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

Performance

NTSI vs. SCHD - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-2.02%
13.68%
NTSI
SCHD

Returns By Period

In the year-to-date period, NTSI achieves a 1.87% return, which is significantly lower than SCHD's 17.35% return.


NTSI

YTD

1.87%

1M

-4.37%

6M

-2.02%

1Y

9.38%

5Y (annualized)

N/A

10Y (annualized)

N/A

SCHD

YTD

17.35%

1M

2.29%

6M

13.68%

1Y

26.18%

5Y (annualized)

12.87%

10Y (annualized)

11.54%

Key characteristics


NTSISCHD
Sharpe Ratio0.752.40
Sortino Ratio1.123.44
Omega Ratio1.131.42
Calmar Ratio0.613.63
Martin Ratio2.9312.99
Ulcer Index3.27%2.05%
Daily Std Dev12.77%11.09%
Max Drawdown-34.01%-33.37%
Current Drawdown-10.05%-0.62%

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NTSI vs. SCHD - Expense Ratio Comparison

NTSI has a 0.26% expense ratio, which is higher than SCHD's 0.06% 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 SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.00.7

The correlation between NTSI and SCHD is 0.68, 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. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Efficient Core Fund (NTSI) and Schwab US Dividend Equity ETF (SCHD). 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 market0.002.004.000.752.40
The chart of Sortino ratio for NTSI, currently valued at 1.12, compared to the broader market-2.000.002.004.006.008.0010.001.123.44
The chart of Omega ratio for NTSI, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.001.131.42
The chart of Calmar ratio for NTSI, currently valued at 0.61, compared to the broader market0.005.0010.0015.000.613.63
The chart of Martin ratio for NTSI, currently valued at 2.93, compared to the broader market0.0020.0040.0060.0080.00100.002.9312.99
NTSI
SCHD

The current NTSI Sharpe Ratio is 0.75, which is lower than the SCHD Sharpe Ratio of 2.40. The chart below compares the historical Sharpe Ratios of NTSI and SCHD, 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
0.75
2.40
NTSI
SCHD

Dividends

NTSI vs. SCHD - Dividend Comparison

NTSI's dividend yield for the trailing twelve months is around 2.65%, less than SCHD's 3.37% 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%
SCHD
Schwab US Dividend Equity ETF
3.37%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

NTSI vs. SCHD - Drawdown Comparison

The maximum NTSI drawdown since its inception was -34.01%, roughly equal to the maximum SCHD drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for NTSI and SCHD. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.05%
-0.62%
NTSI
SCHD

Volatility

NTSI vs. SCHD - Volatility Comparison

WisdomTree International Efficient Core Fund (NTSI) has a higher volatility of 3.97% compared to Schwab US Dividend Equity ETF (SCHD) at 3.48%. This indicates that NTSI's price experiences larger fluctuations and is considered to be riskier than SCHD 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%JuneJulyAugustSeptemberOctoberNovember
3.97%
3.48%
NTSI
SCHD