VanEck Vectors Egypt Index ETF (EGPT)

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.'

• Looking at the total return of -96.5% in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (105.2%)
• Compared with SPY (88.7%) in the period of the last 3 years, the total return, or increase in value of -96.3% is smaller, thus worse.

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 return (CAGR) of -100% in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.5%)
• Compared with SPY (23.7%) in the period of the last 3 years, the annual performance (CAGR) of -100% is smaller, thus worse.

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.'

• Looking at the historical 30 days volatility of 187.6% in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.2%)
• During the last 3 years, the volatility is 188.7%, which is larger, thus worse than the value of 16.2% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside risk of 186.5% of VanEck Vectors Egypt Index ETF is greater, thus worse.
• Looking at downside deviation in of 188.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10.6%).

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.'

• Looking at the Sharpe Ratio of -0.55 in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.75)
• During the last 3 years, the risk / return profile (Sharpe) is -0.54, which is lower, thus worse than the value of 1.31 from the benchmark.

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.'

• Looking at the excess return divided by the downside deviation of -0.55 in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.1)
• Compared with SPY (2.01) in the period of the last 3 years, the downside risk / excess return profile of -0.54 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Index of 93 of VanEck Vectors Egypt Index ETF is higher, thus worse.
• Looking at Ulcer Ratio in of 95 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (3.62 ).

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.'

• Looking at the maximum DrawDown of -96.7 days in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -96.4 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum time in days below previous high water mark over 5 years of VanEck Vectors Egypt Index ETF is 75 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 72 days, which is lower, thus better than the value of 87 days from the benchmark.

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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 38 days of VanEck Vectors Egypt Index ETF is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 37 days, which is greater, thus worse than the value of 21 days from the benchmark.