Vanguard Financials ETF (VFH)

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.'

• Looking at the total return, or performance of 45.6% in the last 5 years of Vanguard Financials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (81.5%)
• Compared with SPY (48.1%) in the period of the last 3 years, the total return, or performance of 31.1% 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 7.8% in the last 5 years of Vanguard Financials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.7%)
• Compared with SPY (14%) in the period of the last 3 years, the annual performance (CAGR) of 9.5% is smaller, thus worse.

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 (20.5%) in the period of the last 5 years, the 30 days standard deviation of 26.6% of Vanguard Financials ETF is greater, thus worse.
• Looking at volatility in of 31.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (23.8%).

DownVol:

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

• Looking at the downside risk of 19% in the last 5 years of Vanguard Financials ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• Compared with SPY (17.3%) in the period of the last 3 years, the downside deviation of 22.4% 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 (0.5) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.2 of Vanguard Financials ETF is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.22, which is lower, thus worse than the value of 0.48 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 excess return divided by the downside deviation over 5 years of Vanguard Financials ETF is 0.28, which is lower, thus worse compared to the benchmark SPY (0.68) in the same period.
• Compared with SPY (0.66) in the period of the last 3 years, the downside risk / excess return profile of 0.31 is smaller, 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 Vanguard Financials ETF is 12 , which is higher, thus worse compared to the benchmark SPY (7.13 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 14 , which is higher, thus worse than the value of 8.25 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 drop from peak to valley of -44.4 days in the last 5 years of Vanguard Financials 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 DrawDown is -44.4 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) in days.'

• Compared with the benchmark SPY (150 days) in the period of the last 5 years, the maximum days under water of 444 days of Vanguard Financials ETF is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 224 days, which is greater, thus worse than the value of 150 days from the benchmark.

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.'

• Looking at the average days below previous high of 121 days in the last 5 years of Vanguard Financials ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
• Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 59 days is greater, thus worse.