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 (63%) in the period of the last 5 years, the total return, or increase in value of 78.8% of VanEck Vectors Steel ETF is higher, thus better.
• Looking at total return, or increase in value in of 130.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (33.5%).

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.'

• Looking at the annual return (CAGR) of 12.3% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.3%)
• Compared with SPY (10.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 32.1% is larger, thus better.

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.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the historical 30 days volatility of 35.2% of VanEck Vectors Steel ETF is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 40.2%, which is higher, thus worse than the value of 25.1% 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 (15.6%) in the period of the last 5 years, the downside risk of 24.9% of VanEck Vectors Steel ETF is larger, thus worse.
• During the last 3 years, the downside risk is 28.2%, which is higher, thus worse than the value of 18.1% 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 risk / return profile (Sharpe) of 0.28 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• During the last 3 years, the Sharpe Ratio is 0.74, which is greater, thus better than the value of 0.3 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of VanEck Vectors Steel ETF is 0.4, which is lower, thus worse compared to the benchmark SPY (0.5) in the same period.
• Compared with SPY (0.42) in the period of the last 3 years, the downside risk / excess return profile of 1.05 is larger, thus better.

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.'

• Looking at the Downside risk index of 23 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.88 )
• During the last 3 years, the Ulcer Ratio is 17 , which is larger, thus worse than the value of 11 from the benchmark.

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.'

• Looking at the maximum DrawDown of -61.9 days in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -49.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum days below previous high of 719 days of VanEck Vectors Steel ETF is larger, thus worse.
• Compared with SPY (273 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 196 days is lower, thus better.

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.'

• Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average days below previous high of 238 days of VanEck Vectors Steel ETF is higher, thus worse.
• During the last 3 years, the average days under water is 72 days, which is smaller, thus better than the value of 73 days from the benchmark.