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EPS vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

EPS vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree U.S. LargeCap Fund (EPS) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
10.14%
9.66%
EPS
^GSPC

Key characteristics

Sharpe Ratio

EPS:

2.24

^GSPC:

2.07

Sortino Ratio

EPS:

3.02

^GSPC:

2.76

Omega Ratio

EPS:

1.43

^GSPC:

1.39

Calmar Ratio

EPS:

3.35

^GSPC:

3.05

Martin Ratio

EPS:

14.98

^GSPC:

13.27

Ulcer Index

EPS:

1.75%

^GSPC:

1.95%

Daily Std Dev

EPS:

11.68%

^GSPC:

12.52%

Max Drawdown

EPS:

-54.43%

^GSPC:

-56.78%

Current Drawdown

EPS:

-2.61%

^GSPC:

-1.91%

Returns By Period

The year-to-date returns for both stocks are quite close, with EPS having a 25.65% return and ^GSPC slightly lower at 25.25%. Over the past 10 years, EPS has outperformed ^GSPC with an annualized return of 11.96%, while ^GSPC has yielded a comparatively lower 11.11% annualized return.


EPS

YTD

25.65%

1M

-0.95%

6M

10.14%

1Y

25.92%

5Y*

13.21%

10Y*

11.96%

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for EPS, currently valued at 2.24, compared to the broader market0.002.004.002.242.07
The chart of Sortino ratio for EPS, currently valued at 3.02, compared to the broader market-2.000.002.004.006.008.0010.003.022.76
The chart of Omega ratio for EPS, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.39
The chart of Calmar ratio for EPS, currently valued at 3.35, compared to the broader market0.005.0010.0015.003.353.05
The chart of Martin ratio for EPS, currently valued at 14.98, compared to the broader market0.0020.0040.0060.0080.00100.0014.9813.27
EPS
^GSPC

The current EPS Sharpe Ratio is 2.24, which is comparable to the ^GSPC Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of EPS and ^GSPC, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.24
2.07
EPS
^GSPC

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.61%
-1.91%
EPS
^GSPC

Volatility

EPS vs. ^GSPC - Volatility Comparison

The current volatility for WisdomTree U.S. LargeCap Fund (EPS) is 3.56%, while S&P 500 (^GSPC) has a volatility of 3.82%. This indicates that EPS experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.56%
3.82%
EPS
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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