PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EPS vs. BRK-B
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EPS and BRK-B is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

EPS vs. BRK-B - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree U.S. LargeCap Fund (EPS) and Berkshire Hathaway Inc. (BRK-B). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.40%
9.82%
EPS
BRK-B

Key characteristics

Sharpe Ratio

EPS:

2.02

BRK-B:

1.66

Sortino Ratio

EPS:

2.72

BRK-B:

2.37

Omega Ratio

EPS:

1.38

BRK-B:

1.30

Calmar Ratio

EPS:

3.02

BRK-B:

3.19

Martin Ratio

EPS:

13.68

BRK-B:

7.87

Ulcer Index

EPS:

1.73%

BRK-B:

3.07%

Daily Std Dev

EPS:

11.72%

BRK-B:

14.59%

Max Drawdown

EPS:

-54.43%

BRK-B:

-53.86%

Current Drawdown

EPS:

-4.22%

BRK-B:

-6.98%

Returns By Period

In the year-to-date period, EPS achieves a 23.57% return, which is significantly lower than BRK-B's 25.99% return. Both investments have delivered pretty close results over the past 10 years, with EPS having a 11.85% annualized return and BRK-B not far behind at 11.48%.


EPS

YTD

23.57%

1M

-1.46%

6M

8.40%

1Y

25.28%

5Y*

12.84%

10Y*

11.85%

BRK-B

YTD

25.99%

1M

-4.16%

6M

9.82%

1Y

26.45%

5Y*

14.74%

10Y*

11.48%

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. BRK-B - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree U.S. LargeCap Fund (EPS) and Berkshire Hathaway Inc. (BRK-B). 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 2.02, compared to the broader market0.002.004.002.021.66
The chart of Sortino ratio for EPS, currently valued at 2.72, compared to the broader market-2.000.002.004.006.008.0010.002.722.37
The chart of Omega ratio for EPS, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.30
The chart of Calmar ratio for EPS, currently valued at 3.02, compared to the broader market0.005.0010.0015.003.023.19
The chart of Martin ratio for EPS, currently valued at 13.68, compared to the broader market0.0020.0040.0060.0080.00100.0013.687.87
EPS
BRK-B

The current EPS Sharpe Ratio is 2.02, which is comparable to the BRK-B Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of EPS and BRK-B, 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
2.02
1.66
EPS
BRK-B

Dividends

EPS vs. BRK-B - Dividend Comparison

EPS's dividend yield for the trailing twelve months is around 1.45%, while BRK-B has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
EPS
WisdomTree U.S. LargeCap Fund
1.45%1.73%1.96%1.51%1.85%1.70%2.02%1.59%1.99%2.15%1.66%1.63%
BRK-B
Berkshire Hathaway Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

EPS vs. BRK-B - Drawdown Comparison

The maximum EPS drawdown since its inception was -54.43%, roughly equal to the maximum BRK-B drawdown of -53.86%. Use the drawdown chart below to compare losses from any high point for EPS and BRK-B. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.22%
-6.98%
EPS
BRK-B

Volatility

EPS vs. BRK-B - Volatility Comparison

The current volatility for WisdomTree U.S. LargeCap Fund (EPS) is 3.37%, while Berkshire Hathaway Inc. (BRK-B) has a volatility of 3.68%. This indicates that EPS experiences smaller price fluctuations and is considered to be less risky than BRK-B 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.37%
3.68%
EPS
BRK-B
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab