VanEck Vectors Egypt Index ETF (EGPT)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return, or performance of -49% of VanEck Vectors Egypt Index ETF is lower, thus worse.
• Compared with SPY (45.7%) in the period of the last 3 years, the total return of -11.5% is lower, 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.'

• The annual return (CAGR) over 5 years of VanEck Vectors Egypt Index ETF is -12.6%, which is smaller, thus worse compared to the benchmark SPY (10.7%) in the same period.
• Looking at annual performance (CAGR) in of -4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (13.4%).

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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the 30 days standard deviation of 26.7% of VanEck Vectors Egypt Index ETF is greater, thus worse.
• Looking at 30 days standard deviation in of 25.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.5%).

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 Egypt Index ETF is 29%, which is larger, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Compared with SPY (14.1%) in the period of the last 3 years, the downside deviation of 28.8% is larger, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of -0.57 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 (0.62)
• Compared with SPY (0.87) in the period of the last 3 years, the Sharpe Ratio of -0.25 is smaller, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of VanEck Vectors Egypt Index ETF is -0.52, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.23, which is lower, thus worse than the value of 0.77 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.'

• The Ulcer Index over 5 years of VanEck Vectors Egypt Index ETF is 47 , which is larger, thus better compared to the benchmark SPY (3.96 ) in the same period.
• Looking at Ulcer Index in of 23 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4.01 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -65.4 days of VanEck Vectors Egypt Index ETF is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -40.1 days, which is smaller, thus worse than the value of -19.3 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) in days.'

• Looking at the maximum time in days below previous high water mark of 1144 days in the last 5 years of VanEck Vectors Egypt Index ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days under water is 433 days, which is larger, thus worse than the value of 131 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 (39 days) in the period of the last 5 years, the average time in days below previous high water mark of 527 days of VanEck Vectors Egypt Index ETF is higher, thus worse.
• Looking at average days below previous high in of 164 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (34 days).