VanEck Vectors Steel ETF (SLX)

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.'

• Compared with the benchmark SPY (91.7%) in the period of the last 5 years, the total return, or increase in value of 114.1% of VanEck Vectors Steel ETF is larger, thus better.
• During the last 3 years, the total return, or increase in value is 7%, which is smaller, thus worse than the value of 47.9% from the benchmark.

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.'

• Compared with the benchmark SPY (13.9%) in the period of the last 5 years, the annual return (CAGR) of 16.5% of VanEck Vectors Steel ETF is larger, thus better.
• Looking at compounded annual growth rate (CAGR) in of 2.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.9%).

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.'

• The 30 days standard deviation over 5 years of VanEck Vectors Steel ETF is 35.5%, which is greater, thus worse compared to the benchmark SPY (19%) in the same period.
• During the last 3 years, the 30 days standard deviation is 36.1%, which is greater, thus worse than the value of 22.8% from the benchmark.

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.'

• Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the downside risk of 24.9% of VanEck Vectors Steel ETF is higher, thus worse.
• During the last 3 years, the downside deviation is 26.3%, which is higher, thus worse than the value of 16.7% 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.'

• Looking at the risk / return profile (Sharpe) of 0.39 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.6)
• Compared with SPY (0.5) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.01 is lower, 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.'

• Looking at the excess return divided by the downside deviation of 0.56 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.82)
• During the last 3 years, the excess return divided by the downside deviation is -0.01, which is smaller, thus worse than the value of 0.68 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.'

• Looking at the Downside risk index of 22 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.82 )
• Looking at Ulcer Index in of 27 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (7.14 ).

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.'

• The maximum reduction from previous high over 5 years of VanEck Vectors Steel ETF is -61.9 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -61.9 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.'

• The maximum time in days below previous high water mark over 5 years of VanEck Vectors Steel ETF is 695 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 695 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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 time in days below previous high water mark over 5 years of VanEck Vectors Steel ETF is 225 days, which is larger, thus worse compared to the benchmark SPY (36 days) in the same period.
• Looking at average days below previous high in of 329 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).