Description

The investment seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of the NYSE® Arca Steel Index The fund normally invests at least 80% of its total assets in common stocks and depositary receipts of companies involved in the steel sector. Such companies may include small- and medium-capitalization companies and foreign and emerging market issuers. It may concentrate its investments in a particular industry or group of industries to the extent that the Steel Index concentrates in an industry or group of industries. The fund is non-diversified.

Statistics (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of 139% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (100.7%)
  • Compared with SPY (33.2%) in the period of the last 3 years, the total return, or performance of 29.9% is lower, 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.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of VanEck Vectors Steel ETF is 19%, which is greater, thus better compared to the benchmark SPY (15%) in the same period.
  • Looking at annual performance (CAGR) in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of VanEck Vectors Steel ETF is 34.5%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
  • During the last 3 years, the volatility is 29.1%, which is higher, thus worse than the value of 17.3% 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:
  • Looking at the downside risk of 24.3% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
  • Looking at downside risk in of 20.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12%).

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 (0.6) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.48 of VanEck Vectors Steel ETF is smaller, thus worse.
  • Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of 0.23 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.83) in the period of the last 5 years, the downside risk / excess return profile of 0.68 of VanEck Vectors Steel ETF is lower, thus worse.
  • Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of 0.33 is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of VanEck Vectors Steel ETF is 16 , which is higher, thus worse compared to the benchmark SPY (9.32 ) in the same period.
  • During the last 3 years, the Ulcer Index is 14 , which is higher, 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -53 days of VanEck Vectors Steel ETF is smaller, thus worse.
  • Looking at maximum drop from peak to valley in of -33.6 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of VanEck Vectors Steel ETF is 353 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
  • Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 193 days is lower, thus better.

AveDuration:

'The Average 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. 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:
  • Looking at the average days under water of 91 days in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (123 days)
  • Compared with SPY (180 days) in the period of the last 3 years, the average days under water of 60 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of VanEck Vectors Steel ETF are hypothetical and do not account for slippage, fees or taxes.