VanEck Oil Refiners ETF (CRAK)

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.'

• The total return, or increase in value over 5 years of VanEck Oil Refiners ETF is 2.1%, which is lower, thus worse compared to the benchmark SPY (67.8%) in the same period.
• Looking at total return, or increase in value in of 46.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (44.5%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual performance (CAGR) over 5 years of VanEck Oil Refiners ETF is 0.4%, which is smaller, thus worse compared to the benchmark SPY (10.9%) in the same period.
• During the last 3 years, the annual return (CAGR) is 13.5%, which is larger, thus better than the value of 13.1% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of VanEck Oil Refiners ETF is 26.3%, which is higher, thus worse compared to the benchmark SPY (21.4%) in the same period.
• Looking at 30 days standard deviation in of 24.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.8%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside risk of 19.1% of VanEck Oil Refiners ETF is higher, thus worse.
• Looking at downside volatility in of 16.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.08 of VanEck Oil Refiners ETF is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.45 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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 downside risk / excess return profile over 5 years of VanEck Oil Refiners ETF is -0.11, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
• Compared with SPY (0.79) in the period of the last 3 years, the downside risk / excess return profile of 0.66 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Index of 22 in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.46 )
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 11 is larger, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -58.8 days of VanEck Oil Refiners ETF is smaller, thus worse.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -27.3 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.'

• Looking at the maximum time in days below previous high water mark of 918 days in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (352 days)
• Compared with SPY (352 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 245 days is lower, thus better.

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average days below previous high of 367 days of VanEck Oil Refiners ETF is higher, thus worse.
• Compared with SPY (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 71 days is smaller, thus better.