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USMF vs. SCHM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between USMF and SCHM is 0.86, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

USMF vs. SCHM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree US Multifactor Fund (USMF) and Schwab US Mid-Cap ETF (SCHM). The values are adjusted to include any dividend payments, if applicable.

80.00%90.00%100.00%110.00%120.00%130.00%140.00%NovemberDecember2025FebruaryMarchApril
118.09%
98.51%
USMF
SCHM

Key characteristics

Sharpe Ratio

USMF:

0.62

SCHM:

0.13

Sortino Ratio

USMF:

0.96

SCHM:

0.33

Omega Ratio

USMF:

1.14

SCHM:

1.05

Calmar Ratio

USMF:

0.63

SCHM:

0.12

Martin Ratio

USMF:

2.56

SCHM:

0.42

Ulcer Index

USMF:

3.81%

SCHM:

6.56%

Daily Std Dev

USMF:

15.64%

SCHM:

21.25%

Max Drawdown

USMF:

-36.24%

SCHM:

-42.43%

Current Drawdown

USMF:

-8.31%

SCHM:

-14.87%

Returns By Period

In the year-to-date period, USMF achieves a -2.75% return, which is significantly higher than SCHM's -7.96% return.


USMF

YTD

-2.75%

1M

-3.93%

6M

-1.66%

1Y

8.63%

5Y*

14.06%

10Y*

N/A

SCHM

YTD

-7.96%

1M

-5.93%

6M

-7.72%

1Y

1.47%

5Y*

13.98%

10Y*

8.95%

*Annualized

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USMF vs. SCHM - Expense Ratio Comparison

USMF has a 0.28% expense ratio, which is higher than SCHM's 0.04% expense ratio.


Expense ratio chart for USMF: current value is 0.28%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
USMF: 0.28%
Expense ratio chart for SCHM: current value is 0.04%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SCHM: 0.04%

Risk-Adjusted Performance

USMF vs. SCHM — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

USMF
The Risk-Adjusted Performance Rank of USMF is 6868
Overall Rank
The Sharpe Ratio Rank of USMF is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of USMF is 6565
Sortino Ratio Rank
The Omega Ratio Rank of USMF is 6666
Omega Ratio Rank
The Calmar Ratio Rank of USMF is 7272
Calmar Ratio Rank
The Martin Ratio Rank of USMF is 6969
Martin Ratio Rank

SCHM
The Risk-Adjusted Performance Rank of SCHM is 3333
Overall Rank
The Sharpe Ratio Rank of SCHM is 3333
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHM is 3434
Sortino Ratio Rank
The Omega Ratio Rank of SCHM is 3333
Omega Ratio Rank
The Calmar Ratio Rank of SCHM is 3434
Calmar Ratio Rank
The Martin Ratio Rank of SCHM is 3232
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

USMF vs. SCHM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Multifactor Fund (USMF) and Schwab US Mid-Cap ETF (SCHM). 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.


The chart of Sharpe ratio for USMF, currently valued at 0.62, compared to the broader market-1.000.001.002.003.004.00
USMF: 0.62
SCHM: 0.13
The chart of Sortino ratio for USMF, currently valued at 0.96, compared to the broader market-2.000.002.004.006.008.00
USMF: 0.96
SCHM: 0.33
The chart of Omega ratio for USMF, currently valued at 1.14, compared to the broader market0.501.001.502.002.50
USMF: 1.14
SCHM: 1.05
The chart of Calmar ratio for USMF, currently valued at 0.63, compared to the broader market0.002.004.006.008.0010.0012.00
USMF: 0.63
SCHM: 0.12
The chart of Martin ratio for USMF, currently valued at 2.56, compared to the broader market0.0020.0040.0060.00
USMF: 2.56
SCHM: 0.42

The current USMF Sharpe Ratio is 0.62, which is higher than the SCHM Sharpe Ratio of 0.13. The chart below compares the historical Sharpe Ratios of USMF and SCHM, 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 Ratio-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.62
0.13
USMF
SCHM

Dividends

USMF vs. SCHM - Dividend Comparison

USMF's dividend yield for the trailing twelve months is around 1.35%, less than SCHM's 1.53% yield.


TTM20242023202220212020201920182017201620152014
USMF
WisdomTree US Multifactor Fund
1.35%1.22%1.33%1.74%1.42%1.34%1.38%1.45%0.67%0.00%0.00%0.00%
SCHM
Schwab US Mid-Cap ETF
1.53%1.43%1.50%1.67%1.13%1.31%1.48%1.56%1.27%1.51%1.54%1.48%

Drawdowns

USMF vs. SCHM - Drawdown Comparison

The maximum USMF drawdown since its inception was -36.24%, smaller than the maximum SCHM drawdown of -42.43%. Use the drawdown chart below to compare losses from any high point for USMF and SCHM. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-8.31%
-14.87%
USMF
SCHM

Volatility

USMF vs. SCHM - Volatility Comparison

The current volatility for WisdomTree US Multifactor Fund (USMF) is 11.26%, while Schwab US Mid-Cap ETF (SCHM) has a volatility of 14.84%. This indicates that USMF experiences smaller price fluctuations and is considered to be less risky than SCHM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
11.26%
14.84%
USMF
SCHM