VanEck Vectors Coal ETF (KOL)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return of -31.5% of VanEck Vectors Coal ETF is lower, thus worse.
• During the last 3 years, the total return is 37.9%, which is lower, thus worse than the value of 44.5% 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 (10.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -7.3% of VanEck Vectors Coal ETF is lower, thus worse.
• Compared with SPY (13.1%) in the period of the last 3 years, the annual return (CAGR) of 11.3% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of VanEck Vectors Coal ETF is 20.5%, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
• Looking at volatility in of 10.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.7%).

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.'

• The downside deviation over 5 years of VanEck Vectors Coal ETF is 15.4%, which is larger, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Looking at downside volatility in of 7.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13.3%).

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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.48 of VanEck Vectors Coal ETF is lower, thus worse.
• Compared with SPY (0.56) in the period of the last 3 years, the Sharpe Ratio of 0.81 is higher, thus better.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.64 of VanEck Vectors Coal ETF is lower, thus worse.
• Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of 1.22 is greater, thus better.

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.'

• Looking at the Ulcer Ratio of 34 in the last 5 years of VanEck Vectors Coal ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.47 )
• Looking at Ulcer Index in of 2.57 in the period of the last 3 years, we see it is relatively lower, thus better 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 drop from peak to valley over 5 years of VanEck Vectors Coal ETF is -63.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -11.3 days, which is larger, thus better 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 days under water of 1255 days in the last 5 years of VanEck Vectors Coal ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (354 days)
• Looking at maximum time in days below previous high water mark in of 621 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (354 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.'

• Compared with the benchmark SPY (79 days) in the period of the last 5 years, the average days under water of 628 days of VanEck Vectors Coal ETF is larger, thus worse.
• Compared with SPY (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 268 days is larger, thus worse.