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 -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 (98.3%)
• Compared with SPY (27.2%) in the period of the last 3 years, the total return, or performance of -96.3% 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.'

• Compared with the benchmark SPY (14.7%) in the period of the last 5 years, the annual return (CAGR) of -100% of VanEck Vectors Egypt Index ETF is lower, thus worse.
• Looking at annual return (CAGR) in of -100% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.4%).

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 (20.9%) in the period of the last 5 years, the volatility of 187.6% of VanEck Vectors Egypt Index ETF is larger, thus worse.
• Looking at volatility in of 188.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.7%).

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 (14.9%) in the period of the last 5 years, the downside volatility of 186.5% of VanEck Vectors Egypt Index ETF is larger, thus worse.
• During the last 3 years, the downside volatility is 188.8%, which is higher, thus worse than the value of 12.4% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the risk / return profile (Sharpe) 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 (0.58)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.54, which is lower, thus worse than the value of 0.33 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of VanEck Vectors Egypt Index ETF is -0.55, which is lower, thus worse compared to the benchmark SPY (0.82) in the same period.
• Compared with SPY (0.47) in the period of the last 3 years, the excess return divided by the downside deviation of -0.54 is lower, 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.'

• The Downside risk index over 5 years of VanEck Vectors Egypt Index ETF is 93 , which is greater, thus worse compared to the benchmark SPY (9.32 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 95 , which is greater, thus worse than the value of 10 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.'

• The maximum reduction from previous high over 5 years of VanEck Vectors Egypt Index ETF is -96.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -96.4 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.'

• The maximum days below previous high over 5 years of VanEck Vectors Egypt Index ETF is 75 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 72 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (488 days).

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 (123 days) in the period of the last 5 years, the average days below previous high of 38 days of VanEck Vectors Egypt Index ETF is lower, thus better.
• Looking at average days under water in of 37 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (177 days).