EPS vs. ^GSPC
Compare and contrast key facts about WisdomTree U.S. LargeCap Fund (EPS) and S&P 500 (^GSPC).
EPS is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree U.S. Large Cap Index. It was launched on Feb 23, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EPS or ^GSPC.
Key characteristics
| EPS | ^GSPC | |
|---|---|---|
| YTD Return | 26.10% | 24.72% |
| 1Y Return | 33.73% | 32.12% |
| 3Y Return (Ann) | 10.08% | 8.33% |
| 5Y Return (Ann) | 14.10% | 13.81% |
| 10Y Return (Ann) | 12.28% | 11.31% |
| Sharpe Ratio | 2.99 | 2.66 |
| Sortino Ratio | 4.04 | 3.56 |
| Omega Ratio | 1.57 | 1.50 |
| Calmar Ratio | 4.36 | 3.81 |
| Martin Ratio | 20.42 | 17.03 |
| Ulcer Index | 1.67% | 1.90% |
| Daily Std Dev | 11.39% | 12.16% |
| Max Drawdown | -54.43% | -56.78% |
| Current Drawdown | -0.78% | -0.87% |
Correlation
The correlation between EPS and ^GSPC is 0.93, 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
EPS vs. ^GSPC - Performance Comparison
In the year-to-date period, EPS achieves a 26.10% return, which is significantly higher than ^GSPC's 24.72% return. Over the past 10 years, EPS has outperformed ^GSPC with an annualized return of 12.28%, while ^GSPC has yielded a comparatively lower 11.31% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
EPS vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree U.S. LargeCap Fund (EPS) and S&P 500 (^GSPC). 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.
Drawdowns
EPS vs. ^GSPC - Drawdown Comparison
The maximum EPS drawdown since its inception was -54.43%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EPS and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
EPS vs. ^GSPC - Volatility Comparison
WisdomTree U.S. LargeCap Fund (EPS) and S&P 500 (^GSPC) have volatilities of 3.90% and 3.81%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.