NTSX vs. QUAL

Last updated Jun 13, 2026

NTSX (WisdomTree U.S. Efficient Core Fund) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - NTSX is a Diversified Portfolio fund actively managed by WisdomTree, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. NTSX is actively managed, while QUAL is passively managed. Over the past 5 years, NTSX returned 9.23%/yr vs 11.97%/yr for QUAL. Their correlation of 0.91 suggests significant overlap in exposure. NTSX charges 0.20%/yr vs 0.15%/yr for QUAL.

Performance

NTSX vs. QUAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree U.S. Efficient Core Fund (NTSX) and iShares MSCI USA Quality Factor ETF (QUAL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NTSX achieves a 7.28% return, which is significantly lower than QUAL's 9.44% return.

NTSX

• 1D: 0.53%
• 1M: -0.68%
• YTD: 7.28%
• 6M: 7.49%
• 1Y: 23.34%
• 3Y*: 18.55%
• 5Y*: 9.23%
• 10Y*: —

QUAL

• 1D: 0.47%
• 1M: 2.14%
• YTD: 9.44%
• 6M: 9.29%
• 1Y: 22.87%
• 3Y*: 19.30%
• 5Y*: 11.97%
• 10Y*: 14.46%

*Multi-year figures are annualized to reflect compound growth (CAGR)

NTSX vs. QUAL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
NTSX WisdomTree U.S. Efficient Core Fund	7.28%	18.82%	20.20%	22.70%	-25.84%	22.21%	24.87%	32.03%	-7.87%
QUAL iShares MSCI USA Quality Factor ETF	9.44%	12.65%	22.29%	30.88%	-20.50%	26.94%	17.04%	33.89%	-10.25%

Correlation

The correlation between NTSX and QUAL is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.86
Correlation (3Y) Calculated over the trailing 3-year period	0.88
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (All Time) Calculated using the full available price history since Aug 2, 2018	0.91

The correlation between NTSX and QUAL has been stable across timeframes, ranging from 0.86 to 0.91 - a consistent structural relationship.

NTSX vs. QUAL - Sectors Allocation Comparison

Sectors	NTSX	QUAL
Technology	35.1%	36.5%
Communication Services	12.5%	11.1%
Financial Services	12.3%	11.5%
Consumer Cyclical	10.1%	9.3%
Healthcare	8.4%	9.0%
Industrials	7.7%	8.2%
Consumer Defensive	5.5%	4.9%
Energy	3.5%	4.0%
Utilities	2.1%	1.9%
Real Estate	1.5%	1.8%
Basic Materials	1.4%	1.7%

Return for Risk

NTSX vs. QUAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NTSX

NTSX Risk / Return Rank: 59
NTSX Sharpe Ratio Rank: 58
NTSX Sortino Ratio Rank: 56
NTSX Omega Ratio Rank: 57
NTSX Calmar Ratio Rank: 55
NTSX Martin Ratio Rank: 66

QUAL

QUAL Risk / Return Rank: 59
QUAL Sharpe Ratio Rank: 59
QUAL Sortino Ratio Rank: 60
QUAL Omega Ratio Rank: 56
QUAL Calmar Ratio Rank: 53
QUAL Martin Ratio Rank: 67

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

NTSX vs. QUAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree U.S. Efficient Core Fund (NTSX) and iShares MSCI USA Quality Factor ETF (QUAL). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	NTSX	QUAL	Difference
Sharpe ratio: Return per unit of total volatility	1.72	1.74	-0.02
Sortino ratio: Return per unit of downside risk	2.33	2.46	-0.13
Omega ratio: Gain probability vs. loss probability	1.31	1.31	0.00
Calmar ratio: Return relative to maximum drawdown	2.42	2.32	+0.10
Martin ratio: Return relative to average drawdown	10.43	10.60	-0.17

NTSX vs. QUAL - Sharpe Ratio Comparison

The current NTSX Sharpe Ratio is 1.72, which is comparable to the QUAL Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of NTSX and QUAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

NTSX vs. QUAL - Drawdown Comparison

The maximum NTSX drawdown since its inception was -31.34%, smaller than the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for NTSX and QUAL.

Drawdown Indicators

	NTSX	QUAL	Difference
Max Drawdown Largest peak-to-trough decline	-31.34%	-34.06%	+2.72%
Max Drawdown (1Y) Largest decline over 1 year	-9.16%	-9.03%	-0.13%
Max Drawdown (3Y) Largest decline over 3 years	-16.82%	-18.00%	+1.18%
Max Drawdown (5Y) Largest decline over 5 years	-31.34%	-28.23%	-3.11%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.06%	—
Current Drawdown Current decline from peak	-2.27%	-0.19%	-2.08%
Average Drawdown Average peak-to-trough decline	-6.78%	-4.10%	-2.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.13%	1.99%	+0.14%

Volatility

NTSX vs. QUAL - Volatility Comparison

WisdomTree U.S. Efficient Core Fund (NTSX) has a higher volatility of 5.05% compared to iShares MSCI USA Quality Factor ETF (QUAL) at 3.63%. This indicates that NTSX's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NTSX	QUAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.05%	3.63%	+1.42%
Volatility (6M) Calculated over the trailing 6-month period	10.34%	9.43%	+0.91%
Volatility (1Y) Calculated over the trailing 1-year period	12.92%	12.10%	+0.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.13%	17.36%	-0.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.30%	18.11%	+0.19%

NTSX vs. QUAL - Expense Ratio Comparison

NTSX has a 0.20% expense ratio, which is higher than QUAL's 0.15% 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%.

Dividends

NTSX vs. QUAL - Dividend Comparison

NTSX's dividend yield for the trailing twelve months is around 1.09%, more than QUAL's 0.87% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NTSX WisdomTree U.S. Efficient Core Fund	1.09%	1.14%	1.14%	1.21%	1.36%	0.82%	0.92%	1.42%	0.62%	0.00%	0.00%	0.00%
QUAL iShares MSCI USA Quality Factor ETF	0.87%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%

Frequently Asked Questions

Can I hold both NTSX and QUAL in my portfolio?

NTSX and QUAL have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NTSX or QUAL?

NTSX has higher volatility (5.05%) compared to QUAL (3.63%). In terms of maximum drawdown, NTSX dropped -31.34% vs QUAL's -34.06%.

Which ETF is better, NTSX or QUAL?

On 5-year performance, QUAL leads with 11.97% vs 9.23% for NTSX. On fees, QUAL is cheaper at 0.15% per year. On volatility, QUAL has been the lower-risk option at 3.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, NTSX or QUAL?

Over the 5-year period, QUAL has performed better with a 11.97% return vs 9.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, NTSX or QUAL?

QUAL is cheaper with a 0.15% expense ratio, compared with 0.20% for NTSX.

Which ETF pays a higher dividend yield, NTSX or QUAL?

NTSX has the higher dividend yield at 1.09%, compared with 0.87% for QUAL.

What is the main difference between NTSX and QUAL?

NTSX is categorized as Diversified Portfolio, while QUAL is Large Cap Blend Equities. They also come from different issuers: WisdomTree and iShares. Their fees differ too: 0.20% for NTSX and 0.15% for QUAL.

Which has better risk-adjusted returns?

QUAL currently has the higher Sharpe Ratio (1.74 vs 1.72), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.