Vanguard Financials ETF (VFH)

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.'

• Compared with the benchmark SPY (92.4%) in the period of the last 5 years, the total return of 52.1% of Vanguard Financials ETF is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 72.2%, which is smaller, thus worse than the value of 85% from the benchmark.

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.'

• The annual return (CAGR) over 5 years of Vanguard Financials ETF is 8.8%, which is lower, thus worse compared to the benchmark SPY (14%) in the same period.
• Looking at annual return (CAGR) in of 20% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (22.9%).

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.'

• Looking at the 30 days standard deviation of 19.3% in the last 5 years of Vanguard Financials ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• Compared with SPY (15.1%) in the period of the last 3 years, the volatility of 16.8% is larger, thus worse.

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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside volatility of 13.6% of Vanguard Financials ETF is greater, thus worse.
• During the last 3 years, the downside volatility is 11.6%, which is higher, thus worse than the value of 10.1% from the benchmark.

Sharpe:

'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.'

• The Sharpe Ratio over 5 years of Vanguard Financials ETF is 0.33, which is lower, thus worse compared to the benchmark SPY (0.68) in the same period.
• Looking at Sharpe Ratio in of 1.04 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.35).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (0.98) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.46 of Vanguard Financials ETF is lower, thus worse.
• Compared with SPY (2.02) in the period of the last 3 years, the downside risk / excess return profile of 1.5 is lower, 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 11 , which is higher, thus worse compared to the benchmark SPY (8.44 ) in the same period.
• Compared with SPY (3.5 ) in the period of the last 3 years, the Downside risk index of 4.65 is larger, thus worse.

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.'

• Looking at the maximum reduction from previous high of -25.7 days in the last 5 years of Vanguard Financials ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -17.3 days, which is greater, thus better than the value of -18.8 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.'

• The maximum days under water over 5 years of Vanguard Financials ETF is 528 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 95 days is higher, 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 (120 days) in the period of the last 5 years, the average days below previous high of 134 days of Vanguard Financials ETF is higher, thus worse.
• Looking at average time in days below previous high water mark in of 27 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).