'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.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of Vanguard Financials ETF is 24.4%, which is smaller, thus worse compared to the benchmark SPY (67.1%) in the same period.
- Looking at total return in of 57.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (61.5%).

'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:- The annual return (CAGR) over 5 years of Vanguard Financials ETF is 4.5%, which is lower, thus worse compared to the benchmark SPY (10.8%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 16.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (17.3%).

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 27.3% in the last 5 years of Vanguard Financials ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.4%)
- Compared with SPY (20%) in the period of the last 3 years, the volatility of 26.2% 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:- Looking at the downside volatility of 19.5% in the last 5 years of Vanguard Financials ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (15.4%)
- Looking at downside volatility in of 17.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (13.9%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.39) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.07 of Vanguard Financials ETF is smaller, thus worse.
- Compared with SPY (0.74) in the period of the last 3 years, the Sharpe Ratio of 0.53 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.54) in the period of the last 5 years, the downside risk / excess return profile of 0.1 of Vanguard Financials ETF is lower, thus worse.
- Compared with SPY (1.06) in the period of the last 3 years, the excess return divided by the downside deviation of 0.79 is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (9.21 ) in the period of the last 5 years, the Ulcer Index of 13 of Vanguard Financials ETF is greater, thus worse.
- During the last 3 years, the Downside risk index is 11 , which is higher, thus worse than the value of 9.87 from the benchmark.

'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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high 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 -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) in days.'

Which means for our asset as example:- Compared with the benchmark SPY (311 days) in the period of the last 5 years, the maximum days under water of 304 days of Vanguard Financials ETF is smaller, thus better.
- Compared with SPY (311 days) in the period of the last 3 years, the maximum days below previous high of 304 days is smaller, thus better.

'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.'

Using this definition on our asset we see for example:- The average time in days below previous high water mark over 5 years of Vanguard Financials ETF is 86 days, which is greater, thus worse compared to the benchmark SPY (66 days) in the same period.
- During the last 3 years, the average days under water is 81 days, which is lower, thus better than the value of 82 days from the benchmark.

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, 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.