VanEck Vectors-Africa Index ETF (AFK)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.3%) in the period of the last 5 years, the total return of 36.5% of VanEck Vectors-Africa Index ETF is lower, thus worse.
• Looking at total return, or performance in of 94% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (74.8%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual performance (CAGR) of 6.5% in the last 5 years of VanEck Vectors-Africa Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
• Looking at compounded annual growth rate (CAGR) in of 24.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (20.6%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (17.3%) in the period of the last 5 years, the historical 30 days volatility of 22.9% of VanEck Vectors-Africa Index ETF is higher, thus worse.
• Compared with SPY (15.4%) in the period of the last 3 years, the historical 30 days volatility of 24.3% is greater, thus worse.

DownVol:

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

• The downside deviation over 5 years of VanEck Vectors-Africa Index ETF is 16.3%, which is higher, thus worse compared to the benchmark SPY (12%) in the same period.
• Compared with SPY (10.4%) in the period of the last 3 years, the downside risk of 16.9% is greater, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of VanEck Vectors-Africa Index ETF is 0.17, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
• Compared with SPY (1.17) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.92 is smaller, thus worse.

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.'

• The ratio of annual return and downside deviation over 5 years of VanEck Vectors-Africa Index ETF is 0.24, which is lower, thus worse compared to the benchmark SPY (0.7) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.32, which is lower, thus worse than the value of 1.73 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 20 in the last 5 years of VanEck Vectors-Africa Index ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.45 )
• During the last 3 years, the Downside risk index is 6.76 , which is higher, thus worse than the value of 3.21 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -37.6 days of VanEck Vectors-Africa Index ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -19.5 days is lower, thus worse.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 812 days of VanEck Vectors-Africa Index ETF is larger, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 174 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.'

• Looking at the average time in days below previous high water mark of 294 days in the last 5 years of VanEck Vectors-Africa Index ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (117 days)
• During the last 3 years, the average days below previous high is 42 days, which is higher, thus worse than the value of 17 days from the benchmark.