WisdomTree International Hedged Quality Dividend Growth Fund (IHDG)

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.'

• Looking at the total return, or increase in value of 68% 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 (87.4%)
• Looking at total return, or increase in value in of 23.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26.8%).

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 10.9% 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 (13.4%)
• Compared with SPY (8.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.2% is lower, thus worse.

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.'

• The 30 days standard deviation 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.
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 14.2% is smaller, 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.'

• The downside volatility over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 12.8%, which is lower, thus better compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the downside volatility is 9.8%, 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 Sharpe Ratio of 0.48 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 (0.52)
• During the last 3 years, the Sharpe Ratio is 0.33, which is higher, thus better than the value of 0.33 from the benchmark.

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 0.66, which is smaller, thus worse compared to the benchmark SPY (0.73) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.48, which is higher, thus better than the value of 0.47 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of WisdomTree International Hedged Quality Dividend Growth Fund is 6.95 , which is lower, thus better compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 7.29 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -29.2 days of WisdomTree International Hedged Quality Dividend Growth Fund is larger, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -19.5 days is greater, thus better.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 329 days of WisdomTree International Hedged Quality Dividend Growth Fund is lower, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 329 days is lower, thus better.

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.'

• 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 smaller, thus better in comparison to the benchmark SPY (122 days)
• Looking at average time in days below previous high water mark in of 91 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (179 days).