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.'

• The total return over 5 years of VanEck Vectors Steel ETF is 48.6%, which is lower, thus worse compared to the benchmark SPY (68.1%) in the same period.
• During the last 3 years, the total return, or performance is 164.1%, which is higher, thus better than the value of 47% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of VanEck Vectors Steel ETF is 8.2%, which is smaller, thus worse compared to the benchmark SPY (11%) in the same period.
• Looking at annual performance (CAGR) in of 38.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (13.7%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the historical 30 days volatility of 35.3% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.4%)
• Looking at 30 days standard deviation in of 33.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.7%).

DownVol:

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

• Looking at the downside risk of 25.1% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.4%)
• During the last 3 years, the downside deviation is 22.4%, which is higher, thus worse than the value of 13.3% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of 0.16 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.4)
• Compared with SPY (0.6) in the period of the last 3 years, the Sharpe Ratio of 1.08 is larger, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The excess return divided by the downside deviation over 5 years of VanEck Vectors Steel ETF is 0.23, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.59, which is higher, thus better than the value of 0.84 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.'

• Compared with the benchmark SPY (9.45 ) in the period of the last 5 years, the Ulcer Ratio of 22 of VanEck Vectors Steel ETF is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 13 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of VanEck Vectors Steel ETF is -60.8 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• 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.'

• The maximum time in days below previous high water mark over 5 years of VanEck Vectors Steel ETF is 648 days, which is larger, thus worse compared to the benchmark SPY (351 days) in the same period.
• During the last 3 years, the maximum days below previous high is 193 days, which is lower, thus better than the value of 351 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.'

• Looking at the average days below previous high of 200 days in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (78 days)
• During the last 3 years, the average days under water is 51 days, which is lower, thus better than the value of 101 days from the benchmark.