USMF vs. VFMF
Compare and contrast key facts about WisdomTree US Multifactor Fund (USMF) and Vanguard U.S. Multifactor ETF (VFMF).
USMF and VFMF 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. VFMF is managed by Vanguard. It was launched on Feb 13, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: USMF or VFMF.
Performance
USMF vs. VFMF - Performance Comparison
Returns By Period
In the year-to-date period, USMF achieves a 24.34% return, which is significantly higher than VFMF's 21.52% return.
USMF
24.34%
4.81%
14.53%
30.88%
12.35%
N/A
VFMF
21.52%
4.74%
12.86%
32.18%
14.05%
N/A
Key characteristics
| USMF | VFMF | |
|---|---|---|
| Sharpe Ratio | 3.08 | 2.13 |
| Sortino Ratio | 4.28 | 3.00 |
| Omega Ratio | 1.55 | 1.38 |
| Calmar Ratio | 5.64 | 3.79 |
| Martin Ratio | 17.24 | 12.08 |
| Ulcer Index | 1.84% | 2.71% |
| Daily Std Dev | 10.31% | 15.35% |
| Max Drawdown | -36.24% | -41.34% |
| Current Drawdown | -0.15% | -1.12% |
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USMF vs. VFMF - Expense Ratio Comparison
USMF has a 0.28% expense ratio, which is higher than VFMF's 0.18% expense ratio.
Correlation
The correlation between USMF and VFMF is 0.90, 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.
Risk-Adjusted Performance
USMF vs. VFMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Multifactor Fund (USMF) and Vanguard U.S. Multifactor ETF (VFMF). 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. VFMF - Dividend Comparison
USMF's dividend yield for the trailing twelve months is around 1.20%, less than VFMF's 1.49% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
USMF WisdomTree US Multifactor Fund | 1.20% | 1.33% | 1.74% | 1.42% | 1.33% | 1.38% | 1.45% | 0.67% |
VFMF Vanguard U.S. Multifactor ETF | 1.49% | 1.78% | 2.21% | 1.39% | 1.56% | 1.61% | 1.22% | 0.00% |
Drawdowns
USMF vs. VFMF - Drawdown Comparison
The maximum USMF drawdown since its inception was -36.24%, smaller than the maximum VFMF drawdown of -41.34%. Use the drawdown chart below to compare losses from any high point for USMF and VFMF. For additional features, visit the drawdowns tool.
Volatility
USMF vs. VFMF - Volatility Comparison
The current volatility for WisdomTree US Multifactor Fund (USMF) is 3.93%, while Vanguard U.S. Multifactor ETF (VFMF) has a volatility of 5.88%. This indicates that USMF experiences smaller price fluctuations and is considered to be less risky than VFMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.