VanEck Vectors Pharmaceutical ETF (PPH)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or performance over 5 years of VanEck Vectors Pharmaceutical ETF is 37.9%, which is lower, thus worse compared to the benchmark SPY (80.1%) in the same period.
• Compared with SPY (30.8%) in the period of the last 3 years, the total return, or increase in value of 26% is smaller, thus worse.

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 compounded annual growth rate (CAGR) over 5 years of VanEck Vectors Pharmaceutical ETF is 6.7%, which is smaller, thus worse compared to the benchmark SPY (12.5%) in the same period.
• Looking at annual return (CAGR) in of 8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.4%).

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 30 days standard deviation of 18.5% in the last 5 years of VanEck Vectors Pharmaceutical ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.3%)
• Looking at 30 days standard deviation in of 14.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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.'

• Looking at the downside volatility of 13% in the last 5 years of VanEck Vectors Pharmaceutical ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.3%)
• During the last 3 years, the downside deviation is 9.7%, which is lower, thus better than the value of 12.3% from the benchmark.

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 (0.47) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.23 of VanEck Vectors Pharmaceutical 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 greater, thus better in comparison to SPY (0.39).

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 downside risk / excess return profile over 5 years of VanEck Vectors Pharmaceutical ETF is 0.32, which is smaller, thus worse compared to the benchmark SPY (0.66) in the same period.
• Looking at excess return divided by the downside deviation in of 0.57 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.56).

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 Pharmaceutical ETF is 7.22 , which is lower, thus better compared to the benchmark SPY (9.43 ) in the same period.
• Looking at Ulcer Ratio in of 6.65 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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 -29.7 days in the last 5 years of VanEck Vectors Pharmaceutical ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -20.3 days, which is higher, 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). 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'

• Compared with the benchmark SPY (478 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 332 days of VanEck Vectors Pharmaceutical ETF is smaller, thus better.
• Looking at maximum time in days below previous high water mark in of 332 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (478 days).

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.'

• The average days below previous high over 5 years of VanEck Vectors Pharmaceutical ETF is 98 days, which is smaller, thus better compared to the benchmark SPY (118 days) in the same period.
• During the last 3 years, the average days under water is 94 days, which is smaller, thus better than the value of 173 days from the benchmark.