USMF vs. NTSX
USMF (WisdomTree US Multifactor Fund) and NTSX (WisdomTree U.S. Efficient Core Fund) are both exchange-traded funds - USMF is a Mid Cap Blend Equities fund tracking the WisdomTree US Multifactor Index, while NTSX is a Diversified Portfolio fund actively managed by WisdomTree. USMF is passively managed, while NTSX is actively managed. Over the past 5 years, USMF returned 7.47%/yr vs 8.42%/yr for NTSX. Their 0.79 correlation means they have sometimes moved together and sometimes differently. USMF charges 0.28%/yr vs 0.20%/yr for NTSX.
Performance
USMF vs. NTSX - Performance Comparison
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Returns By Period
In the year-to-date period, USMF achieves a 4.49% return, which is significantly lower than NTSX's 8.99% return.
USMF
- 1D
- 0.48%
- 1M
- 0.58%
- 6M
- 3.78%
- YTD
- 4.49%
- 1Y
- 7.20%
- 3Y*
- 12.30%
- 5Y*
- 7.47%
- 10Y*
- —
- ALL TIME*
- 10.37%
NTSX
- 1D
- 1.59%
- 1M
- 1.07%
- 6M
- 7.46%
- YTD
- 8.99%
- 1Y
- 19.38%
- 3Y*
- 18.54%
- 5Y*
- 8.42%
- 10Y*
- —
- ALL TIME*
- 12.84%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.98M | $1.82M | $2.61M | |
| $1.09M | $1.05M | $1.76M |
USMF vs. NTSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
USMF WisdomTree US Multifactor Fund | 4.49% | 4.60% | 19.65% | 13.47% | -8.82% | 21.26% | 12.01% | 24.06% | -11.23% |
NTSX WisdomTree U.S. Efficient Core Fund | 8.99% | 18.82% | 20.20% | 22.70% | -25.84% | 22.21% | 24.87% | 32.03% | -7.87% |
Correlation
The correlation between USMF and NTSX is 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (3Y) Balances recent behavior with more history. | 0.71 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.76 |
Correlation (All Time) Calculated using the full available price history since Aug 2, 2018 | 0.79 |
The correlation between USMF and NTSX shifts across timeframes, from 0.65 (1 year) to 0.79 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
USMF vs. NTSX — Risk / Return Rank
USMF
NTSX
USMF vs. NTSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Multifactor Fund (USMF) 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.
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.
| USMF | NTSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.84 | ||
| Sortino ratioReturn per unit of downside risk | -1.07 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.26 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 1.12 | 2.12 | -1.01 |
| Martin ratioReturn relative to average drawdown | 3.41 | 8.61 | -5.20 |
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Drawdowns
USMF vs. NTSX - Drawdown Comparison
The maximum USMF drawdown since its inception was -36.24%, which is greater than NTSX's maximum drawdown of -31.34%. Use the drawdown chart below to compare losses from any high point for USMF and NTSX.
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Drawdown Indicators
| USMF | NTSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.24% | -31.34% | -4.90% |
Max Drawdown (1Y)Largest decline over 1 year | -6.47% | -9.16% | +2.69% |
Max Drawdown (3Y)Largest decline over 3 years | -15.39% | -16.82% | +1.43% |
Max Drawdown (5Y)Largest decline over 5 years | -18.10% | -31.34% | +13.24% |
Current DrawdownCurrent decline from peak | -2.03% | -0.71% | -1.32% |
Average DrawdownAverage peak-to-trough decline | -4.12% | -6.69% | +2.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.12% | 2.26% | -0.14% |
Volatility
USMF vs. NTSX - Volatility Comparison
The current volatility for WisdomTree US Multifactor Fund (USMF) is 3.77%, while WisdomTree U.S. Efficient Core Fund (NTSX) has a volatility of 4.14%. This indicates that USMF experiences smaller price fluctuations and is considered to be less risky than NTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| USMF | NTSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.77% | 4.14% | -0.37% |
Volatility (6M)Calculated over the trailing 6-month period | 9.26% | 10.85% | -1.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.68% | 13.35% | -1.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.40% | 17.22% | -2.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.95% | 18.23% | -1.28% |
USMF vs. NTSX - Expense Ratio Comparison
USMF has a 0.28% expense ratio, which is higher than NTSX's 0.20% expense ratio.
Dividends
USMF vs. NTSX - Dividend Comparison
USMF's dividend yield for the trailing twelve months is around 1.31%, more than NTSX's 1.08% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
NTSX WisdomTree U.S. Efficient Core Fund | 1.08% | 1.14% | 1.14% | 1.21% | 1.36% | 0.82% | 0.92% | 1.42% | 0.62% | 0.00% |
USMF WisdomTree US Multifactor Fund | 1.31% | 1.37% | 1.22% | 1.33% | 1.74% | 1.42% | 1.34% | 1.38% | 1.45% | 0.67% |
Frequently Asked Questions
USMF and NTSX have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NTSX has higher volatility (4.14%) compared to USMF (3.77%). In terms of maximum drawdown, USMF dropped -36.24% vs NTSX's -31.34%.
On 5-year performance, NTSX leads with 8.42% vs 7.47% for USMF. On fees, NTSX is cheaper at 0.20% per year. On volatility, USMF has been the lower-risk option at 3.77%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, NTSX has performed better with a 8.42% return vs 7.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
NTSX is cheaper with a 0.20% expense ratio, compared with 0.28% for USMF.
USMF has the higher dividend yield at 1.31%, compared with 1.08% for NTSX.
USMF is categorized as Mid Cap Blend Equities, while NTSX is Diversified Portfolio. Their fees differ too: 0.28% for USMF and 0.20% for NTSX.
NTSX currently has the higher Sharpe Ratio (1.46 vs 0.62), 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.
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