VanEck Vectors Indonesia Index ETF (IDX)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or increase in value of 14.2% 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 (121.8%)
• During the last 3 years, the total return is -21.7%, which is lower, thus worse than the value of 52.8% 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.'

• The annual performance (CAGR) over 5 years of VanEck Vectors Indonesia Index ETF is 2.7%, which is lower, thus worse compared to the benchmark SPY (17.3%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -7.9%, which is lower, thus worse than the value of 15.3% from the benchmark.

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 (17.9%) in the period of the last 5 years, the 30 days standard deviation of 21.3% of VanEck Vectors Indonesia Index ETF is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 19.8%, which is larger, thus worse than the value of 18.4% from the benchmark.

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 (12.4%) in the period of the last 5 years, the downside volatility of 15.1% of VanEck Vectors Indonesia Index ETF is higher, thus worse.
• Looking at downside volatility in of 14.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

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 risk / return profile (Sharpe) of 0.01 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 (0.83)
• Compared with SPY (0.7) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.53 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.'

• Compared with the benchmark SPY (1.19) in the period of the last 5 years, the downside risk / excess return profile of 0.01 of VanEck Vectors Indonesia Index ETF is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.73, which is lower, thus worse than the value of 1.03 from the benchmark.

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 (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 17 of VanEck Vectors Indonesia Index ETF is larger, thus worse.
• Looking at Ulcer Ratio in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (5.55 ).

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 reduction from previous high of -44.9 days 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 (-24.5 days)
• During the last 3 years, the maximum DrawDown is -42.8 days, which is lower, thus worse 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 759 days of VanEck Vectors Indonesia Index ETF is greater, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 739 days is greater, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 277 days of VanEck Vectors Indonesia Index ETF is larger, thus worse.
• Looking at average time in days below previous high water mark in of 368 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).