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.'

• Looking at the total return, or performance of 64.7% 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 (84%)
• Compared with SPY (81.3%) in the period of the last 3 years, the total return of 53.8% 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.'

• Looking at the annual return (CAGR) of 10.6% 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 (13%)
• Compared with SPY (22%) in the period of the last 3 years, the annual return (CAGR) of 15.5% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 16.9% in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.2%)
• Compared with SPY (15.4%) in the period of the last 3 years, the 30 days standard deviation of 15.9% is greater, thus worse.

DownVol:

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

• The downside volatility over 5 years of WisdomTree Europe Hedged Equity Fund is 11.5%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 10.6% is higher, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of 0.48 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 (0.61)
• Looking at risk / return profile (Sharpe) in of 0.82 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).

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.'

• Looking at the ratio of annual return and downside deviation of 0.7 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 (0.89)
• During the last 3 years, the ratio of annual return and downside deviation is 1.22, which is smaller, thus worse than the value of 1.9 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.'

• Compared with the benchmark SPY (8.46 ) in the period of the last 5 years, the Ulcer Index of 6.87 of WisdomTree Europe Hedged Equity Fund is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 4.11 , which is larger, thus worse than the value of 3.37 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 drop from peak to valley of -22.2 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -15.9 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 279 days of WisdomTree Europe Hedged Equity Fund is lower, thus better.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 208 days is higher, 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 below previous high of 65 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 44 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18 days).