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

Performance

NTSI vs. VEA - Performance Comparison

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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.33%
-1.17%
NTSI
VEA

Returns By Period

In the year-to-date period, NTSI achieves a 2.16% return, which is significantly lower than VEA's 5.20% return.


NTSI

YTD

2.16%

1M

-3.10%

6M

-2.33%

1Y

9.69%

5Y (annualized)

N/A

10Y (annualized)

N/A

VEA

YTD

5.20%

1M

-1.96%

6M

-1.17%

1Y

11.93%

5Y (annualized)

6.00%

10Y (annualized)

5.25%

Key characteristics


NTSIVEA
Sharpe Ratio0.760.93
Sortino Ratio1.131.35
Omega Ratio1.141.17
Calmar Ratio0.641.45
Martin Ratio2.914.30
Ulcer Index3.33%2.78%
Daily Std Dev12.77%12.79%
Max Drawdown-34.01%-60.70%
Current Drawdown-9.79%-7.15%

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NTSI vs. VEA - Expense Ratio Comparison

NTSI has a 0.26% expense ratio, which is higher than VEA's 0.05% 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 VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.9

The correlation between NTSI and VEA is 0.95, 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.

Risk-Adjusted Performance

NTSI vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Efficient Core Fund (NTSI) and Vanguard FTSE Developed Markets ETF (VEA). 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 0.76, compared to the broader market0.002.004.000.760.93
The chart of Sortino ratio for NTSI, currently valued at 1.13, compared to the broader market-2.000.002.004.006.008.0010.0012.001.131.35
The chart of Omega ratio for NTSI, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.17
The chart of Calmar ratio for NTSI, currently valued at 0.64, compared to the broader market0.005.0010.0015.0020.000.641.45
The chart of Martin ratio for NTSI, currently valued at 2.91, compared to the broader market0.0020.0040.0060.0080.00100.002.914.30
NTSI
VEA

The current NTSI Sharpe Ratio is 0.76, which is comparable to the VEA Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of NTSI and VEA, 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
0.76
0.93
NTSI
VEA

Dividends

NTSI vs. VEA - Dividend Comparison

NTSI's dividend yield for the trailing twelve months is around 2.65%, less than VEA's 3.03% 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%
VEA
Vanguard FTSE Developed Markets ETF
3.03%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

NTSI vs. VEA - Drawdown Comparison

The maximum NTSI drawdown since its inception was -34.01%, smaller than the maximum VEA drawdown of -60.70%. Use the drawdown chart below to compare losses from any high point for NTSI and VEA. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.79%
-7.15%
NTSI
VEA

Volatility

NTSI vs. VEA - Volatility Comparison

WisdomTree International Efficient Core Fund (NTSI) has a higher volatility of 3.89% compared to Vanguard FTSE Developed Markets ETF (VEA) at 3.55%. This indicates that NTSI's price experiences larger fluctuations and is considered to be riskier than VEA 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
3.89%
3.55%
NTSI
VEA