Description of VanEck Vectors Russia ETF

VanEck Vectors Russia ETF

Statistics of VanEck Vectors Russia ETF (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (68.1%) in the period of the last 5 years, the total return, or performance of 14.1% of VanEck Vectors Russia ETF is lower, thus worse.
  • Looking at total return, or performance in of 42.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (47.1%).

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:
  • The annual performance (CAGR) over 5 years of VanEck Vectors Russia ETF is 2.7%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 12.6%, which is lower, thus worse than the value of 13.8% 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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of VanEck Vectors Russia ETF is 31.3%, which is larger, thus worse compared to the benchmark SPY (13.2%) in the same period.
  • Compared with SPY (12.4%) in the period of the last 3 years, the historical 30 days volatility of 22.9% is greater, thus worse.

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 32.8% of VanEck Vectors Russia ETF is larger, thus worse.
  • During the last 3 years, the downside deviation is 24.9%, which is larger, thus worse than the value of 14% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.01 of VanEck Vectors Russia ETF is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.44 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.91).

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.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of VanEck Vectors Russia ETF is 0.01, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.41, which is smaller, thus worse than the value of 0.8 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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 24 in the last 5 years of VanEck Vectors Russia ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (3.95 )
  • Compared with SPY (4 ) in the period of the last 3 years, the Ulcer Ratio of 9.17 is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of VanEck Vectors Russia ETF is -51.7 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum DrawDown in of -21.3 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 892 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 (187 days)
  • Looking at maximum days under water in of 265 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (131 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.'

Using this definition on our asset we see for example:
  • 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 350 days of VanEck Vectors Russia ETF is greater, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 76 days, which is greater, thus worse than the value of 33 days from the benchmark.

Performance of VanEck Vectors Russia ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of VanEck Vectors Russia ETF
()

Allocations

Returns of VanEck Vectors Russia ETF (%)

  • "Year" returns in the table above are not equal to 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.