. This indicates that NTSI's price experiences larger fluctuations and is considered to be riskier than NTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.39%
3.62%
NTSI
NTSX