WisdomTree US Multifactor (USMF)
52.60
+0.23
(+0.44%)
USD |
BATS |
Nov 25, 16:00
USMF Max Drawdown (5Y): 36.24% for Oct. 31, 2024
Max Drawdown (5Y) Chart
Historical Max Drawdown (5Y) Data
| Date | Value |
|---|---|
| October 31, 2024 | 36.24% |
| September 30, 2024 | 36.24% |
| August 31, 2024 | 36.24% |
| July 31, 2024 | 36.24% |
| June 30, 2024 | 36.24% |
| May 31, 2024 | 36.24% |
| April 30, 2024 | 36.24% |
| March 31, 2024 | 36.24% |
| February 29, 2024 | 36.24% |
| January 31, 2024 | 36.24% |
| December 31, 2023 | 36.24% |
| November 30, 2023 | 36.24% |
| October 31, 2023 | 36.24% |
| September 30, 2023 | 36.24% |
| August 31, 2023 | 36.24% |
| July 31, 2023 | 36.24% |
| June 30, 2023 | 36.24% |
| May 31, 2023 | 36.24% |
| April 30, 2023 | 36.24% |
| March 31, 2023 | 36.24% |
| February 28, 2023 | 36.24% |
| January 31, 2023 | 36.24% |
| December 31, 2022 | 36.24% |
| November 30, 2022 | 36.24% |
| October 31, 2022 | 36.24% |
| Date | Value |
|---|---|
| September 30, 2022 | 36.24% |
| August 31, 2022 | 36.24% |
| July 31, 2022 | 36.24% |
| June 30, 2022 | 36.24% |
| May 31, 2022 | 36.24% |
| April 30, 2022 | 36.24% |
| March 31, 2022 | 36.24% |
| February 28, 2022 | 36.24% |
| January 31, 2022 | 36.24% |
| December 31, 2021 | 36.24% |
| November 30, 2021 | 36.24% |
| October 31, 2021 | 36.24% |
| September 30, 2021 | 36.24% |
| August 31, 2021 | 36.24% |
| July 31, 2021 | 36.24% |
| June 30, 2021 | 36.24% |
| May 31, 2021 | 36.24% |
| April 30, 2021 | 36.24% |
| March 31, 2021 | 36.24% |
| February 28, 2021 | 36.24% |
| January 31, 2021 | 36.24% |
| December 31, 2020 | 36.24% |
| November 30, 2020 | 36.24% |
| October 31, 2020 | 36.24% |
| September 30, 2020 | 36.24% |
Max Drawdown Definition
Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.
Max Drawdown (5Y) Range, Past 5 Years
19.51%
Minimum
Nov 2019
36.24%
Maximum
Mar 2020
35.12%
Average
36.24%
Median
Mar 2020
Max Drawdown (5Y) Benchmarks
| Invesco S&P 500® High Beta ETF | 46.82% |
| Xtrackers Russell US Multifactor ETF | 40.45% |
| Invesco Zacks Mid-Cap ETF | 46.18% |
| Barron's 400 ETF | 41.25% |
| AdvisorShares Focused Equity ETF | 33.82% |
Max Drawdown (5Y) Related Metrics
| Alpha (5Y) | -2.481 |
| Beta (5Y) | 0.8933 |
| Alpha (vs YCharts Benchmark) (5Y) | -2.481 |
| Beta (vs YCharts Benchmark) (5Y) | 0.8933 |
| Annualized Standard Deviation of Monthly Returns (5Y Lookback) | 17.95% |
| Historical Sharpe Ratio (5Y) | 0.5041 |
| Historical Sortino (5Y) | 0.5125 |
| Monthly Value at Risk (VaR) 5% (5Y Lookback) | 7.03% |