Description

WisdomTree International Hedged Quality Dividend Growth Fund ETF

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:
  • Looking at the total return, or performance of 24.9% 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 (46.1%)
  • Looking at total return, or performance in of 13.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Compared with the benchmark SPY (7.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.5% of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus worse.
  • Compared with SPY (7.3%) in the period of the last 3 years, the annual return (CAGR) of 4.4% is smaller, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.3%) in the period of the last 5 years, the volatility of 17.5% of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
  • Looking at 30 days standard deviation in of 18.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (20.8%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:
  • The downside volatility over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 13.1%, which is lower, thus better compared to the benchmark SPY (13.4%) in the same period.
  • During the last 3 years, the downside risk is 14%, which is lower, thus better than the value of 15.4% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.29) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.12 of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus worse.
  • During the last 3 years, the Sharpe Ratio is 0.1, which is smaller, thus worse than the value of 0.23 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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.16 in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.4)
  • Compared with SPY (0.31) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.13 is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 5.94 in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (5.27 )
  • Compared with SPY (6.08 ) in the period of the last 3 years, the Ulcer Ratio of 6.08 is greater, thus worse.

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:
  • The maximum drop from peak to valley over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is -29.2 days, which is larger, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -29.2 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 450 days of WisdomTree International Hedged Quality Dividend Growth Fund is higher, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 160 days is greater, 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.'

Which means for our asset as example:
  • The average days under water over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 110 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 37 days is greater, 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.