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, or increase in value of -50.7% 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 (62.4%)
• During the last 3 years, the total return, or increase in value is -1.1%, which is lower, thus worse than the value of 39.3% 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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual return (CAGR) of -13.3% of VanEck Vectors Egypt Index ETF is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is -0.4%, which is smaller, thus worse than the value of 11.7% 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.'

• The 30 days standard deviation over 5 years of VanEck Vectors Egypt Index ETF is 26%, which is larger, thus worse compared to the benchmark SPY (13.5%) in the same period.
• During the last 3 years, the volatility is 19.9%, which is greater, thus worse than the value of 13.2% from the benchmark.

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 (9.8%) in the period of the last 5 years, the downside deviation of 20.2% of VanEck Vectors Egypt Index ETF is larger, thus worse.
• Compared with SPY (9.8%) in the period of the last 3 years, the downside risk of 14.2% is higher, thus worse.

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.'

• The Sharpe Ratio over 5 years of VanEck Vectors Egypt Index ETF is -0.61, which is lower, thus worse compared to the benchmark SPY (0.57) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.69).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the downside risk / excess return profile of -0.79 of VanEck Vectors Egypt Index ETF is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.2, which is smaller, thus worse than the value of 0.94 from the benchmark.

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.'

• The Ulcer Index over 5 years of VanEck Vectors Egypt Index ETF is 44 , which is larger, thus worse compared to the benchmark SPY (3.98 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 18 , which is higher, thus worse than the value of 4.12 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.'

• Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -58.8 days of VanEck Vectors Egypt Index ETF is lower, thus worse.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -33.2 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). 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'

• Looking at the maximum days below previous high of 1239 days 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 (187 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 456 days is larger, 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.'

• Looking at the average days under water of 618 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 (42 days)
• Looking at average days below previous high in of 163 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (37 days).