'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (111.3%) in the period of the last 5 years, the total return, or performance of 83.5% of Vanguard Financials ETF is lower, thus worse.
- Compared with SPY (39.3%) in the period of the last 3 years, the total return, or increase in value of 26.5% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 12.9% of Vanguard Financials ETF is lower, thus worse.
- Looking at compounded annual growth rate (CAGR) in of 8.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.7%).

'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 volatility of 26.8% in the last 5 years of Vanguard Financials ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (20.9%)
- Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 19.5% is larger, thus worse.

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

Using this definition on our asset we see for example:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside risk of 19% of Vanguard Financials ETF is higher, thus worse.
- Looking at downside risk in of 13.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.2%).

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 0.39 in the last 5 years of Vanguard Financials ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.66)
- Compared with SPY (0.53) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.29 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the downside risk / excess return profile of 0.55 in the last 5 years of Vanguard Financials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.92)
- During the last 3 years, the ratio of annual return and downside deviation is 0.41, which is lower, thus worse than the value of 0.75 from the benchmark.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Downside risk index of 14 of Vanguard Financials ETF is greater, thus worse.
- During the last 3 years, the Ulcer Index is 14 , which is higher, thus worse than the value of 10 from the benchmark.

'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 -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 drop from peak to valley is -25.7 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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'

Which means for our asset as example:- Looking at the maximum days below previous high of 528 days in the last 5 years of Vanguard Financials ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 528 days is larger, thus worse.

'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 time in days below previous high water mark of 149 days in the last 5 years of Vanguard Financials ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (124 days)
- Looking at average time in days below previous high water mark in of 201 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (179 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Financials ETF are hypothetical and do not account for slippage, fees or taxes.