VanEck Morningstar Wide Moat ETF (MOAT)

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 52.2% in the last 5 years of VanEck Morningstar Wide Moat ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80%)
• During the last 3 years, the total return, or increase in value is 49.5%, which is lower, thus worse than the value of 78.8% 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.'

• Looking at the annual performance (CAGR) of 8.8% in the last 5 years of VanEck Morningstar Wide Moat ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.5%)
• Looking at annual performance (CAGR) in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.5%).

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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the 30 days standard deviation of 18% of VanEck Morningstar Wide Moat ETF is larger, thus worse.
• During the last 3 years, the volatility is 15.7%, which is greater, thus worse than the value of 15.1% 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 (11.7%) in the period of the last 5 years, the downside deviation of 12.3% of VanEck Morningstar Wide Moat ETF is greater, thus worse.
• Looking at downside risk in of 10.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.1%).

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.'

• The risk / return profile (Sharpe) over 5 years of VanEck Morningstar Wide Moat ETF is 0.35, which is smaller, thus worse compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (1.26) in the period of the last 3 years, the Sharpe Ratio of 0.76 is lower, 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 (0.86) in the period of the last 5 years, the downside risk / excess return profile of 0.51 of VanEck Morningstar Wide Moat ETF is lower, thus worse.
• Compared with SPY (1.89) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.14 is lower, thus worse.

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 (8.42 ) in the period of the last 5 years, the Downside risk index of 7.06 of VanEck Morningstar Wide Moat ETF is lower, thus better.
• Compared with SPY (3.39 ) in the period of the last 3 years, the Ulcer Index of 4.85 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -24 days in the last 5 years of VanEck Morningstar Wide Moat ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -21.4 days, which is lower, thus worse than the value of -18.8 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days under water over 5 years of VanEck Morningstar Wide Moat ETF is 393 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 152 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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.'

• The average days below previous high over 5 years of VanEck Morningstar Wide Moat ETF is 89 days, which is smaller, thus better compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (19 days) in the period of the last 3 years, the average days below previous high of 35 days is larger, thus worse.