Description

The investment seeks to track the price and yield performance, before fees and expenses, of the WisdomTree Europe Hedged Equity Index. The fund invests at least 95% of its total assets (exclusive of collateral held from securities lending) in component securities of the index and investments that have economic characteristics that are substantially identical to the economic characteristics of such component securities. The index provides exposure to European equity securities, particularly shares of European exporters, while at the same time neutralizing exposure to fluctuations between the value of the U.S. dollar and the euro. The fund is non-diversified.

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (106.8%) in the period of the last 5 years, the total return of 46.5% of WisdomTree Europe Hedged Equity Fund is smaller, thus worse.
  • Looking at total return, or performance in of 36.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (71.9%).

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:
  • Looking at the annual return (CAGR) of 7.9% 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 (15.7%)
  • During the last 3 years, the annual return (CAGR) is 10.9%, which is smaller, thus worse than the value of 19.8% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.9%) in the period of the last 5 years, the 30 days standard deviation of 19.4% of WisdomTree Europe Hedged Equity Fund is higher, thus worse.
  • Compared with SPY (21.9%) in the period of the last 3 years, the 30 days standard deviation of 22.7% is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the downside risk of 14.7% 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 (13.8%)
  • During the last 3 years, the downside deviation is 17.4%, which is larger, thus worse than the value of 15.9% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.28 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 (0.69)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.37, which is smaller, thus worse than the value of 0.79 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.95) in the period of the last 5 years, the downside risk / excess return profile of 0.37 of WisdomTree Europe Hedged Equity Fund is smaller, thus worse.
  • Compared with SPY (1.09) in the period of the last 3 years, the downside risk / excess return profile of 0.48 is lower, thus worse.

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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of WisdomTree Europe Hedged Equity Fund is 8.05 , which is larger, thus worse compared to the benchmark SPY (5.61 ) in the same period.
  • Looking at Downside risk index in of 9.32 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.08 ).

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.'

Using this definition on our asset we see for example:
  • 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)
  • Looking at maximum drop from peak to valley in of -38.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of WisdomTree Europe Hedged Equity Fund is 269 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 269 days, which is higher, thus worse than the value of 119 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.'

Which means for our asset as example:
  • Looking at the average days below previous high of 69 days in the last 5 years of WisdomTree Europe Hedged Equity Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
  • Looking at average days below previous high in of 65 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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.