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DWMF vs. FLHK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DWMF and FLHK is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

DWMF vs. FLHK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree International Multifactor Fund (DWMF) and Franklin FTSE Hong Kong ETF (FLHK). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DWMF:

1.49

FLHK:

0.31

Sortino Ratio

DWMF:

2.27

FLHK:

0.66

Omega Ratio

DWMF:

1.32

FLHK:

1.09

Calmar Ratio

DWMF:

2.57

FLHK:

0.22

Martin Ratio

DWMF:

8.33

FLHK:

0.68

Ulcer Index

DWMF:

2.39%

FLHK:

12.57%

Daily Std Dev

DWMF:

12.80%

FLHK:

24.10%

Max Drawdown

DWMF:

-29.70%

FLHK:

-41.81%

Current Drawdown

DWMF:

-0.45%

FLHK:

-26.81%

Returns By Period

In the year-to-date period, DWMF achieves a 15.01% return, which is significantly higher than FLHK's 7.54% return.


DWMF

YTD

15.01%

1M

7.25%

6M

14.20%

1Y

18.99%

5Y*

10.48%

10Y*

N/A

FLHK

YTD

7.54%

1M

15.32%

6M

3.09%

1Y

7.46%

5Y*

0.62%

10Y*

N/A

*Annualized

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DWMF vs. FLHK - Expense Ratio Comparison

DWMF has a 0.38% expense ratio, which is higher than FLHK's 0.09% expense ratio.


Risk-Adjusted Performance

DWMF vs. FLHK — Risk-Adjusted Performance Rank

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

DWMF
The Risk-Adjusted Performance Rank of DWMF is 9292
Overall Rank
The Sharpe Ratio Rank of DWMF is 9191
Sharpe Ratio Rank
The Sortino Ratio Rank of DWMF is 9292
Sortino Ratio Rank
The Omega Ratio Rank of DWMF is 9292
Omega Ratio Rank
The Calmar Ratio Rank of DWMF is 9595
Calmar Ratio Rank
The Martin Ratio Rank of DWMF is 9292
Martin Ratio Rank

FLHK
The Risk-Adjusted Performance Rank of FLHK is 4141
Overall Rank
The Sharpe Ratio Rank of FLHK is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of FLHK is 4747
Sortino Ratio Rank
The Omega Ratio Rank of FLHK is 4545
Omega Ratio Rank
The Calmar Ratio Rank of FLHK is 3737
Calmar Ratio Rank
The Martin Ratio Rank of FLHK is 3333
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.

DWMF vs. FLHK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree International Multifactor Fund (DWMF) and Franklin FTSE Hong Kong ETF (FLHK). 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 DWMF Sharpe Ratio is 1.49, which is higher than the FLHK Sharpe Ratio of 0.31. The chart below compares the historical Sharpe Ratios of DWMF and FLHK, 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

DWMF vs. FLHK - Dividend Comparison

DWMF's dividend yield for the trailing twelve months is around 2.87%, less than FLHK's 4.15% yield.


TTM20242023202220212020201920182017
DWMF
WisdomTree International Multifactor Fund
2.87%3.50%4.01%3.41%3.54%2.06%2.77%1.15%0.00%
FLHK
Franklin FTSE Hong Kong ETF
4.15%4.46%5.40%3.85%2.81%3.11%3.00%2.60%0.25%

Drawdowns

DWMF vs. FLHK - Drawdown Comparison

The maximum DWMF drawdown since its inception was -29.70%, smaller than the maximum FLHK drawdown of -41.81%. Use the drawdown chart below to compare losses from any high point for DWMF and FLHK. For additional features, visit the drawdowns tool.


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Volatility

DWMF vs. FLHK - Volatility Comparison


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