Description

WisdomTree Europe Hedged Equity Fund ETF

Statistics (YTD)

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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of WisdomTree Europe Hedged Equity Fund is -3%, which is lower, thus worse compared to the benchmark SPY (46.1%) in the same period.
  • Looking at total return, or performance in of -8.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (23.5%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (7.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -0.6% of WisdomTree Europe Hedged Equity Fund is lower, thus worse.
  • Compared with SPY (7.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -3.1% 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:
  • Compared with the benchmark SPY (18.3%) in the period of the last 5 years, the volatility of 21% of WisdomTree Europe Hedged Equity Fund is greater, thus worse.
  • Compared with SPY (20.8%) in the period of the last 3 years, the historical 30 days volatility of 21.3% is higher, thus worse.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.4%) in the period of the last 5 years, the downside risk of 16.1% of WisdomTree Europe Hedged Equity Fund is larger, thus worse.
  • Compared with SPY (15.4%) in the period of the last 3 years, the downside deviation of 16.7% is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.29) in the period of the last 5 years, the Sharpe Ratio of -0.15 of WisdomTree Europe Hedged Equity Fund is lower, thus worse.
  • Compared with SPY (0.23) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.26 is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.4) in the period of the last 5 years, the excess return divided by the downside deviation of -0.19 of WisdomTree Europe Hedged Equity Fund is lower, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.33, which is lower, thus worse than the value of 0.31 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of WisdomTree Europe Hedged Equity Fund is 9.7 , which is larger, thus worse compared to the benchmark SPY (5.27 ) in the same period.
  • Compared with SPY (6.08 ) in the period of the last 3 years, the Ulcer Ratio of 7.29 is larger, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -38.2 days of WisdomTree Europe Hedged Equity Fund is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -38.2 days, which is smaller, thus worse than the value of -33.7 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) in days.'

Which means for our asset as example:
  • The maximum days under water over 5 years of WisdomTree Europe Hedged Equity Fund is 475 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark is 202 days, which is greater, thus worse than the value of 139 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.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 125 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (42 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 52 days is higher, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of WisdomTree Europe Hedged Equity 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.