WisdomTree U.S. Earnings 500 Fund

10-Year Study

EPS.US · · US · ETF

Executive Summary: WisdomTree U.S. Earnings 500 Fund has compounded at 14.2% annually over the last 10 years, with a maximum drawdown of 22.8% and an annualized volatility of 11.2%.

1Y CAGR
+23.1%
3Y CAGR
+20.7%
5Y CAGR
+11.8%
10Y CAGR
+14.2%

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 →
22.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.71
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.00
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +32.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -15.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.7-1.0-4.67.7————————3.5%
20253.8-1.2-5.2-2.05.44.92.32.53.01.71.20.217.4%
20241.84.84.0-3.84.32.81.82.11.9-0.46.3-3.324.0%
20236.1-2.72.31.8-0.76.14.1-1.8-3.7-2.88.14.722.8%
2022-4.0-2.93.4-8.41.0-8.47.9-3.5-9.18.65.9-5.2-15.8%
2021-0.82.86.34.41.51.12.12.8-4.85.7-1.55.527.5%
2020-1.6-8.8-14.112.44.41.24.36.5-3.4-2.312.23.912.0%
20198.63.01.24.6-7.77.62.5-2.72.82.73.93.032.5%
20184.7-3.7-2.8-0.62.00.13.72.70.5-5.61.3-9.2-7.5%
20171.24.8-0.20.90.80.92.30.52.02.54.00.922.7%
2016———-0.71.9-0.84.10.80.3-1.25.62.212.7%

