Description

VanEck Oil Refiners ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (67.7%) in the period of the last 5 years, the total return, or performance of 24.9% of VanEck Oil Refiners ETF is lower, thus worse.
  • During the last 3 years, the total return, or performance is 19.5%, which is lower, thus worse than the value of 37% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 4.6% in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.9%)
  • Compared with SPY (11.1%) in the period of the last 3 years, the annual performance (CAGR) of 6.1% is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 26.2% in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
  • Compared with SPY (24.8%) in the period of the last 3 years, the historical 30 days volatility of 30.8% is greater, thus worse.

DownVol:

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

Which means for our asset as example:
  • The downside volatility over 5 years of VanEck Oil Refiners ETF is 19%, which is larger, thus worse compared to the benchmark SPY (15.5%) in the same period.
  • Looking at downside volatility in of 22.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.9%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 0.08 in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
  • Looking at ratio of return and volatility (Sharpe) in of 0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.34).

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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of 0.11 in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.54)
  • Looking at downside risk / excess return profile in of 0.16 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.48).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (8.47 ) in the period of the last 5 years, the Ulcer Ratio of 22 of VanEck Oil Refiners ETF is larger, thus worse.
  • During the last 3 years, the Ulcer Index is 18 , which is larger, thus worse than the value of 10 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -58.8 days in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum drop from peak to valley in of -51 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (231 days) in the period of the last 5 years, the maximum days under water of 918 days of VanEck Oil Refiners ETF is larger, thus worse.
  • Compared with SPY (231 days) in the period of the last 3 years, the maximum days under water of 292 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (54 days) in the period of the last 5 years, the average days under water of 358 days of VanEck Oil Refiners ETF is higher, thus worse.
  • Compared with SPY (58 days) in the period of the last 3 years, the average days below previous high of 88 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of VanEck Oil Refiners ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.