WisdomTree United Kingdom Hedged Equity Fund (DXPS)

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.'

• Compared with the benchmark SPY (120.1%) in the period of the last 5 years, the total return, or performance of % of WisdomTree United Kingdom Hedged Equity Fund is lower, thus worse.
• During the last 3 years, the total return, or performance is 17.1%, which is lower, thus worse than the value of 65.1% from the benchmark.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the annual return (CAGR) of % of WisdomTree United Kingdom Hedged Equity Fund is lower, thus worse.
• Compared with SPY (18.3%) in the period of the last 3 years, the annual performance (CAGR) of 5.4% is lower, 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 historical 30 days 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 (17.6%)
• During the last 3 years, the historical 30 days volatility is 15.7%, which is smaller, thus better than the value of 17.5% from the benchmark.

DownVol:

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

• The downside risk over 5 years of WisdomTree United Kingdom Hedged Equity Fund is %, which is lower, thus better compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside deviation is 11.2%, which is lower, thus better than the value of 11.6% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of WisdomTree United Kingdom Hedged Equity Fund is , which is smaller, thus worse compared to the benchmark SPY (0.83) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.18 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.9).

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.'

• Compared with the benchmark SPY (1.21) in the period of the last 5 years, the excess return divided by the downside deviation of of WisdomTree United Kingdom Hedged Equity Fund is smaller, thus worse.
• Compared with SPY (1.36) in the period of the last 3 years, the excess return divided by the downside deviation of 0.26 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of of WisdomTree United Kingdom Hedged Equity Fund is lower, thus better.
• During the last 3 years, the Downside risk index is 6.93 , which is larger, thus worse than the value of 5.31 from the benchmark.

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.'

• The maximum DrawDown over 5 years of WisdomTree United Kingdom Hedged Equity Fund is days, which is smaller, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -19.5 days, which is smaller, thus worse than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum 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 (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 306 days is higher, thus worse.

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 days under water over 5 years of WisdomTree United Kingdom Hedged Equity Fund is days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
• 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 (47 days).