VanEck Vectors Vietnam ETF (VNM)

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.'

• The total return over 5 years of VanEck Vectors Vietnam ETF is -24.9%, which is smaller, thus worse compared to the benchmark SPY (91.2%) in the same period.
• Compared with SPY (30.8%) in the period of the last 3 years, the total return, or increase in value of -42.2% is smaller, thus worse.

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.'

• The annual return (CAGR) over 5 years of VanEck Vectors Vietnam ETF is -5.6%, which is lower, thus worse compared to the benchmark SPY (13.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is -16.8%, which is lower, thus worse than the value of 9.4% from the benchmark.

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 24.3% in the last 5 years of VanEck Vectors Vietnam ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21%)
• During the last 3 years, the 30 days standard deviation is 22.6%, which is higher, thus worse than the value of 17.5% from the benchmark.

DownVol:

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

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 18.2% of VanEck Vectors Vietnam ETF is higher, thus worse.
• During the last 3 years, the downside volatility is 17.1%, which is larger, thus worse than the value of 12.3% 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 Sharpe Ratio of -0.33 in the last 5 years of VanEck Vectors Vietnam ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.54)
• Looking at ratio of return and volatility (Sharpe) in of -0.85 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

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.'

• The downside risk / excess return profile over 5 years of VanEck Vectors Vietnam ETF is -0.44, which is smaller, thus worse compared to the benchmark SPY (0.76) in the same period.
• Looking at ratio of annual return and downside deviation in of -1.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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 Ulcer Index of 29 in the last 5 years of VanEck Vectors Vietnam ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.33 )
• During the last 3 years, the Ulcer Index is 34 , which is greater, thus worse than the value of 8.89 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum reduction from previous high of -49.4 days in the last 5 years of VanEck Vectors Vietnam ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-22.4 days) in the period of the last 3 years, the maximum drop from peak to valley of -47.4 days is lower, thus worse.

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 (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 758 days of VanEck Vectors Vietnam ETF is greater, thus worse.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum days below previous high of 750 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 (122 days) in the period of the last 5 years, the average days under water of 266 days of VanEck Vectors Vietnam ETF is larger, thus worse.
• During the last 3 years, the average days below previous high is 376 days, which is larger, thus worse than the value of 114 days from the benchmark.