VanEck Vectors Agribusiness ETF (MOO)

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.'

• Compared with the benchmark SPY (111.4%) in the period of the last 5 years, the total return of 22.4% of VanEck Vectors Agribusiness ETF is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is -11.6%, which is smaller, thus worse than the value of 66.9% 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.'

• Looking at the annual return (CAGR) of 4.1% in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.2%)
• Looking at annual return (CAGR) in of -4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (18.7%).

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.'

• Compared with the benchmark SPY (17.3%) in the period of the last 5 years, the volatility of 17.3% of VanEck Vectors Agribusiness ETF is higher, thus worse.
• Compared with SPY (16.9%) in the period of the last 3 years, the 30 days standard deviation of 16.9% is larger, thus worse.

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.'

• The downside risk over 5 years of VanEck Vectors Agribusiness ETF is 12.2%, which is higher, thus worse compared to the benchmark SPY (11.9%) in the same period.
• Looking at downside volatility in of 12% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.2%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the Sharpe Ratio of 0.09 of VanEck Vectors Agribusiness ETF is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of -0.39 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.96).

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.'

• The ratio of annual return and downside deviation over 5 years of VanEck Vectors Agribusiness ETF is 0.13, which is smaller, thus worse compared to the benchmark SPY (1.15) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is -0.54, which is lower, thus worse than the value of 1.44 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.'

• The Ulcer Index over 5 years of VanEck Vectors Agribusiness ETF is 21 , which is higher, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 17 , which is larger, thus worse than the value of 4.21 from the benchmark.

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 reduction from previous high of -39.5 days in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -30.8 days is lower, thus worse.

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 Vectors Agribusiness ETF is 852 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (97 days) in the period of the last 3 years, the maximum days below previous high of 655 days is higher, 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.'

• Looking at the average time in days below previous high water mark of 314 days in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days below previous high in of 290 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (27 days).