Description

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return of % in the last 5 years of WisdomTree United Kingdom Hedged Equity Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.6%)
  • Looking at total return, or performance in of 18.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (36.7%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of WisdomTree United Kingdom Hedged Equity Fund is %, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 5.9%, which is lower, thus worse than the value of 11% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (19%) in the period of the last 5 years, the 30 days standard deviation of % of WisdomTree United Kingdom Hedged Equity Fund is smaller, thus better.
  • Looking at historical 30 days volatility in of 15.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (22%).

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside volatility of % in the last 5 years of WisdomTree United Kingdom Hedged Equity Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.9%)
  • Looking at downside risk in of 11.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.2%).

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 (0.44) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of of WisdomTree United Kingdom Hedged Equity Fund is lower, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of 0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

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.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of WisdomTree United Kingdom Hedged Equity Fund is , which is lower, thus worse compared to the benchmark SPY (0.6) in the same period.
  • Looking at ratio of annual return and downside deviation in of 0.3 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.53).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.91 ) in the period of the last 5 years, the Ulcer Ratio of of WisdomTree United Kingdom Hedged Equity Fund is lower, thus better.
  • Looking at Ulcer Index in of 6.93 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (7 ).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of days of WisdomTree United Kingdom Hedged Equity Fund is greater, thus better.
  • Looking at maximum DrawDown in of -19.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 days).

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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of WisdomTree United Kingdom Hedged Equity Fund is days, which is smaller, thus better compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 306 days, which is larger, thus worse than the value of 139 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of days in the last 5 years of WisdomTree United Kingdom Hedged Equity Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (45 days)
  • Looking at average time in days below previous high water mark in of 81 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (42 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of WisdomTree United Kingdom Hedged Equity 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.