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.'

Applying this definition to our asset in some examples:
  • The total return, or performance over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 45.1%, which is lower, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • During the last 3 years, the total return, or performance is 24.3%, which is smaller, thus worse than the value of 36.8% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (10.7%) in the period of the last 5 years, the annual return (CAGR) of 7.7% of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus worse.
  • Compared with SPY (11%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.5% is lower, 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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 17.6%, which is lower, thus better compared to the benchmark SPY (19%) in the same period.
  • Compared with SPY (22%) in the period of the last 3 years, the historical 30 days volatility of 18.9% is lower, thus better.

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.'

Which means for our asset as example:
  • Looking at the downside volatility of 13.1% in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.9%)
  • Looking at downside deviation in of 14.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.1%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 0.3 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 (0.43)
  • Compared with SPY (0.39) in the period of the last 3 years, the Sharpe Ratio of 0.27 is smaller, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.59) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.4 of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus worse.
  • Compared with SPY (0.53) in the period of the last 3 years, the downside risk / excess return profile of 0.35 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.9 ) in the period of the last 5 years, the Ulcer Ratio of 6.08 of WisdomTree International Hedged Quality Dividend Growth Fund is larger, thus worse.
  • Compared with SPY (6.98 ) in the period of the last 3 years, the Ulcer Ratio of 6.73 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.'

Applying this definition to our asset in some examples:
  • The maximum drop from peak to valley over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is -29.2 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -29.2 days, which is larger, thus better than the value of -33.7 days from the benchmark.

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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 357 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 160 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 days).

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 time in days below previous high water mark over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 82 days, which is greater, thus worse compared to the benchmark SPY (44 days) in the same period.
  • During the last 3 years, the average days under water is 39 days, which is smaller, thus better than the value of 41 days from the benchmark.

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.