USMF vs. VOO
Compare and contrast key facts about WisdomTree US Multifactor Fund (USMF) and Vanguard S&P 500 ETF (VOO).
USMF and VOO 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. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010. Both USMF and VOO 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 VOO.
Performance
USMF vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, USMF achieves a 24.34% return, which is significantly lower than VOO's 26.16% return.
USMF
24.34%
4.81%
14.53%
30.88%
12.35%
N/A
VOO
26.16%
1.77%
13.62%
32.33%
15.68%
13.18%
Key characteristics
| USMF | VOO | |
|---|---|---|
| Sharpe Ratio | 3.08 | 2.70 |
| Sortino Ratio | 4.28 | 3.60 |
| Omega Ratio | 1.55 | 1.50 |
| Calmar Ratio | 5.64 | 3.90 |
| Martin Ratio | 17.24 | 17.65 |
| Ulcer Index | 1.84% | 1.86% |
| Daily Std Dev | 10.31% | 12.19% |
| Max Drawdown | -36.24% | -33.99% |
| Current Drawdown | -0.15% | -0.86% |
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USMF vs. VOO - Expense Ratio Comparison
USMF has a 0.28% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between USMF and VOO 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.
Risk-Adjusted Performance
USMF vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree US Multifactor Fund (USMF) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
USMF's dividend yield for the trailing twelve months is around 1.20%, less than VOO's 1.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
USMF WisdomTree US Multifactor Fund | 1.20% | 1.33% | 1.74% | 1.42% | 1.33% | 1.38% | 1.45% | 0.67% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
USMF vs. VOO - Drawdown Comparison
The maximum USMF drawdown since its inception was -36.24%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for USMF and VOO. For additional features, visit the drawdowns tool.
Volatility
USMF vs. VOO - Volatility Comparison
WisdomTree US Multifactor Fund (USMF) and Vanguard S&P 500 ETF (VOO) have volatilities of 3.93% and 3.99%, 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.