Description

VanEck Vectors Junior Gold Miners ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return of 41.9% 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 (88.1%)
  • Looking at total return, or increase in value in of -16.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26.1%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 7.3% 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 (13.5%)
  • Looking at annual return (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 (8.1%).

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of VanEck Vectors Junior Gold Miners ETF is 47.3%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • Looking at historical 30 days volatility in of 38.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 32.5% of VanEck Vectors Junior Gold Miners ETF is larger, thus worse.
  • Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 26% is larger, 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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of return and volatility (Sharpe) of 0.1 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 (0.52)
  • During the last 3 years, the risk / return profile (Sharpe) is -0.22, which is lower, thus worse than the value of 0.32 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.73) in the period of the last 5 years, the excess return divided by the downside deviation of 0.15 of VanEck Vectors Junior Gold Miners ETF is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is -0.32, which is lower, thus worse than the value of 0.46 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Index of 31 of VanEck Vectors Junior Gold Miners ETF is higher, thus worse.
  • Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 30 is larger, thus worse.

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -57.8 days in the last 5 years of VanEck Vectors Junior Gold Miners ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -51.8 days is smaller, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 929 days of VanEck Vectors Junior Gold Miners ETF is larger, thus worse.
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 722 days is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days below previous high of 360 days of VanEck Vectors Junior Gold Miners ETF is higher, thus worse.
  • During the last 3 years, the average days under water is 351 days, which is larger, thus worse than the value of 179 days from the benchmark.

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 Junior Gold Miners 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.