Description of WisdomTree Bloomberg U.S. Dollar Bullish Fund

WisdomTree Bloomberg U.S. Dollar Bullish Fund ETF

Statistics of WisdomTree Bloomberg U.S. Dollar Bullish Fund (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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of WisdomTree Bloomberg U.S. Dollar Bullish Fund is 19%, which is smaller, thus worse compared to the benchmark SPY (68.1%) in the same period.
  • During the last 3 years, the total return, or increase in value is 4.2%, which is smaller, thus worse than the value of 47.1% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 3.5% of WisdomTree Bloomberg U.S. Dollar Bullish Fund is smaller, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of 1.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.8%).

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:
  • Looking at the 30 days standard deviation of 7% in the last 5 years of WisdomTree Bloomberg U.S. Dollar Bullish Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.2%)
  • Looking at historical 30 days volatility in of 6.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.4%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 7.3% of WisdomTree Bloomberg U.S. Dollar Bullish Fund is lower, thus better.
  • Compared with SPY (14%) in the period of the last 3 years, the downside volatility of 6.9% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the Sharpe Ratio of 0.15 of WisdomTree Bloomberg U.S. Dollar Bullish Fund is smaller, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is -0.17, which is lower, thus worse than the value of 0.91 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the excess return divided by the downside deviation of 0.14 of WisdomTree Bloomberg U.S. Dollar Bullish Fund is smaller, thus worse.
  • Compared with SPY (0.8) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.16 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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of WisdomTree Bloomberg U.S. Dollar Bullish Fund is 5.3 , which is higher, thus better compared to the benchmark SPY (3.95 ) in the same period.
  • During the last 3 years, the Ulcer Index is 6.13 , which is greater, thus better than the value of 4 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -12.4 days in the last 5 years of WisdomTree Bloomberg U.S. Dollar Bullish Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum reduction from previous high is -12.4 days, which is larger, thus better than the value of -19.3 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.'

Which means for our asset as example:
  • Looking at the maximum days under water of 553 days in the last 5 years of WisdomTree Bloomberg U.S. Dollar Bullish Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days below previous high in of 553 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (131 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 168 days in the last 5 years of WisdomTree Bloomberg U.S. Dollar Bullish Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
  • Compared with SPY (33 days) in the period of the last 3 years, the average days under water of 218 days is higher, thus worse.

Performance of WisdomTree Bloomberg U.S. Dollar Bullish Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of WisdomTree Bloomberg U.S. Dollar Bullish Fund
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Allocations

Returns of WisdomTree Bloomberg U.S. Dollar Bullish Fund (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of WisdomTree Bloomberg U.S. Dollar Bullish 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.