ABCS vs. USMF

Last updated Jun 4, 2026

ABCS (Alpha Blue Capital US Small-Mid Cap Dynamic ETF) and USMF (WisdomTree US Multifactor Fund) are both Mid Cap Blend Equities funds - ABCS tracks the BNY Mellon ABC Index while USMF tracks the WisdomTree US Multifactor Index. Both are passively managed. Over the past year, ABCS returned 16.85% vs 6.28% for USMF. Their correlation of 0.85 suggests significant overlap in exposure. ABCS charges 0.27%/yr vs 0.28%/yr for USMF.

Performance

ABCS vs. USMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Alpha Blue Capital US Small-Mid Cap Dynamic ETF (ABCS) and WisdomTree US Multifactor Fund (USMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ABCS achieves a 6.97% return, which is significantly higher than USMF's 4.36% return.

ABCS

• 1D: -0.49%
• 1M: 2.28%
• YTD: 6.97%
• 6M: 7.94%
• 1Y: 16.85%
• 3Y*: —
• 5Y*: —
• 10Y*: —

USMF

• 1D: -0.56%
• 1M: 3.76%
• YTD: 4.36%
• 6M: 4.80%
• 1Y: 6.28%
• 3Y*: 14.13%
• 5Y*: 7.67%
• 10Y*: —

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

ABCS vs. USMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
ABCS Alpha Blue Capital US Small-Mid Cap Dynamic ETF	6.97%	7.95%	14.47%	1.97%
USMF WisdomTree US Multifactor Fund	4.36%	4.60%	19.65%	1.22%

Correlation

The correlation between ABCS and USMF is 0.81, 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	0.81
Correlation (All Time) Calculated using the full available price history since Dec 21, 2023	0.85

The correlation between ABCS and USMF has been stable across timeframes, ranging from 0.81 to 0.85 - a consistent structural relationship.

ABCS vs. USMF - Sectors Allocation Comparison

Sectors	ABCS	USMF
Financial Services	21.3%	11.8%
Healthcare	14.7%	9.3%
Technology	14.0%	35.6%
Consumer Cyclical	13.7%	11.1%
Industrials	10.9%	7.8%
Energy	6.5%	4.1%
Real Estate	5.0%	2.0%
Consumer Defensive	4.8%	5.2%
Utilities	3.5%	2.0%
Basic Materials	3.5%	0.9%
Communication Services	2.0%	10.3%

Return for Risk

ABCS vs. USMF — Risk / Return Rank

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

ABCS

ABCS Risk / Return Rank: 38
ABCS Sharpe Ratio Rank: 35
ABCS Sortino Ratio Rank: 37
ABCS Omega Ratio Rank: 34
ABCS Calmar Ratio Rank: 42
ABCS Martin Ratio Rank: 40

USMF

USMF Risk / Return Rank: 19
USMF Sharpe Ratio Rank: 18
USMF Sortino Ratio Rank: 17
USMF Omega Ratio Rank: 17
USMF Calmar Ratio Rank: 22
USMF Martin Ratio Rank: 23

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.

ABCS vs. USMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Alpha Blue Capital US Small-Mid Cap Dynamic ETF (ABCS) and WisdomTree US Multifactor Fund (USMF). 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.

	ABCS	USMF	Difference
Sharpe ratio Return per unit of total volatility	1.25	0.58	+0.66
Sortino ratio Return per unit of downside risk	1.89	0.89	+1.00
Omega ratio Gain probability vs. loss probability	1.22	1.10	+0.12
Calmar ratio Return relative to maximum drawdown	2.03	0.98	+1.06
Martin ratio Return relative to average drawdown	6.39	2.93	+3.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABCS vs. USMF - Sharpe Ratio Comparison

The current ABCS Sharpe Ratio is 1.25, which is higher than the USMF Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of ABCS and USMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ABCS	USMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.25	0.58	+0.66
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.54	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.76	0.63	+0.14

Drawdowns

ABCS vs. USMF - Drawdown Comparison

The maximum ABCS drawdown since its inception was -20.52%, smaller than the maximum USMF drawdown of -36.24%. Use the drawdown chart below to compare losses from any high point for ABCS and USMF.

Drawdown Indicators

	ABCS	USMF	Difference
Max Drawdown Largest peak-to-trough decline	-20.52%	-36.24%	+15.72%
Max Drawdown (1Y) Largest decline over 1 year	-8.33%	-6.47%	-1.86%
Max Drawdown (3Y) Largest decline over 3 years	—	-15.39%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-18.10%	—
Current Drawdown Current decline from peak	-0.49%	-0.56%	+0.07%
Average Drawdown Average peak-to-trough decline	-3.53%	-4.16%	+0.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.64%	2.15%	+0.49%

Volatility

ABCS vs. USMF - Volatility Comparison

Alpha Blue Capital US Small-Mid Cap Dynamic ETF (ABCS) has a higher volatility of 2.66% compared to WisdomTree US Multifactor Fund (USMF) at 2.30%. This indicates that ABCS's price experiences larger fluctuations and is considered to be riskier than USMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABCS	USMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.66%	2.30%	+0.36%
Volatility (6M) Calculated over the trailing 6-month period	9.27%	7.43%	+1.84%
Volatility (1Y) Calculated over the trailing 1-year period	13.60%	10.79%	+2.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.09%	14.27%	+2.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.09%	16.97%	+0.12%

ABCS vs. USMF - Expense Ratio Comparison

ABCS has a 0.27% expense ratio, which is lower than USMF's 0.28% expense ratio.

Dividends

ABCS vs. USMF - Dividend Comparison

ABCS's dividend yield for the trailing twelve months is around 1.26%, less than USMF's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABCS Alpha Blue Capital US Small-Mid Cap Dynamic ETF	1.26%	1.37%	1.39%	0.02%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
USMF WisdomTree US Multifactor Fund	1.32%	1.37%	1.22%	1.33%	1.74%	1.42%	1.34%	1.38%	1.45%	0.67%

Frequently Asked Questions

Can I hold both ABCS and USMF in my portfolio?

ABCS and USMF have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABCS or USMF?

ABCS has higher volatility (2.66%) compared to USMF (2.30%). In terms of maximum drawdown, ABCS dropped -20.52% vs USMF's -36.24%.

Which ETF is better, ABCS or USMF?

On 1-year performance, ABCS leads with 16.85% vs 6.28% for USMF. On fees, ABCS is cheaper at 0.27% per year. On volatility, USMF has been the lower-risk option at 2.30%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ABCS or USMF?

Over the 1-year period, ABCS has performed better with a 16.85% return vs 6.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ABCS or USMF?

ABCS is cheaper with a 0.27% expense ratio, compared with 0.28% for USMF.

Which ETF pays a higher dividend yield, ABCS or USMF?

USMF has the higher dividend yield at 1.32%, compared with 1.26% for ABCS.

What is the main difference between ABCS and USMF?

ABCS tracks BNY Mellon ABC Index, while USMF tracks WisdomTree US Multifactor Index. They also come from different issuers: Alpha Architect and WisdomTree. Their fees differ too: 0.27% for ABCS and 0.28% for USMF.

Which has better risk-adjusted returns?

ABCS currently has the higher Sharpe Ratio (1.25 vs 0.58), 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.