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

Performance

NTSI vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree International Efficient Core Fund (NTSI) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.02%
11.25%
NTSI
QQQ

Returns By Period

In the year-to-date period, NTSI achieves a 1.87% return, which is significantly lower than QQQ's 23.40% return.


NTSI

YTD

1.87%

1M

-4.37%

6M

-2.02%

1Y

9.38%

5Y (annualized)

N/A

10Y (annualized)

N/A

QQQ

YTD

23.40%

1M

1.56%

6M

10.75%

1Y

30.41%

5Y (annualized)

20.90%

10Y (annualized)

18.08%

Key characteristics


NTSIQQQ
Sharpe Ratio0.751.71
Sortino Ratio1.122.29
Omega Ratio1.131.31
Calmar Ratio0.612.19
Martin Ratio2.937.95
Ulcer Index3.27%3.73%
Daily Std Dev12.77%17.38%
Max Drawdown-34.01%-82.98%
Current Drawdown-10.05%-2.13%

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NTSI vs. QQQ - Expense Ratio Comparison

NTSI has a 0.26% expense ratio, which is higher than QQQ'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 QQQ: 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%

Correlation

-0.50.00.51.00.7

The correlation between NTSI and QQQ is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

NTSI vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Efficient Core Fund (NTSI) and Invesco QQQ (QQQ). 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.


Sharpe ratio
The chart of Sharpe ratio for NTSI, currently valued at 0.75, compared to the broader market0.002.004.000.751.75
The chart of Sortino ratio for NTSI, currently valued at 1.12, compared to the broader market-2.000.002.004.006.008.0010.0012.001.122.34
The chart of Omega ratio for NTSI, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.32
The chart of Calmar ratio for NTSI, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.612.24
The chart of Martin ratio for NTSI, currently valued at 2.93, compared to the broader market0.0020.0040.0060.0080.00100.002.938.14
NTSI
QQQ

The current NTSI Sharpe Ratio is 0.75, which is lower than the QQQ Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of NTSI and QQQ, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
0.75
1.75
NTSI
QQQ

Dividends

NTSI vs. QQQ - Dividend Comparison

NTSI's dividend yield for the trailing twelve months is around 2.65%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
NTSI
WisdomTree International Efficient Core Fund
2.65%2.35%2.66%0.97%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

NTSI vs. QQQ - Drawdown Comparison

The maximum NTSI drawdown since its inception was -34.01%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for NTSI and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.05%
-2.13%
NTSI
QQQ

Volatility

NTSI vs. QQQ - Volatility Comparison

The current volatility for WisdomTree International Efficient Core Fund (NTSI) is 3.97%, while Invesco QQQ (QQQ) has a volatility of 5.40%. This indicates that NTSI experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.97%
5.40%
NTSI
QQQ