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EPS vs. MGC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EPS and MGC 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. MGC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree U.S. LargeCap Fund (EPS) and Vanguard Mega Cap ETF (MGC). The values are adjusted to include any dividend payments, if applicable.

350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
398.59%
482.53%
EPS
MGC

Key characteristics

Sharpe Ratio

EPS:

2.28

MGC:

2.31

Sortino Ratio

EPS:

3.07

MGC:

3.03

Omega Ratio

EPS:

1.44

MGC:

1.43

Calmar Ratio

EPS:

3.41

MGC:

3.31

Martin Ratio

EPS:

15.34

MGC:

14.90

Ulcer Index

EPS:

1.74%

MGC:

2.02%

Daily Std Dev

EPS:

11.68%

MGC:

13.07%

Max Drawdown

EPS:

-54.43%

MGC:

-52.20%

Current Drawdown

EPS:

-3.16%

MGC:

-2.28%

Returns By Period

In the year-to-date period, EPS achieves a 24.95% return, which is significantly lower than MGC's 28.27% return. Over the past 10 years, EPS has underperformed MGC with an annualized return of 11.91%, while MGC has yielded a comparatively higher 13.70% annualized return.


EPS

YTD

24.95%

1M

-0.43%

6M

9.71%

1Y

25.46%

5Y*

13.08%

10Y*

11.91%

MGC

YTD

28.27%

1M

1.18%

6M

9.48%

1Y

28.91%

5Y*

15.71%

10Y*

13.70%

Compare stocks, funds, or ETFs

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


EPS vs. MGC - Expense Ratio Comparison

EPS has a 0.08% expense ratio, which is higher than MGC's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


EPS
WisdomTree U.S. LargeCap Fund
Expense ratio chart for EPS: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for MGC: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

EPS vs. MGC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree U.S. LargeCap Fund (EPS) and Vanguard Mega Cap ETF (MGC). 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 2.28, compared to the broader market0.002.004.002.282.31
The chart of Sortino ratio for EPS, currently valued at 3.07, compared to the broader market-2.000.002.004.006.008.0010.003.073.03
The chart of Omega ratio for EPS, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.441.43
The chart of Calmar ratio for EPS, currently valued at 3.41, compared to the broader market0.005.0010.0015.003.413.31
The chart of Martin ratio for EPS, currently valued at 15.34, compared to the broader market0.0020.0040.0060.0080.00100.0015.3414.90
EPS
MGC

The current EPS Sharpe Ratio is 2.28, which is comparable to the MGC Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of EPS and MGC, 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
2.28
2.31
EPS
MGC

Dividends

EPS vs. MGC - Dividend Comparison

EPS's dividend yield for the trailing twelve months is around 1.44%, more than MGC's 0.84% yield.


TTM20232022202120202019201820172016201520142013
EPS
WisdomTree U.S. LargeCap Fund
1.05%1.73%1.96%1.51%1.85%1.70%2.02%1.59%1.99%2.15%1.66%1.63%
MGC
Vanguard Mega Cap ETF
0.84%1.35%1.65%1.17%1.45%1.81%2.10%1.82%2.14%2.11%1.81%1.86%

Drawdowns

EPS vs. MGC - Drawdown Comparison

The maximum EPS drawdown since its inception was -54.43%, roughly equal to the maximum MGC drawdown of -52.20%. Use the drawdown chart below to compare losses from any high point for EPS and MGC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.16%
-2.28%
EPS
MGC

Volatility

EPS vs. MGC - Volatility Comparison

The current volatility for WisdomTree U.S. LargeCap Fund (EPS) is 3.57%, while Vanguard Mega Cap ETF (MGC) has a volatility of 3.91%. This indicates that EPS experiences smaller price fluctuations and is considered to be less risky than MGC 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
3.57%
3.91%
EPS
MGC
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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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