Description of VanEck Vectors Low Carbon Energy ETF

VanEck Vectors Low Carbon Energy ETF

Statistics of VanEck Vectors Low Carbon Energy ETF (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:
  • Looking at the total return of % in the last 5 years of VanEck Vectors Low Carbon Energy ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (67.2%)
  • During the last 3 years, the total return, or increase in value is %, which is smaller, thus worse than the value of 50.7% from the benchmark.

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 compounded annual growth rate (CAGR) over 5 years of VanEck Vectors Low Carbon Energy ETF is %, which is smaller, thus worse compared to the benchmark SPY (10.8%) in the same period.
  • Looking at annual return (CAGR) in of % in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14.7%).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of % of VanEck Vectors Low Carbon Energy ETF is lower, thus better.
  • Compared with SPY (12.8%) in the period of the last 3 years, the historical 30 days volatility of % is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside volatility of % of VanEck Vectors Low Carbon Energy ETF is lower, thus better.
  • Looking at downside risk in of % in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (14.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of of VanEck Vectors Low Carbon Energy ETF is lower, thus worse.
  • Looking at Sharpe Ratio in of in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.95).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the excess return divided by the downside deviation of of VanEck Vectors Low Carbon Energy ETF is smaller, thus worse.
  • Looking at downside risk / excess return profile in of in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.83).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of of VanEck Vectors Low Carbon Energy ETF is smaller, thus better.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Ratio of is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum DrawDown of days in the last 5 years of VanEck Vectors Low Carbon Energy ETF, we see it is relatively higher, thus better in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum DrawDown in of days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 days).

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'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of VanEck Vectors Low Carbon Energy ETF is days, which is smaller, thus better compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

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:
  • Looking at the average days under water of days in the last 5 years of VanEck Vectors Low Carbon Energy ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (42 days)
  • Looking at average days under water in of days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (36 days).

Performance of VanEck Vectors Low Carbon Energy ETF (YTD)

Historical returns have been extended using synthetic data.

Allocations of VanEck Vectors Low Carbon Energy ETF
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Allocations

Returns of VanEck Vectors Low Carbon Energy ETF (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of VanEck Vectors Low Carbon Energy 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.