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 11.2%. The dominant macroeconomic risk driver is VTI.US, accounting for 76.2% of variance. Idiosyncratic stock-specific factors contribute 1.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019931.301671470925
2016-05-0110121.981923655965
2016-06-0110040.437983958402
2016-07-0110454.220810917743
2016-08-0110535.764750615304
2016-09-0110563.202976071196
2016-10-0110435.568983501098
2016-11-0111023.332768126442
2016-12-0111267.399380327715
2017-01-0111398.681526469667
2017-02-0111951.402483827376
2017-03-0111930.541211289752
2017-04-0112041.835586453533
2017-05-0112140.644027561542
2017-06-0112253.890935622936
2017-07-0112536.237469106307
2017-08-0112602.418057846357
2017-09-0112856.761158982421
2017-10-0113174.97263884821
2017-11-0113700.76919519677
2017-12-0113828.146275543499
2018-01-0114482.450326021612
2018-02-0113948.329813635874
2018-03-0113561.317240351662
2018-04-0113476.43344175029
2018-05-0113744.392890724954
2018-06-0113763.96960214573
2018-07-0114266.438528612316
2018-08-0114648.312857429131
2018-09-0114721.943900646906
2018-10-0113901.571788982576
2018-11-0114086.394442474784
2018-12-0112788.165595342696
2019-01-0113886.67088002713
2019-02-0114307.33895457278
2019-03-0114473.663927982365
2019-04-0115138.39861472929
2019-05-0113977.412277321331
2019-06-0115043.032797414435
2019-07-0115418.176025978963
2019-08-0114997.251039209945
2019-09-0115424.650214007883
2019-10-0115833.96276828059
2019-11-0116459.389884851942
2019-12-0116948.80767037134
2020-01-0116685.524023862006
2020-02-0115221.124350654356
2020-03-0113081.50797198629
2020-04-0114700.979863219933
2020-05-0115343.157656754993
2020-06-0115523.921097117958
2020-07-0116197.95600635087
2020-08-0117255.560865074836
2020-09-0116660.60353819514
2020-10-0116284.27851340311
2020-11-0118273.96091851258
2020-12-0118985.350865023454
2021-01-0118829.353762993334
2021-02-0119363.57704026842
2021-03-0120575.329233014247
2021-04-0121472.055657464072
2021-05-0121785.283040196486
2021-06-0122021.53952080732
2021-07-0122474.270240829515
2021-08-0123103.294128528047
2021-09-0122004.788843843613
2021-10-0123267.974863708067
2021-11-0122928.74796397063
2021-12-0124200.309322316938
2022-01-0123244.03064449
2022-02-0122561.620396775237
2022-03-0123320.898781722237
2022-04-0121358.192160066592
2022-05-0121580.010173724047
2022-06-0119773.917243434607
2022-07-0121344.21613511528
2022-08-0120588.174844182737
2022-09-0118707.21769200335
2022-10-0120310.401348275347
2022-11-0121499.391118030613
2022-12-0120370.98125054594
2023-01-0121610.479963415703
2023-02-0121037.257410633083
2023-03-0121515.627970547583
2023-04-0121909.32026163941
2023-05-0121761.698498091144
2023-06-0123097.89897183728
2023-07-0124042.359687389206
2023-08-0123607.2017634455
2023-09-0122728.9730190783
2023-10-0122102.980695615533
2023-11-0123887.544381586587
2023-12-0125017.238810188108
2024-01-0125459.025069494757
2024-02-0126682.081400068855
2024-03-0127758.235321320117
2024-04-0126696.006042575493
2024-05-0127843.376032144857
2024-06-0128612.77675869262
2024-07-0129118.482779173664
2024-08-0129740.158977283823
2024-09-0130313.895354513177
2024-10-0130197.771029550044
2024-11-0132086.075871317804
2024-12-0131012.850749412955
2025-01-0132182.21242530277
2025-02-0131783.330507298877
2025-03-0130146.131672652722
2025-04-0129535.91375970486
2025-05-0131142.89971688273
2025-06-0132670.653944373367
2025-07-0133420.94040150242
2025-08-0134263.09866970851
2025-09-0135302.41137812855
2025-10-0135901.53068302684
2025-11-0136347.01647835001
2025-12-0136409.60029596288
2026-01-0137036.466120985104
2026-02-0136676.789008267435
2026-03-0134996.58306742919
2026-04-0137678.746679409516
Annual Return Matrix
YearAnnual Return
20170.22727044713500688
2018-0.07520752669792874
20190.3253509695357637
20200.12015849340318208
20210.2746832805129218
2022-0.15823467463862884
20230.2280821675940452
20240.23965921997687345
20250.17401655817313344
20260.0348574654247813
Total Factor Risk
0.11247993896175998
VTI.US Exposure
0.7621137401615011
VEA.US Exposure
-0.0024968252159456765
VWO.US Exposure
0.0010821531272590746
QQQ.US Exposure
0.048964101514813355
VTV.US Exposure
0.26094633019968955
IJR.US Exposure
-0.07761624980886823
QUAL.US Exposure
0.022399753157082404
SHV.US Exposure
-0.000028029375009344174
TLT.US Exposure
-0.015492244491583375
LQD.US Exposure
0.03229150610943827
HYG.US Exposure
0.0015242401389794183
GLD.US Exposure
-0.0005264627824186722
USO.US Exposure
-0.001345310279612326
VNQ.US Exposure
-0.028215771850881657
BTC-USD.CC Exposure
-0.007120346558987556
CPER.US Exposure
0.004629534682686184
VIX.INDX Exposure
-0.006731402920701367
UUP.US Exposure
-0.005589852463311029
TIP.US Exposure
-0.0019054568510936058
Idiosyncratic Exposure
0.013116593506963602
Value Score
42.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
15
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.2%

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 →18.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.25%
Market Cap$380.7B
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
$103
Avg Yield on Cost
1.03%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$102.761.03%Solid

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 →
+4.2%
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 →
+6.4%
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 →
0.0% 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 →
0.94
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is WisdomTree U.S. Earnings 500 Fund a high-risk investment?

WisdomTree U.S. Earnings 500 Fund (EPS.US) has an annualized volatility of 11.2% and experienced a maximum drawdown of 22.8% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, EPS.US has generated a Compound Annual Growth Rate (CAGR) of 14.2%. It has had a positive return in 80% 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.

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