VanEck Morningstar Wide Moat ETF (MOAT)

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.'

• Looking at the total return, or performance of 84.4% 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 (80%)
• During the last 3 years, the total return is 35%, which is greater, thus better than the value of 31.8% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual return (CAGR) over 5 years of VanEck Morningstar Wide Moat ETF is 13%, which is larger, thus better compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 10.5%, which is higher, thus better than the value of 9.7% 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.'

• The 30 days standard deviation over 5 years of VanEck Morningstar Wide Moat ETF is 22.4%, which is greater, thus worse compared to the benchmark SPY (21.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 19.2% is greater, thus worse.

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 risk over 5 years of VanEck Morningstar Wide Moat ETF is 15.7%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
• Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 13% is greater, thus worse.

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.'

• Compared with the benchmark SPY (0.47) in the period of the last 5 years, the Sharpe Ratio of 0.47 of VanEck Morningstar Wide Moat ETF is larger, thus better.
• Looking at ratio of return and volatility (Sharpe) in of 0.42 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.41).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of VanEck Morningstar Wide Moat ETF is 0.67, which is greater, thus better compared to the benchmark SPY (0.66) in the same period.
• During the last 3 years, the downside risk / excess return profile is 0.62, which is greater, thus better than the value of 0.58 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.'

• Compared with the benchmark SPY (9.43 ) in the period of the last 5 years, the Ulcer Ratio of 7.95 of VanEck Morningstar Wide Moat ETF is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 8.21 is lower, 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.3 days of VanEck Morningstar Wide Moat ETF is higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -24 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.'

• The maximum time in days below previous high water mark over 5 years of VanEck Morningstar Wide Moat ETF is 393 days, which is lower, thus better compared to the benchmark SPY (480 days) in the same period.
• Compared with SPY (480 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 393 days is lower, thus better.

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 time in days below previous high water mark of 83 days of VanEck Morningstar Wide Moat ETF is lower, thus better.
• Compared with SPY (174 days) in the period of the last 3 years, the average days below previous high of 122 days is lower, thus better.