Description

The investment seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of the MVIS® Egypt Index. The fund will normally invest at least 80% of its total assets in securities that comprise the fund's benchmark index. The index includes securities of Egyptian companies. A company is generally considered to be an Egyptian company if it is incorporated in Egypt or is incorporated outside Egypt but has at least 50% of its revenues/related assets in Egypt. Such companies may include small- and medium-capitalization companies. It is non-diversified.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (60.7%) in the period of the last 5 years, the total return, or increase in value of -30.4% of VanEck Vectors Egypt Index ETF is lower, thus worse.
  • Compared with SPY (29.5%) in the period of the last 3 years, the total return, or performance of -37% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of VanEck Vectors Egypt Index ETF is -7%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is -14.2%, which is lower, thus worse than the value of 9% 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the 30 days standard deviation of 23% of VanEck Vectors Egypt Index ETF is greater, thus worse.
  • Looking at historical 30 days volatility in of 24.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24%).

DownVol:

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

Which means for our asset as example:
  • Looking at the downside risk of 16.7% 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 (15.3%)
  • Looking at downside deviation in of 17.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of VanEck Vectors Egypt Index ETF is -0.41, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • Looking at ratio of return and volatility (Sharpe) in of -0.69 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.27).

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of VanEck Vectors Egypt Index ETF is -0.57, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
  • Compared with SPY (0.37) in the period of the last 3 years, the excess return divided by the downside deviation of -0.94 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (7.52 ) in the period of the last 5 years, the Downside risk index of 31 of VanEck Vectors Egypt Index ETF is larger, thus worse.
  • During the last 3 years, the Ulcer Ratio is 23 , which is greater, thus worse than the value of 8.81 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the maximum DrawDown of -56 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 (-33.7 days)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -45.8 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum time in days below previous high water mark of 1106 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 (182 days)
  • During the last 3 years, the maximum days below previous high is 728 days, which is larger, thus worse than the value of 182 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.'

Which means for our asset as example:
  • The average days under water over 5 years of VanEck Vectors Egypt Index ETF is 505 days, which is larger, thus worse compared to the benchmark SPY (45 days) in the same period.
  • Looking at average days under water in of 355 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (43 days).

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 Vectors Egypt Index 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.