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.'

• The total return, or increase in value over 5 years of WisdomTree Europe Hedged Equity Fund is 80.6%, which is lower, thus worse compared to the benchmark SPY (85%) in the same period.
• Compared with SPY (24.7%) in the period of the last 3 years, the total return of 47.6% is larger, thus better.

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.'

• Looking at the annual return (CAGR) of 12.6% 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 (13.1%)
• Looking at annual performance (CAGR) in of 13.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (7.6%).

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 historical 30 days volatility over 5 years of WisdomTree Europe Hedged Equity Fund is 21.1%, which is larger, thus worse compared to the benchmark SPY (20.9%) in the same period.
• Looking at historical 30 days volatility in of 16.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.3%).

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.'

• Looking at the downside risk of 15.5% in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 11.2%, which is lower, thus better than the value of 12.1% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of WisdomTree Europe Hedged Equity Fund is 0.48, which is lower, thus worse compared to the benchmark SPY (0.51) in the same period.
• Compared with SPY (0.3) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.68 is greater, 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.'

• Compared with the benchmark SPY (0.71) in the period of the last 5 years, the excess return divided by the downside deviation of 0.65 of WisdomTree Europe Hedged Equity Fund is lower, thus worse.
• Compared with SPY (0.42) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.01 is greater, thus better.

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.'

• Looking at the Downside risk index of 8.85 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 (9.33 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 7.21 is smaller, 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.'

• 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 lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -20 days is larger, thus better.

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.'

• The maximum days below previous high over 5 years of WisdomTree Europe Hedged Equity Fund is 268 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 268 days, which is lower, thus better than the value of 488 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.'

• The average days under water over 5 years of WisdomTree Europe Hedged Equity Fund is 66 days, which is smaller, thus better compared to the benchmark SPY (123 days) in the same period.
• Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 68 days is lower, thus better.