Description

The investment seeks to track the price and yield performance of the WisdomTree International Hedged Quality Dividend Growth Index. The fund will invest at least 80% of its total assets in component securities of the index and investments that have economic characteristics that are substantially identical to the economic characteristics of such component securities. The index consists of dividend-paying common stocks with growth characteristics of companies in the industrialized world, excluding Canada and the U.S., while at the same time neutralizing exposure to fluctuations of the value of foreign currencies relative to the USD. It is non-diversified.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • The total return, or performance over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 51.8%, which is smaller, thus worse compared to the benchmark SPY (63%) in the same period.
  • Compared with SPY (33.5%) in the period of the last 3 years, the total return, or increase in value of 28.8% is smaller, thus worse.

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:
  • The annual return (CAGR) over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 8.7%, which is smaller, thus worse compared to the benchmark SPY (10.3%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 8.8%, which is lower, thus worse than the value of 10.1% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 18.1%, which is smaller, thus better compared to the benchmark SPY (21.6%) in the same period.
  • Looking at historical 30 days volatility in of 21% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (25.1%).

DownVol:

'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:
  • Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside risk of 13.3% of WisdomTree International Hedged Quality Dividend Growth Fund is smaller, thus better.
  • During the last 3 years, the downside volatility is 15.3%, which is lower, thus better than the value of 18.1% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.36) in the period of the last 5 years, the Sharpe Ratio of 0.34 of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.3 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.3).

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 0.47, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
  • Looking at excess return divided by the downside deviation in of 0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.42).

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 7.5 , which is lower, thus better compared to the benchmark SPY (8.88 ) in the same period.
  • Looking at Downside risk index in of 8.7 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (11 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -29.2 days of WisdomTree International Hedged Quality Dividend Growth Fund is greater, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -29.2 days is higher, 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 (273 days) in the period of the last 5 years, the maximum days under water of 273 days of WisdomTree International Hedged Quality Dividend Growth Fund is greater, thus worse.
  • Looking at maximum days under water in of 273 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (273 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.'

Using this definition on our asset we see for example:
  • Looking at the average time in days below previous high water mark of 63 days in the last 5 years of WisdomTree International Hedged Quality Dividend Growth Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (57 days)
  • Compared with SPY (73 days) in the period of the last 3 years, the average days below previous high of 80 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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.