WisdomTree India Earnings Fund (EPI)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return over 5 years of WisdomTree India Earnings Fund is 88%, which is smaller, thus worse compared to the benchmark SPY (94.2%) in the same period.
• Compared with SPY (34.4%) in the period of the last 3 years, the total return of 22.1% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of WisdomTree India Earnings Fund is 13.5%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.9% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of WisdomTree India Earnings Fund is 23.1%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• During the last 3 years, the volatility is 16.6%, which is smaller, thus better than the value of 17.5% from the benchmark.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 17.1% of WisdomTree India Earnings Fund is greater, thus worse.
• Looking at downside volatility in of 12.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.56) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.48 of WisdomTree India Earnings Fund is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.27, which is smaller, thus worse than the value of 0.45 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The downside risk / excess return profile over 5 years of WisdomTree India Earnings Fund is 0.64, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.36 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.64).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 11 in the last 5 years of WisdomTree India Earnings Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (8.87 ) in the period of the last 3 years, the Ulcer Ratio of 8.09 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -44.3 days of WisdomTree India Earnings Fund is smaller, thus worse.
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -19.5 days is larger, thus better.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 446 days in the last 5 years of WisdomTree India Earnings Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (375 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 381 days is larger, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average days under water of 116 days in the last 5 years of WisdomTree India Earnings Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (122 days)
• Looking at average days below previous high in of 116 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (113 days).