VanEck Vectors Natural Resources ETF (HAP)

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.'

• Looking at the total return of 100.8% in the last 5 years of VanEck Vectors Natural Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (115.2%)
• During the last 3 years, the total return, or increase in value is 11.6%, which is lower, thus worse than the value of 61.2% from the benchmark.

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 (16.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 15% of VanEck Vectors Natural Resources ETF is lower, thus worse.
• Looking at annual return (CAGR) in of 3.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (17.3%).

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.'

• Looking at the historical 30 days volatility of 19.1% in the last 5 years of VanEck Vectors Natural Resources ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.7%)
• During the last 3 years, the 30 days standard deviation is 18.7%, which is larger, thus worse than the value of 17.9% 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.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside volatility of 13.4% of VanEck Vectors Natural Resources ETF is higher, thus worse.
• Compared with SPY (11.9%) in the period of the last 3 years, the downside deviation of 13.5% 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.'

• Looking at the risk / return profile (Sharpe) of 0.66 in the last 5 years of VanEck Vectors Natural Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.8)
• During the last 3 years, the Sharpe Ratio is 0.07, which is lower, thus worse than the value of 0.83 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.'

• Looking at the downside risk / excess return profile of 0.93 in the last 5 years of VanEck Vectors Natural Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.16)
• Looking at ratio of annual return and downside deviation in of 0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.24).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Index over 5 years of VanEck Vectors Natural Resources ETF is 8.94 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Looking at Downside risk index in of 7.05 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.33 ).

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.'

• Looking at the maximum drop from peak to valley of -25.7 days in the last 5 years of VanEck Vectors Natural Resources ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -17 days, which is larger, thus better than the value of -18.8 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 time in days below previous high water mark over 5 years of VanEck Vectors Natural Resources ETF is 788 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 294 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 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.'

• Looking at the average time in days below previous high water mark of 277 days in the last 5 years of VanEck Vectors Natural Resources ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (120 days)
• Compared with SPY (46 days) in the period of the last 3 years, the average days under water of 116 days is greater, thus worse.