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 (122.1%) in the period of the last 5 years, the total return, or performance of 130.9% of VanEck Vectors Steel ETF is greater, thus better.
• Compared with SPY (64.6%) in the period of the last 3 years, the total return, or increase in value of 48.6% is lower, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 18.3% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (17.3%)
• Looking at annual performance (CAGR) in of 14.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.1%).

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.'

• Looking at the 30 days standard deviation of 33.5% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the historical 30 days volatility is 37.2%, which is higher, thus worse than the value of 22.5% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of VanEck Vectors Steel ETF is 23.6%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (16.4%) in the period of the last 3 years, the downside volatility of 26.6% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.47 of VanEck Vectors Steel ETF is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.31, which is lower, thus worse than the value of 0.69 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.'

• Looking at the ratio of annual return and downside deviation of 0.67 in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.09)
• Compared with SPY (0.95) in the period of the last 3 years, the excess return divided by the downside deviation of 0.44 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of VanEck Vectors Steel ETF is 21 , which is greater, thus worse compared to the benchmark SPY (5.58 ) in the same period.
• During the last 3 years, the Ulcer Index is 23 , which is higher, thus worse than the value of 6.83 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.'

• Looking at the maximum drop from peak to valley of -61.9 days in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -59 days, which is smaller, thus worse than the value of -33.7 days from the benchmark.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 719 days of VanEck Vectors Steel ETF is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 595 days is larger, thus worse.

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 (33 days) in the period of the last 5 years, the average days under water of 238 days of VanEck Vectors Steel ETF is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 247 days, which is greater, thus worse than the value of 35 days from the benchmark.