'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:- Compared with the benchmark SPY (57.1%) in the period of the last 5 years, the total return, or increase in value of 111.8% of Vanguard Information Tech ETF is greater, thus better.
- Looking at total return, or performance in of 36.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (32%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:- Looking at the annual performance (CAGR) of 16.2% in the last 5 years of Vanguard Information Tech ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (9.5%)
- During the last 3 years, the annual performance (CAGR) is 11%, which is greater, thus better than the value of 9.7% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of 28.3% of Vanguard Information Tech ETF is higher, thus worse.
- During the last 3 years, the 30 days standard deviation is 25.5%, which is higher, thus worse than the value of 17.9% from the benchmark.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Applying this definition to our asset in some examples:- The downside volatility over 5 years of Vanguard Information Tech ETF is 19.9%, which is higher, thus worse compared to the benchmark SPY (15.5%) in the same period.
- During the last 3 years, the downside deviation is 17.6%, which is greater, thus worse than the value of 12.5% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard Information Tech ETF is 0.48, which is greater, thus better compared to the benchmark SPY (0.32) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.33 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.41).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.45) in the period of the last 5 years, the downside risk / excess return profile of 0.69 of Vanguard Information Tech ETF is larger, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is 0.48, which is lower, thus worse than the value of 0.58 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.57 ) in the period of the last 5 years, the Ulcer Ratio of 14 of Vanguard Information Tech ETF is higher, thus worse.
- During the last 3 years, the Ulcer Ratio is 16 , which is higher, thus worse than the value of 10 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -35.1 days of Vanguard Information Tech ETF is smaller, thus worse.
- Looking at maximum drop from peak to valley in of -35.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 days).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 444 days in the last 5 years of Vanguard Information Tech ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (439 days)
- During the last 3 years, the maximum days under water is 444 days, which is greater, thus worse than the value of 439 days from the benchmark.

'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:- The average days under water over 5 years of Vanguard Information Tech ETF is 104 days, which is lower, thus better compared to the benchmark SPY (106 days) in the same period.
- Compared with SPY (149 days) in the period of the last 3 years, the average days under water of 148 days is lower, thus better.

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 Information Tech 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.