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

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.


-0.50.00.51.00.9

Performance

USMF vs. VFMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree US Multifactor Fund (USMF) and Vanguard U.S. Multifactor ETF (VFMF). The values are adjusted to include any dividend payments, if applicable.

70.00%80.00%90.00%100.00%110.00%JulyAugustSeptemberOctoberNovemberDecember
97.87%
91.75%
USMF
VFMF

Key characteristics

Sharpe Ratio

USMF:

2.11

VFMF:

1.09

Sortino Ratio

USMF:

2.91

VFMF:

1.60

Omega Ratio

USMF:

1.38

VFMF:

1.20

Calmar Ratio

USMF:

3.77

VFMF:

1.94

Martin Ratio

USMF:

11.34

VFMF:

5.80

Ulcer Index

USMF:

1.98%

VFMF:

2.89%

Daily Std Dev

USMF:

10.65%

VFMF:

15.38%

Max Drawdown

USMF:

-36.24%

VFMF:

-41.34%

Current Drawdown

USMF:

-4.67%

VFMF:

-7.10%

Returns By Period

In the year-to-date period, USMF achieves a 20.97% return, which is significantly higher than VFMF's 15.77% return.


USMF

YTD

20.97%

1M

-2.72%

6M

10.72%

1Y

21.03%

5Y*

11.19%

10Y*

N/A

VFMF

YTD

15.77%

1M

-4.74%

6M

8.34%

1Y

15.42%

5Y*

12.05%

10Y*

N/A

Compare stocks, funds, or ETFs

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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.


USMF
WisdomTree US Multifactor Fund
Expense ratio chart for USMF: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
Expense ratio chart for VFMF: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

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.


Sharpe ratio
The chart of Sharpe ratio for USMF, currently valued at 2.11, compared to the broader market0.002.004.002.111.09
The chart of Sortino ratio for USMF, currently valued at 2.91, compared to the broader market-2.000.002.004.006.008.0010.002.911.60
The chart of Omega ratio for USMF, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.20
The chart of Calmar ratio for USMF, currently valued at 3.77, compared to the broader market0.005.0010.0015.003.771.94
The chart of Martin ratio for USMF, currently valued at 11.34, compared to the broader market0.0020.0040.0060.0080.00100.0011.345.80
USMF
VFMF

The current USMF Sharpe Ratio is 2.11, which is higher than the VFMF Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of USMF and VFMF, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.11
1.09
USMF
VFMF

Dividends

USMF vs. VFMF - Dividend Comparison

USMF's dividend yield for the trailing twelve months is around 0.88%, less than VFMF's 1.14% yield.


TTM2023202220212020201920182017
USMF
WisdomTree US Multifactor Fund
0.88%1.33%1.74%1.42%1.33%1.38%1.45%0.67%
VFMF
Vanguard U.S. Multifactor ETF
1.14%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.67%
-7.10%
USMF
VFMF

Volatility

USMF vs. VFMF - Volatility Comparison

The current volatility for WisdomTree US Multifactor Fund (USMF) is 4.05%, while Vanguard U.S. Multifactor ETF (VFMF) has a volatility of 4.73%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.05%
4.73%
USMF
VFMF
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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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