Description

The investment seeks to track the price and yield performance of the WisdomTree International Hedged Quality Dividend Growth Index. The fund will invest at least 80% of its total assets 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 consists of dividend-paying common stocks with growth characteristics of companies in the industrialized world, excluding Canada and the U.S., while at the same time neutralizing exposure to fluctuations of the value of foreign currencies relative to the USD. It 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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 85%, which is lower, thus worse compared to the benchmark SPY (133.2%) in the same period.
  • Compared with SPY (80.4%) in the period of the last 3 years, the total return, or performance of 61.4% 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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of 13.1% in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18.5%)
  • Looking at annual return (CAGR) in of 17.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.8%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 16.3% of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
  • Looking at 30 days standard deviation in of 19.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.4%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 12% in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.6%)
  • Looking at downside risk in of 14.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.2%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 0.65 in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.85)
  • Compared with SPY (0.86) in the period of the last 3 years, the Sharpe Ratio of 0.77 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.18) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.88 of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is 1.05, which is lower, thus worse than the value of 1.19 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Downside risk index of 5.42 of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus better.
  • Looking at Ulcer Ratio in of 5.59 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (6.36 ).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -29.2 days of WisdomTree International Hedged Quality Dividend Growth Fund is greater, thus better.
  • Looking at maximum reduction from previous high in of -29.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 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'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 161 days of WisdomTree International Hedged Quality Dividend Growth Fund is higher, thus worse.
  • Looking at maximum days under water in of 161 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (119 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 37 days in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
  • Compared with SPY (25 days) in the period of the last 3 years, the average days under water of 30 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of WisdomTree International Hedged Quality Dividend Growth 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.