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WisdomTree US Multifactor Fund (USMF) Sharpe Ratio: 0.06

USMF's Sharpe Ratio of 0.06 indicates that for each unit of volatility, it generates 0.06 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 1, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

USMF Sharpe Ratio Rank

USMF Sharpe Ratio Rank: 13.514
Concerning

USMF ranks above 13.5% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Weak risk-adjusted returns relative to category peers
  • Evaluate whether this holding aligns with your risk-return objectives
  • Consider reducing exposure or re-evaluating position size
  • Review higher-ranked alternatives in the same category

USMF Sharpe Ratio Market Positioning

The chart shows USMF's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.46 or lower
  • Yellow zone (middle 50%): 0.46 to 1.40
  • Green zone (top 25%): 1.40 or higher
  • Top 1%: 5.71+
  • Median: 0.94 — half of all investments score higher

How it compares to other similar ETFs

The table compares WisdomTree US Multifactor Fund's Sharpe Ratio with other ETFs in the Mid Cap Blend Equities, Multi-factor category across multiple time periods, showing how USMF's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 1, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
EPUiShares MSCI Peru ETF3.02
MFEMPIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF1.89
MFDXPIMCO RAFI Dynamic Multi-Factor International Equity ETF1.84
RSHOTema American Reshoring ETF1.83
CSDInvesco S&P Spin-Off ETF1.74
LOPPGabelli Love Our Planet & People ETF1.70
MOOVanEck Agribusiness ETF1.63
AAVMAlpha Architect Global Factor Equity ETF1.62
OPTZOptimize Strategy Index ETF1.52
FDLSInspire Fidelis Multi Factor ETF1.51
USMFWisdomTree US Multifactor Fund0.06

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows USMF's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when USMF consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Explore USMF risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

USMF Sortino Ratio