WisdomTree Emerging Markets Multifactor Fund

10-Year Study

EMMF.US · · US · ETF

Executive Summary: WisdomTree Emerging Markets Multifactor Fund has compounded at 6.5% annually over the last 10 years, with a maximum drawdown of 25.8% and an annualized volatility of 27.3%.

1Y CAGR
+29.3%
3Y CAGR
+18.4%
5Y CAGR
+7.1%
10Y CAGR
+6.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
25.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.22
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.31
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.3%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +21.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -13.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
88%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.75.8-6.9—————————6.1%
20250.7-3.42.51.62.55.4-0.73.14.12.50.21.221.2%
2024-0.24.62.00.02.03.70.60.81.4-3.8-0.9-1.19.4%
20234.9-3.52.21.8-0.24.65.8-3.3-0.6-2.85.55.120.6%
2022-0.1-2.9-3.2-4.21.6-7.20.20.5-6.82.48.9-2.5-13.5%
20213.60.92.71.52.3-1.7-3.23.2-2.90.4-3.02.56.0%
2020-4.9-5.1-13.27.13.83.87.31.1-0.4-0.16.25.69.3%
20195.2-1.10.50.5-4.53.3-3.8-1.6-1.12.5-0.33.22.3%
2018————————0.2-6.72.5-3.2-7.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 27.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 81.5% of variance. Idiosyncratic stock-specific factors contribute 2.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-08-0110000
2018-09-0110016.346487675039
2018-10-019348.21394128766
2018-11-019582.561817690854
2018-12-019275.498591983955
2019-01-019755.71885969988
2019-02-019652.480422790573
2019-03-019705.136365389808
2019-04-019750.125371291904
2019-05-019308.336226516993
2019-06-019617.810438606642
2019-07-019250.47255333102
2019-08-019098.146433668942
2019-09-018997.415422597693
2019-10-019219.129730355284
2019-11-019191.30694749836
2019-12-019487.376075299928
2020-01-019023.454075531381
2020-02-018566.523936272808
2020-03-017432.106623461792
2020-04-017963.343363036687
2020-05-018266.211472437604
2020-06-018577.180496084558
2020-07-019199.552520927362
2020-08-019299.367357173167
2020-09-019257.5608532963
2020-10-019249.60459823323
2020-11-019819.802877753347
2020-12-0110367.67542336921
2021-01-0110743.692859622728
2021-02-0110840.46985302627
2021-03-0111132.826061798405
2021-04-0111304.44007252247
2021-05-0111559.425992361996
2021-06-0111365.196929367745
2021-07-0110996.316012807161
2021-08-0111347.259190680092
2021-09-0111013.241137214058
2021-10-0111053.552829533619
2021-11-0110717.220229140145
2021-12-0110987.009605369749
2022-01-0110977.896076842959
2022-02-0110658.826138949968
2022-03-0110321.722022914015
2022-04-019885.188828453498
2022-05-0110038.816880762259
2022-06-019320.005400609498
2022-07-019340.595224318173
2022-08-019383.896539752343
2022-09-018742.959919762374
2022-10-018953.294371793389
2022-11-019748.14836245805
2022-12-019506.519307178953
2023-01-019974.154225976932
2023-02-019621.330478725456
2023-03-019831.327392662888
2023-04-0110005.159510859083
2023-05-019989.198781005287
2023-06-0110449.552520927364
2023-07-0111052.250896886935
2023-08-0110686.118504802685
2023-09-0110626.663580604096
2023-10-0110332.619681364042
2023-11-0110906.048682637042
2023-12-0111463.516954056244
2024-01-0111445.289897002664
2024-02-0111975.176484203219
2024-03-0112218.637889133204
2024-04-0112223.122323805115
2024-05-0112462.00285460788
2024-06-0112922.260155074646
2024-07-0113006.017822011341
2024-08-0113114.319330324422
2024-09-0113299.724183157812
2024-10-0112800.84288083941
2024-11-0112688.87667322455
2024-12-0112546.628476642365
2025-01-0112633.423986421327
2025-02-0112209.620800061723
2025-03-0112515.18921421132
2025-04-0112713.324075145625
2025-05-0113025.257493345678
2025-06-0113727.384947729815
2025-07-0113625.544882922502
2025-08-0114054.314701230567
2025-09-0114634.54268410292
2025-10-0114997.106816340704
2025-11-0115027.340585580374
2025-12-0115208.502102380126
2026-01-0116380.241484396096
2026-02-0117334.99209196467
2026-03-0116130.222196505038
Annual Return Matrix
YearAnnual Return
20190.022842705566154864
20200.0927863869928287
20210.05973703426368182
2022-0.13474915844864888
20230.20585848338828305
20240.09448335331356361
20250.2121584799209828
20260.060605580215599364
Total Factor Risk
0.27256365209638145
VTI.US Exposure
0.11378197405041479
VEA.US Exposure
0.06656239812463526
VWO.US Exposure
0.07717524945534361
QQQ.US Exposure
-0.039792363504605036
VTV.US Exposure
-0.005782010777046763
IJR.US Exposure
-0.0003945053297187437
QUAL.US Exposure
-0.017281775800333063
SHV.US Exposure
0.815003866828986
TLT.US Exposure
0.014756664849911404
LQD.US Exposure
-0.013359463130519311
HYG.US Exposure
-0.009235285406027699
GLD.US Exposure
-0.003616262867800772
USO.US Exposure
-0.00011434603625850053
VNQ.US Exposure
-0.016013535070913115
BTC-USD.CC Exposure
-0.0010309033697342373
CPER.US Exposure
-0.0012845950455137502
VIX.INDX Exposure
-0.005248867376593034
UUP.US Exposure
-0.0031141790851442687
TIP.US Exposure
0.004776933709610814
Idiosyncratic Exposure
0.024211005781306562
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
27.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-2.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
6.9% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.71
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is WisdomTree Emerging Markets Multifactor Fund a high-risk investment?

WisdomTree Emerging Markets Multifactor Fund (EMMF.US) has an annualized volatility of 27.3% and experienced a maximum drawdown of 25.8% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of EMMF.US?

Over the past 10 years, EMMF.US has generated a Compound Annual Growth Rate (CAGR) of 6.5%. It has had a positive return in 88% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

Run a Full Backtest on WisdomTree Emerging Markets Multifactor Fund

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest