VanEck Vectors Junior Gold Miners ETF (GDXJ)

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 (67.9%) in the period of the last 5 years, the total return, or performance of 23.2% of VanEck Vectors Junior Gold Miners ETF is lower, thus worse.
• Looking at total return in of -16.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44.5%).

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.'

• The annual return (CAGR) over 5 years of VanEck Vectors Junior Gold Miners ETF is 4.3%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Looking at annual performance (CAGR) in of -5.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.1%).

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.'

• Looking at the volatility of 46.7% in the last 5 years of VanEck Vectors Junior Gold Miners ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
• During the last 3 years, the 30 days standard deviation is 41.7%, which is greater, thus worse than the value of 18.7% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 32.2% in the last 5 years of VanEck Vectors Junior Gold Miners ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.4%)
• Looking at downside risk in of 28.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (13.3%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.04 in the last 5 years of VanEck Vectors Junior Gold Miners ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.39)
• Compared with SPY (0.56) in the period of the last 3 years, the Sharpe Ratio of -0.2 is smaller, thus worse.

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 Junior Gold Miners ETF is 0.06, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• Looking at excess return divided by the downside deviation in of -0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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.'

• Compared with the benchmark SPY (9.47 ) in the period of the last 5 years, the Downside risk index of 26 of VanEck Vectors Junior Gold Miners ETF is higher, thus worse.
• Looking at Ulcer Ratio in of 32 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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.'

• The maximum DrawDown over 5 years of VanEck Vectors Junior Gold Miners ETF is -57.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -57.8 days, which is lower, thus worse than the value of -24.5 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 710 days in the last 5 years of VanEck Vectors Junior Gold Miners ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (354 days)
• Compared with SPY (354 days) in the period of the last 3 years, the maximum days under water of 710 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.'

• The average days under water over 5 years of VanEck Vectors Junior Gold Miners ETF is 225 days, which is larger, thus worse compared to the benchmark SPY (79 days) in the same period.
• Looking at average days below previous high in of 340 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (102 days).