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DDWM vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DDWM and VOO is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

DDWM vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Dynamic Currency Hedged International Equity Fund (DDWM) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DDWM:

0.92

VOO:

0.52

Sortino Ratio

DDWM:

1.37

VOO:

0.89

Omega Ratio

DDWM:

1.21

VOO:

1.13

Calmar Ratio

DDWM:

1.19

VOO:

0.57

Martin Ratio

DDWM:

4.98

VOO:

2.18

Ulcer Index

DDWM:

2.95%

VOO:

4.85%

Daily Std Dev

DDWM:

15.66%

VOO:

19.11%

Max Drawdown

DDWM:

-35.00%

VOO:

-33.99%

Current Drawdown

DDWM:

-0.18%

VOO:

-7.67%

Returns By Period

In the year-to-date period, DDWM achieves a 11.92% return, which is significantly higher than VOO's -3.41% return.


DDWM

YTD

11.92%

1M

9.10%

6M

12.08%

1Y

14.24%

5Y*

14.22%

10Y*

N/A

VOO

YTD

-3.41%

1M

3.92%

6M

-5.06%

1Y

9.92%

5Y*

15.85%

10Y*

12.42%

*Annualized

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DDWM vs. VOO - Expense Ratio Comparison

DDWM has a 0.40% expense ratio, which is higher than VOO's 0.03% expense ratio.


Risk-Adjusted Performance

DDWM vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DDWM
The Risk-Adjusted Performance Rank of DDWM is 8383
Overall Rank
The Sharpe Ratio Rank of DDWM is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of DDWM is 8080
Sortino Ratio Rank
The Omega Ratio Rank of DDWM is 8383
Omega Ratio Rank
The Calmar Ratio Rank of DDWM is 8686
Calmar Ratio Rank
The Martin Ratio Rank of DDWM is 8585
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6363
Overall Rank
The Sharpe Ratio Rank of VOO is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6464
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DDWM vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Dynamic Currency Hedged International Equity Fund (DDWM) and Vanguard S&P 500 ETF (VOO). 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.


The current DDWM Sharpe Ratio is 0.92, which is higher than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of DDWM and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DDWM vs. VOO - Dividend Comparison

DDWM's dividend yield for the trailing twelve months is around 2.99%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
DDWM
WisdomTree Dynamic Currency Hedged International Equity Fund
2.99%3.57%4.46%4.28%3.73%3.52%3.63%4.40%2.65%4.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

DDWM vs. VOO - Drawdown Comparison

The maximum DDWM drawdown since its inception was -35.00%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DDWM and VOO. For additional features, visit the drawdowns tool.


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Volatility

DDWM vs. VOO - Volatility Comparison


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