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

Correlation

The correlation between DWMF and VEA is 0.73, 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.


Performance

DWMF vs. VEA - Performance Comparison

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

30.00%35.00%40.00%45.00%50.00%55.00%December2025FebruaryMarchAprilMay
54.68%
53.61%
DWMF
VEA

Key characteristics

Sharpe Ratio

DWMF:

1.76

VEA:

0.66

Sortino Ratio

DWMF:

2.54

VEA:

1.05

Omega Ratio

DWMF:

1.36

VEA:

1.14

Calmar Ratio

DWMF:

2.91

VEA:

0.85

Martin Ratio

DWMF:

9.44

VEA:

2.57

Ulcer Index

DWMF:

2.39%

VEA:

4.45%

Daily Std Dev

DWMF:

12.80%

VEA:

17.23%

Max Drawdown

DWMF:

-29.70%

VEA:

-60.69%

Current Drawdown

DWMF:

0.00%

VEA:

-0.37%

Returns By Period

In the year-to-date period, DWMF achieves a 15.52% return, which is significantly higher than VEA's 12.42% return.


DWMF

YTD

15.52%

1M

11.80%

6M

13.84%

1Y

20.87%

5Y*

10.91%

10Y*

N/A

VEA

YTD

12.42%

1M

16.60%

6M

8.78%

1Y

10.40%

5Y*

11.68%

10Y*

5.60%

*Annualized

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DWMF vs. VEA - Expense Ratio Comparison

DWMF has a 0.38% expense ratio, which is higher than VEA's 0.05% expense ratio.


Risk-Adjusted Performance

DWMF vs. VEA — Risk-Adjusted Performance Rank

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

DWMF
The Risk-Adjusted Performance Rank of DWMF is 9393
Overall Rank
The Sharpe Ratio Rank of DWMF is 9393
Sharpe Ratio Rank
The Sortino Ratio Rank of DWMF is 9393
Sortino Ratio Rank
The Omega Ratio Rank of DWMF is 9393
Omega Ratio Rank
The Calmar Ratio Rank of DWMF is 9595
Calmar Ratio Rank
The Martin Ratio Rank of DWMF is 9393
Martin Ratio Rank

VEA
The Risk-Adjusted Performance Rank of VEA is 6868
Overall Rank
The Sharpe Ratio Rank of VEA is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of VEA is 6666
Sortino Ratio Rank
The Omega Ratio Rank of VEA is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VEA is 7777
Calmar Ratio Rank
The Martin Ratio Rank of VEA is 6767
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DWMF vs. VEA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Multifactor Fund (DWMF) 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.


The current DWMF Sharpe Ratio is 1.76, which is higher than the VEA Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of DWMF 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 Ratio0.000.501.001.502.00December2025FebruaryMarchAprilMay
1.71
0.66
DWMF
VEA

Dividends

DWMF vs. VEA - Dividend Comparison

DWMF's dividend yield for the trailing twelve months is around 2.86%, less than VEA's 2.92% yield.


TTM20242023202220212020201920182017201620152014
DWMF
WisdomTree International Multifactor Fund
2.86%3.50%4.01%3.41%3.54%2.06%2.77%1.15%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF
2.92%3.35%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%

Drawdowns

DWMF vs. VEA - Drawdown Comparison

The maximum DWMF drawdown since its inception was -29.70%, smaller than the maximum VEA drawdown of -60.69%. Use the drawdown chart below to compare losses from any high point for DWMF and VEA. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2025FebruaryMarchAprilMay0
-0.37%
DWMF
VEA

Volatility

DWMF vs. VEA - Volatility Comparison

The current volatility for WisdomTree International Multifactor Fund (DWMF) is 6.64%, while Vanguard FTSE Developed Markets ETF (VEA) has a volatility of 8.27%. This indicates that DWMF experiences smaller price fluctuations and is considered to be less risky than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%December2025FebruaryMarchAprilMay
6.64%
8.27%
DWMF
VEA