WisdomTree International Hedged Quality Dividend Growth Fund (IHDG)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 99%, which is smaller, thus worse compared to the benchmark SPY (143%) in the same period.
• Compared with SPY (39%) in the period of the last 3 years, the total return, or increase in value of 29.8% 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.'

• The annual return (CAGR) over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 14.8%, which is smaller, thus worse compared to the benchmark SPY (19.5%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual return (CAGR) of 9.1% is smaller, 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.'

• Looking at the volatility of 16.3% 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 (19.6%)
• Looking at historical 30 days volatility in of 13.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.1%).

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.'

• The downside volatility over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 11.1%, which is lower, thus better compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (12%) in the period of the last 3 years, the downside risk of 9.5% is lower, thus better.

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.'

• Looking at the risk / return profile (Sharpe) of 0.76 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 (0.87)
• During the last 3 years, the Sharpe Ratio is 0.48, which is smaller, thus worse than the value of 0.54 from the benchmark.

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 (1.26) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.1 of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus worse.
• Compared with SPY (0.77) in the period of the last 3 years, the downside risk / excess return profile of 0.7 is lower, 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.'

• Looking at the Downside risk index of 5.93 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 (8.32 )
• Looking at Ulcer Index in of 5.22 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (8.6 ).

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.'

• 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.
• During the last 3 years, the maximum DrawDown is -15.8 days, which is higher, thus better than the value of -22.1 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days below previous high of 329 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 (488 days)
• Looking at maximum days below previous high in of 209 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (325 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.'

• The average time in days below previous high water mark over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 67 days, which is smaller, thus better compared to the benchmark SPY (118 days) in the same period.
• Compared with SPY (90 days) in the period of the last 3 years, the average days under water of 56 days is lower, thus better.