VanEck Vectors Gold Miners ETF (GDX)

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.'

• The total return, or performance over 5 years of VanEck Vectors Gold Miners ETF is 45.5%, which is lower, thus worse compared to the benchmark SPY (129.1%) in the same period.
• Looking at total return, or performance in of 65% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.3%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark SPY (18.1%) in the period of the last 5 years, the annual return (CAGR) of 7.8% of VanEck Vectors Gold Miners ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 18.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19.7%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The volatility over 5 years of VanEck Vectors Gold Miners ETF is 36.7%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 41.6% is larger, thus worse.

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 Gold Miners ETF is 25.5%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 28.7% is greater, 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 risk / return profile (Sharpe) over 5 years of VanEck Vectors Gold Miners ETF is 0.14, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
• Looking at Sharpe Ratio in of 0.38 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.76).

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.'

• The excess return divided by the downside deviation over 5 years of VanEck Vectors Gold Miners ETF is 0.21, which is lower, thus worse compared to the benchmark SPY (1.15) in the same period.
• Looking at excess return divided by the downside deviation in of 0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.05).

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.'

• Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Downside risk index of 16 of VanEck Vectors Gold Miners ETF is greater, thus worse.
• Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.38 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -38.8 days of VanEck Vectors Gold Miners ETF is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -38.8 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of VanEck Vectors Gold Miners ETF is 595 days, which is higher, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 302 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 time in days below previous high water mark of 191 days in the last 5 years of VanEck Vectors Gold Miners ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
• Looking at average days under water in of 82 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (25 days).