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CEW vs. IFC.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CEW and IFC.TO is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

CEW vs. IFC.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Emerging Currency Strategy Fund (CEW) and Intact Financial Corporation (IFC.TO). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
6.39%
818.07%
CEW
IFC.TO

Key characteristics

Sharpe Ratio

CEW:

0.50

IFC.TO:

2.02

Sortino Ratio

CEW:

0.73

IFC.TO:

3.02

Omega Ratio

CEW:

1.09

IFC.TO:

1.38

Calmar Ratio

CEW:

0.18

IFC.TO:

4.47

Martin Ratio

CEW:

1.51

IFC.TO:

10.66

Ulcer Index

CEW:

1.91%

IFC.TO:

3.04%

Daily Std Dev

CEW:

5.84%

IFC.TO:

16.00%

Max Drawdown

CEW:

-27.80%

IFC.TO:

-53.53%

Current Drawdown

CEW:

-13.01%

IFC.TO:

0.00%

Returns By Period

In the year-to-date period, CEW achieves a 0.61% return, which is significantly lower than IFC.TO's 36.63% return. Over the past 10 years, CEW has underperformed IFC.TO with an annualized return of 0.42%, while IFC.TO has yielded a comparatively higher 15.81% annualized return.


CEW

YTD

0.61%

1M

-0.22%

6M

1.97%

1Y

2.63%

5Y (annualized)

0.57%

10Y (annualized)

0.42%

IFC.TO

YTD

36.63%

1M

3.00%

6M

21.22%

1Y

33.18%

5Y (annualized)

17.75%

10Y (annualized)

15.81%

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Risk-Adjusted Performance

CEW vs. IFC.TO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Emerging Currency Strategy Fund (CEW) and Intact Financial Corporation (IFC.TO). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for CEW, currently valued at 0.33, compared to the broader market0.002.004.000.331.61
The chart of Sortino ratio for CEW, currently valued at 0.50, compared to the broader market-2.000.002.004.006.008.0010.0012.000.502.38
The chart of Omega ratio for CEW, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.30
The chart of Calmar ratio for CEW, currently valued at 0.12, compared to the broader market0.005.0010.0015.000.123.30
The chart of Martin ratio for CEW, currently valued at 0.99, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.998.05
CEW
IFC.TO

The current CEW Sharpe Ratio is 0.50, which is lower than the IFC.TO Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of CEW and IFC.TO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.33
1.61
CEW
IFC.TO

Dividends

CEW vs. IFC.TO - Dividend Comparison

CEW's dividend yield for the trailing twelve months is around 1.99%, more than IFC.TO's 1.72% yield.


TTM20232022202120202019201820172016201520142013
CEW
WisdomTree Emerging Currency Strategy Fund
1.99%2.00%0.80%0.00%0.64%1.90%1.87%0.00%0.00%0.00%0.12%0.00%
IFC.TO
Intact Financial Corporation
1.72%2.16%2.05%2.07%2.20%2.16%2.82%2.44%2.41%2.39%2.29%2.54%

Drawdowns

CEW vs. IFC.TO - Drawdown Comparison

The maximum CEW drawdown since its inception was -27.80%, smaller than the maximum IFC.TO drawdown of -53.53%. Use the drawdown chart below to compare losses from any high point for CEW and IFC.TO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.01%
-1.48%
CEW
IFC.TO

Volatility

CEW vs. IFC.TO - Volatility Comparison

The current volatility for WisdomTree Emerging Currency Strategy Fund (CEW) is 1.77%, while Intact Financial Corporation (IFC.TO) has a volatility of 3.81%. This indicates that CEW experiences smaller price fluctuations and is considered to be less risky than IFC.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.77%
3.81%
CEW
IFC.TO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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