Description of VanEck Vectors Russia ETF

VanEck Vectors Russia ETF

Statistics of VanEck Vectors Russia ETF (YTD)

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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.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 95.8% in the last 5 years of VanEck Vectors Russia ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (77.6%)
  • Compared with SPY (54.9%) in the period of the last 3 years, the total return, or increase in value of 43.6% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 14.4% in the last 5 years of VanEck Vectors Russia ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (12.2%)
  • During the last 3 years, the annual return (CAGR) is 12.8%, which is lower, thus worse than the value of 15.7% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The volatility over 5 years of VanEck Vectors Russia ETF is 27%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • Looking at volatility in of 20.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.8%).

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of VanEck Vectors Russia ETF is 29%, which is higher, thus worse compared to the benchmark SPY (14.8%) in the same period.
  • Looking at downside deviation in of 23% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.8%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of 0.44 in the last 5 years of VanEck Vectors Russia ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.73)
  • Looking at ratio of return and volatility (Sharpe) in of 0.5 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.03).

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of VanEck Vectors Russia ETF is 0.41, which is smaller, thus worse compared to the benchmark SPY (0.66) in the same period.
  • During the last 3 years, the downside risk / excess return profile is 0.45, which is lower, thus worse than the value of 0.89 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.'

Using this definition on our asset we see for example:
  • Looking at the Ulcer Index of 13 in the last 5 years of VanEck Vectors Russia ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.97 )
  • During the last 3 years, the Downside risk index is 9.42 , which is greater, thus worse than the value of 4.09 from the benchmark.

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.'

Which means for our asset as example:
  • The maximum reduction from previous high over 5 years of VanEck Vectors Russia ETF is -39.3 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 -21.3 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) in days.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 392 days of VanEck Vectors Russia ETF is greater, thus worse.
  • During the last 3 years, the maximum days under water is 328 days, which is higher, thus worse than the value of 139 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.'

Which means for our asset as example:
  • Looking at the average days below previous high of 127 days in the last 5 years of VanEck Vectors Russia ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (42 days)
  • Compared with SPY (37 days) in the period of the last 3 years, the average days below previous high of 104 days is larger, thus worse.

Performance of VanEck Vectors Russia ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of VanEck Vectors Russia ETF
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Allocations

Returns of VanEck Vectors Russia ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of VanEck Vectors Russia 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.