Description of VanEck Vectors Coal ETF

VanEck Vectors Coal ETF

Statistics of VanEck Vectors Coal ETF (YTD)

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

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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of VanEck Vectors Coal ETF is -10.5%, which is smaller, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • Looking at total return in of 103.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (45.7%).

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.'

Which means for our asset as example:
  • The annual performance (CAGR) over 5 years of VanEck Vectors Coal ETF is -2.2%, which is smaller, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • During the last 3 years, the annual performance (CAGR) is 26.9%, which is higher, thus better than the value of 13.4% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 23.2% in the last 5 years of VanEck Vectors Coal ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.3%)
  • During the last 3 years, the historical 30 days volatility is 21.5%, which is greater, thus worse than the value of 12.5% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 23.3% of VanEck Vectors Coal ETF is greater, thus worse.
  • Looking at downside risk in of 22.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.1%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the Sharpe Ratio of -0.2 of VanEck Vectors Coal ETF is smaller, thus worse.
  • Compared with SPY (0.87) in the period of the last 3 years, the Sharpe Ratio of 1.13 is greater, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.2 of VanEck Vectors Coal ETF is smaller, thus worse.
  • Looking at downside risk / excess return profile in of 1.07 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.77).

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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of VanEck Vectors Coal ETF is 33 , which is higher, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Downside risk index of 11 is larger, thus better.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -71.1 days of VanEck Vectors Coal ETF is smaller, thus worse.
  • Looking at maximum drop from peak to valley in of -28.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 855 days of VanEck Vectors Coal ETF is higher, thus worse.
  • During the last 3 years, the maximum time in days below previous high water mark is 289 days, which is larger, thus worse than the value of 131 days from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the average days under water of 332 days in the last 5 years of VanEck Vectors Coal ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (39 days)
  • Compared with SPY (34 days) in the period of the last 3 years, the average days under water of 78 days is larger, thus worse.

Performance of VanEck Vectors Coal ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of VanEck Vectors Coal ETF
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Allocations

Returns of VanEck Vectors Coal ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of VanEck Vectors Coal 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.