Description of VanEck Vectors Agribusiness ETF

VanEck Vectors Agribusiness ETF

Statistics of VanEck Vectors Agribusiness 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (66.2%) in the period of the last 5 years, the total return of 30% of VanEck Vectors Agribusiness ETF is lower, thus worse.
  • Looking at total return, or performance in of 39.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (45.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 5.4% in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
  • During the last 3 years, the annual performance (CAGR) is 11.8%, which is smaller, thus worse than the value of 13.4% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of VanEck Vectors Agribusiness ETF is 13.9%, which is greater, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 13.4%, which is greater, thus worse than the value of 12.5% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 14.8% of VanEck Vectors Agribusiness ETF is greater, thus worse.
  • Looking at downside volatility in of 14.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.1%).

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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of VanEck Vectors Agribusiness ETF is 0.21, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.7 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.87).

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.'

Using this definition on our asset we see for example:
  • 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 Agribusiness ETF is lower, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.64, which is lower, thus worse than the value of 0.77 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of VanEck Vectors Agribusiness ETF is 8.93 , which is larger, 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 4 is smaller, 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.'

Which means for our asset as example:
  • The maximum drop from peak to valley over 5 years of VanEck Vectors Agribusiness ETF is -25.7 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -16.9 days is larger, thus better.

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'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 509 days in the last 5 years of VanEck Vectors Agribusiness ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
  • During the last 3 years, the maximum days below previous high is 163 days, which is larger, thus worse than the value of 131 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average time in days below previous high water mark of 135 days of VanEck Vectors Agribusiness ETF is higher, thus worse.
  • Compared with SPY (34 days) in the period of the last 3 years, the average time in days below previous high water mark of 41 days is higher, thus worse.

Performance of VanEck Vectors Agribusiness ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of VanEck Vectors Agribusiness ETF
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Allocations

Returns of VanEck Vectors Agribusiness ETF (%)

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