USMF vs. CSP1.L
Compare and contrast key facts about WisdomTree US Multifactor Fund (USMF) and iShares Core S&P 500 UCITS ETF (CSP1.L).
USMF and CSP1.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. USMF is a passively managed fund by WisdomTree that tracks the performance of the WisdomTree U.S. Multifactor Index. It was launched on Jun 29, 2017. CSP1.L is a passively managed fund by iShares that tracks the performance of the S&P 500 Index. It was launched on May 19, 2010. Both USMF and CSP1.L are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: USMF or CSP1.L.
Performance
USMF vs. CSP1.L - Performance Comparison
Returns By Period
In the year-to-date period, USMF achieves a 21.69% return, which is significantly lower than CSP1.L's 25.35% return.
USMF
21.69%
1.64%
10.72%
28.85%
11.88%
N/A
CSP1.L
25.35%
3.85%
12.21%
29.96%
15.69%
15.16%
Key characteristics
| USMF | CSP1.L | |
|---|---|---|
| Sharpe Ratio | 2.89 | 2.71 |
| Sortino Ratio | 4.01 | 3.85 |
| Omega Ratio | 1.52 | 1.52 |
| Calmar Ratio | 5.23 | 4.84 |
| Martin Ratio | 16.01 | 19.20 |
| Ulcer Index | 1.84% | 1.58% |
| Daily Std Dev | 10.22% | 11.18% |
| Max Drawdown | -36.24% | -25.48% |
| Current Drawdown | -2.28% | -1.07% |
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USMF vs. CSP1.L - Expense Ratio Comparison
USMF has a 0.28% expense ratio, which is higher than CSP1.L's 0.07% expense ratio.
Correlation
The correlation between USMF and CSP1.L is 0.59, 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.
Risk-Adjusted Performance
USMF vs. CSP1.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Multifactor Fund (USMF) and iShares Core S&P 500 UCITS ETF (CSP1.L). 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.
Dividends
USMF vs. CSP1.L - Dividend Comparison
USMF's dividend yield for the trailing twelve months is around 1.22%, while CSP1.L has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
USMF WisdomTree US Multifactor Fund | 1.22% | 1.33% | 1.74% | 1.42% | 1.33% | 1.38% | 1.45% | 0.67% |
CSP1.L iShares Core S&P 500 UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
USMF vs. CSP1.L - Drawdown Comparison
The maximum USMF drawdown since its inception was -36.24%, which is greater than CSP1.L's maximum drawdown of -25.48%. Use the drawdown chart below to compare losses from any high point for USMF and CSP1.L. For additional features, visit the drawdowns tool.
Volatility
USMF vs. CSP1.L - Volatility Comparison
WisdomTree US Multifactor Fund (USMF) and iShares Core S&P 500 UCITS ETF (CSP1.L) have volatilities of 3.77% and 3.69%, 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.