Description of WisdomTree Middle East Dividend Fund

WisdomTree Middle East Dividend Fund ETF

Statistics of WisdomTree Middle East Dividend Fund (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:
  • The total return over 5 years of WisdomTree Middle East Dividend Fund is 7.8%, which is lower, thus worse compared to the benchmark SPY (68.2%) in the same period.
  • Compared with SPY (47.7%) in the period of the last 3 years, the total return of 31.3% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual performance (CAGR) of 1.5% of WisdomTree Middle East Dividend Fund is lower, thus worse.
  • Compared with SPY (13.9%) in the period of the last 3 years, the annual return (CAGR) of 9.5% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of WisdomTree Middle East Dividend Fund is 16.6%, which is greater, thus worse compared to the benchmark SPY (13.2%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 15.2%, which is greater, thus worse than the value of 12.4% 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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of WisdomTree Middle East Dividend Fund is 18.2%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • During the last 3 years, the downside deviation is 17%, which is higher, thus worse than the value of 14% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.06 of WisdomTree Middle East Dividend Fund is lower, thus worse.
  • Compared with SPY (0.92) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.46 is smaller, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of WisdomTree Middle East Dividend Fund is -0.05, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.41, which is smaller, thus worse than the value of 0.81 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • Looking at the Downside risk index of 20 in the last 5 years of WisdomTree Middle East Dividend Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (3.95 )
  • Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Ratio of 4 is greater, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -39.4 days of WisdomTree Middle East Dividend Fund is lower, thus worse.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -9.6 days is higher, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 1132 days of WisdomTree Middle East Dividend Fund is higher, thus worse.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum days below previous high of 238 days is greater, thus worse.

AveDuration:

'The Average 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. 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.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of WisdomTree Middle East Dividend Fund is 520 days, which is greater, thus worse compared to the benchmark SPY (39 days) in the same period.
  • During the last 3 years, the average days below previous high is 64 days, which is larger, thus worse than the value of 33 days from the benchmark.

Performance of WisdomTree Middle East Dividend Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of WisdomTree Middle East Dividend Fund
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Allocations

Returns of WisdomTree Middle East Dividend Fund (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of WisdomTree Middle East Dividend Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.