VanEck Vectors Indonesia Index ETF (IDX)

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 34.4% in the last 5 years of VanEck Vectors Indonesia Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (128%)
• During the last 3 years, the total return, or increase in value is -10.9%, which is lower, thus worse than the value of 44.9% from the benchmark.

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 (17.9%) in the period of the last 5 years, the annual performance (CAGR) of 6.1% of VanEck Vectors Indonesia Index ETF is lower, thus worse.
• Looking at annual performance (CAGR) in of -3.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.2%).

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 27.7% of VanEck Vectors Indonesia Index ETF is greater, thus worse.
• Looking at volatility in of 32.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (22.9%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside deviation of 20.3% of VanEck Vectors Indonesia Index ETF is higher, thus worse.
• Looking at downside volatility in of 23.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.7%).

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 ratio of return and volatility (Sharpe) of 0.13 in the last 5 years of VanEck Vectors Indonesia Index ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.82)
• Looking at risk / return profile (Sharpe) in of -0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.47).

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 ratio of annual return and downside deviation of 0.18 in the last 5 years of VanEck Vectors Indonesia Index ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.14)
• During the last 3 years, the downside risk / excess return profile is -0.26, which is lower, thus worse than the value of 0.64 from the benchmark.

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 Ratio over 5 years of VanEck Vectors Indonesia Index ETF is 19 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Compared with SPY (7.15 ) in the period of the last 3 years, the Ulcer Index of 24 is larger, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -59.1 days of VanEck Vectors Indonesia Index ETF is lower, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -59.1 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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 751 days of VanEck Vectors Indonesia Index ETF is greater, thus worse.
• Looking at maximum time in days below previous high water mark in of 751 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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 255 days in the last 5 years of VanEck Vectors Indonesia Index ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (33 days)
• Looking at average time in days below previous high water mark in of 376 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).