WisdomTree Europe Hedged Equity Fund (HEDJ)

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 Europe Hedged Equity Fund is 59.3%, which is larger, thus better compared to the benchmark SPY (57.1%) in the same period.
• During the last 3 years, the total return is 49.8%, which is greater, thus better than the value of 32% from the benchmark.

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.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual return (CAGR) of 9.8% of WisdomTree Europe Hedged Equity Fund is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (9.7%).

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 Europe Hedged Equity Fund is 21.5%, which is greater, thus worse compared to the benchmark SPY (21.5%) in the same period.
• Compared with SPY (17.9%) in the period of the last 3 years, the volatility of 17.2% is smaller, thus better.

DownVol:

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

• The downside deviation over 5 years of WisdomTree Europe Hedged Equity Fund is 15.8%, which is greater, thus worse compared to the benchmark SPY (15.5%) in the same period.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside volatility of 11.6% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of WisdomTree Europe Hedged Equity Fund is 0.34, which is higher, thus better compared to the benchmark SPY (0.32) in the same period.
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.7 is larger, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of WisdomTree Europe Hedged Equity Fund is 0.46, which is greater, thus better compared to the benchmark SPY (0.45) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.03 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.58).

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.'

• Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Ulcer Ratio of 9.01 of WisdomTree Europe Hedged Equity Fund is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 7.1 is smaller, thus better.

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.'

• Looking at the maximum reduction from previous high of -38.2 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -20 days, which is larger, thus better than the value of -24.5 days from the benchmark.

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.'

• The maximum time in days below previous high water mark over 5 years of WisdomTree Europe Hedged Equity Fund is 268 days, which is lower, thus better compared to the benchmark SPY (439 days) in the same period.
• Compared with SPY (439 days) in the period of the last 3 years, the maximum days below previous high of 268 days is lower, thus better.

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.'

• The average days under water over 5 years of WisdomTree Europe Hedged Equity Fund is 68 days, which is lower, thus better compared to the benchmark SPY (106 days) in the same period.
• During the last 3 years, the average days below previous high is 64 days, which is lower, thus better than the value of 149 days from the benchmark.