WisdomTree International Hedged Quality Dividend Growth Fund (IHDG)

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 (94.2%) in the period of the last 5 years, the total return, or increase in value of 66% of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus worse.
• During the last 3 years, the total return is 17.2%, which is smaller, thus worse than the value of 27.9% 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 compounded annual growth rate (CAGR) of 10.7% 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 (14.2%)
• During the last 3 years, the annual performance (CAGR) is 5.4%, which is lower, thus worse than the value of 8.6% from the benchmark.

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 volatility over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 17.7%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• Looking at volatility in of 14.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.3%).

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 12.8% of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
• During the last 3 years, the downside risk is 9.9%, which is lower, thus better than the value of 12.1% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.46 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 (0.56)
• Compared with SPY (0.35) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.21 is lower, thus worse.

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.'

• The ratio of annual return and downside deviation over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 0.64, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.3, which is lower, thus worse than the value of 0.5 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 6.95 of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 7.3 is smaller, 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 DrawDown 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.
• Looking at maximum DrawDown in of -19.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 329 days of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
• During the last 3 years, the maximum days below previous high is 329 days, which is smaller, thus better than the value of 488 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 below previous high of 70 days 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 (123 days)
• During the last 3 years, the average days below previous high is 90 days, which is lower, thus better than the value of 180 days from the benchmark.