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 (57.1%) in the period of the last 5 years, the total return, or increase in value of 23.3% of VanEck Vectors Agribusiness ETF is lower, thus worse.
• Looking at total return, or increase in value in of 19% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (32%).

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 (9.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.3% of VanEck Vectors Agribusiness ETF is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 6%, which is smaller, thus worse 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.'

• Looking at the volatility of 21.6% in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the 30 days standard deviation is 18.2%, which is higher, thus worse than the value of 17.9% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside deviation of 15.9% of VanEck Vectors Agribusiness ETF is higher, thus worse.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside deviation of 12.9% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.08 in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.32)
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of 0.19 is smaller, thus worse.

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.'

• Looking at the ratio of annual return and downside deviation of 0.11 in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.45)
• Compared with SPY (0.58) in the period of the last 3 years, the downside risk / excess return profile of 0.27 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.'

• Looking at the Ulcer Index of 12 in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.57 )
• During the last 3 years, the Downside risk index is 13 , which is larger, thus worse than the value of 10 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 drop from peak to valley of -36.8 days in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -28.4 days, which is lower, thus worse 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). 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'

• Looking at the maximum days under water of 365 days in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (439 days)
• During the last 3 years, the maximum days below previous high is 365 days, which is lower, thus better than the value of 439 days from the benchmark.

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 (106 days) in the period of the last 5 years, the average time in days below previous high water mark of 92 days of VanEck Vectors Agribusiness ETF is lower, thus better.
• During the last 3 years, the average days below previous high is 110 days, which is lower, thus better than the value of 149 days from the benchmark.