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.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 35% in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (81.5%)
  • During the last 3 years, the total return, or performance is 21%, which is lower, thus worse than the value of 48.1% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 6.2% in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.7%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 6.6%, which is lower, thus worse than the value of 14% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • Compared with the benchmark SPY (20.5%) in the period of the last 5 years, the volatility of 25.4% of VanEck Oil Refiners ETF is higher, thus worse.
  • Looking at historical 30 days volatility in of 29.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (23.8%).

DownVol:

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

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of VanEck Oil Refiners ETF is 18.4%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
  • Looking at downside risk in of 21.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.15 of VanEck Oil Refiners ETF is lower, thus worse.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.14, which is lower, thus worse than the value of 0.48 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of 0.2 in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.68)
  • Looking at excess return divided by the downside deviation in of 0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.66).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (7.13 ) in the period of the last 5 years, the Ulcer Ratio of 21 of VanEck Oil Refiners ETF is higher, thus worse.
  • During the last 3 years, the Ulcer Ratio is 18 , which is larger, thus worse than the value of 8.25 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -58.8 days in the last 5 years of VanEck Oil Refiners ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -52.9 days is lower, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (150 days) in the period of the last 5 years, the maximum days below previous high of 918 days of VanEck Oil Refiners ETF is larger, thus worse.
  • Compared with SPY (150 days) in the period of the last 3 years, the maximum days under water of 378 days is greater, 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of VanEck Oil Refiners ETF is 362 days, which is higher, thus worse compared to the benchmark SPY (41 days) in the same period.
  • During the last 3 years, the average days below previous high is 120 days, which is higher, thus worse than the value of 36 days from the benchmark.

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.