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.'

• Compared with the benchmark SPY (97.3%) in the period of the last 5 years, the total return of 56.2% of WisdomTree Europe Hedged Equity Fund is lower, thus worse.
• During the last 3 years, the total return, or performance is 35.4%, which is smaller, thus worse than the value of 40.1% from the benchmark.

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 9.3% 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 (14.6%)
• Compared with SPY (12%) in the period of the last 3 years, the annual performance (CAGR) of 10.7% is smaller, 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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the volatility of 20.9% of WisdomTree Europe Hedged Equity Fund is smaller, thus better.
• Looking at volatility in of 16.5% in the period of the last 3 years, we see it is relatively smaller, 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 greater, thus worse in comparison to the benchmark SPY (15%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 11.4% is smaller, 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 0.33 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 (0.58)
• During the last 3 years, the risk / return profile (Sharpe) is 0.5, which is lower, thus worse than the value of 0.55 from the benchmark.

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 excess return divided by the downside deviation of 0.44 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 (0.8)
• Looking at downside risk / excess return profile in of 0.72 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.78).

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 9.66 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.64 ) in the period of the last 3 years, the Downside risk index of 6.56 is lower, 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.'

• The maximum drop from peak to valley over 5 years of WisdomTree Europe Hedged Equity Fund is -38.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.4 days is higher, thus better.

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.'

• Looking at the maximum days below previous high 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 days under water is 230 days, which is lower, thus better than the value of 325 days from the benchmark.

AveDuration:

'The Average 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. 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 87 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 (122 days)
• Compared with SPY (89 days) in the period of the last 3 years, the average days under water of 71 days is smaller, thus better.