WisdomTree Europe Hedged Equity Fund (HEDJ)

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.'

• Looking at the total return of 95.1% in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (108.3%)
• Looking at total return, or performance in of 46.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (49.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the compounded annual growth rate (CAGR) of 14.3% in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
• Compared with SPY (14.3%) in the period of the last 3 years, the annual return (CAGR) of 13.7% 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.'

• The volatility over 5 years of WisdomTree Europe Hedged Equity Fund is 17.1%, which is smaller, thus better compared to the benchmark SPY (17.9%) in the same period.
• Looking at 30 days standard deviation in of 16.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (18.1%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 11.7% in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.4%)
• Compared with SPY (12.2%) in the period of the last 3 years, the downside volatility of 11.4% is lower, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 0.69 in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
• Compared with SPY (0.65) in the period of the last 3 years, the Sharpe Ratio of 0.67 is greater, thus better.

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.'

• Looking at the downside risk / excess return profile of 1.01 in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.07)
• During the last 3 years, the downside risk / excess return profile is 0.99, which is higher, thus better than the value of 0.97 from the benchmark.

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.'

• The Downside risk index over 5 years of WisdomTree Europe Hedged Equity Fund is 6.81 , which is smaller, thus better compared to the benchmark SPY (8.49 ) in the same period.
• During the last 3 years, the Downside risk index is 5.34 , which is lower, thus better than the value of 5.55 from the benchmark.

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.'

• Looking at the maximum DrawDown of -22.2 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -15.9 days, which is larger, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days under water of 279 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum time in days below previous high water mark is 176 days, which is lower, thus better than the value of 199 days from the benchmark.

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 60 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days under water is 46 days, which is higher, thus worse than the value of 46 days from the benchmark.