Description of VanEck Vectors Steel ETF

VanEck Vectors Steel ETF ETF

Statistics of VanEck Vectors Steel ETF (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.'

Which means for our asset as example:
  • The total return, or increase in value over 5 years of VanEck Vectors Steel ETF is 3.3%, which is lower, thus worse compared to the benchmark SPY (66.2%) in the same period.
  • Compared with SPY (45.7%) in the period of the last 3 years, the total return, or performance of 76.1% is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of VanEck Vectors Steel ETF is 0.6%, which is lower, thus worse compared to the benchmark SPY (10.7%) in the same period.
  • Looking at annual performance (CAGR) in of 20.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.4%).

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 30.3% in the last 5 years of VanEck Vectors Steel ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.3%)
  • During the last 3 years, the volatility is 29.1%, which is larger, thus worse than the value of 12.5% from the benchmark.

DownVol:

'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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 30.5% of VanEck Vectors Steel ETF is higher, thus worse.
  • Compared with SPY (14.1%) in the period of the last 3 years, the downside volatility of 31.1% is larger, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of VanEck Vectors Steel ETF is -0.06, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
  • Compared with SPY (0.87) in the period of the last 3 years, the Sharpe Ratio of 0.63 is lower, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • The excess return divided by the downside deviation over 5 years of VanEck Vectors Steel ETF is -0.06, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 0.59, which is smaller, thus worse than the value of 0.77 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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of VanEck Vectors Steel ETF is 28 , which is greater, thus better compared to the benchmark SPY (3.96 ) in the same period.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Downside risk index of 12 is higher, thus better.

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -65.3 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 (-19.3 days)
  • During the last 3 years, the maximum drop from peak to valley is -30.5 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of VanEck Vectors Steel ETF is 836 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 270 days is higher, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (39 days) in the period of the last 5 years, the average days below previous high of 315 days of VanEck Vectors Steel ETF is higher, thus worse.
  • Looking at average days below previous high in of 89 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (34 days).

Performance of VanEck Vectors Steel ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of VanEck Vectors Steel ETF
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Allocations

Returns of VanEck Vectors Steel ETF (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of VanEck Vectors Steel ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.