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.'

• The total return, or increase in value over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 44%, which is lower, thus worse compared to the benchmark SPY (84.9%) in the same period.
• During the last 3 years, the total return, or performance is 29.3%, which is lower, thus worse than the value of 80.2% from the benchmark.

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.'

• Compared with the benchmark SPY (13.1%) in the period of the last 5 years, the annual performance (CAGR) of 7.6% of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is 9%, which is smaller, thus worse than the value of 21.8% 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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 14.7% of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 13.9% is smaller, thus better.

DownVol:

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

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 10.2% of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus better.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside deviation of 9.6% is lower, thus better.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.35 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 (0.62)
• Compared with SPY (1.27) in the period of the last 3 years, the Sharpe Ratio of 0.47 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.'

• Compared with the benchmark SPY (0.9) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.5 of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus worse.
• Compared with SPY (1.91) in the period of the last 3 years, the excess return divided by the downside deviation of 0.68 is smaller, thus worse.

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.'

• The Downside risk index over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 6.35 , which is lower, thus better compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.5 ) in the period of the last 3 years, the Ulcer Ratio of 3.98 is larger, thus worse.

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.'

• The maximum drop from peak to valley over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is -19.5 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -18.9 days is lower, thus worse.

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.'

• The maximum days under water over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 329 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 156 days, which is greater, thus worse than the value of 87 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 76 days of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 43 days, which is greater, thus worse than the value of 20 days from the benchmark.