Vanguard Information Tech ETF (VGT)

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 of 130.1% in the last 5 years of Vanguard Information Tech ETF, we see it is relatively greater, thus better in comparison to the benchmark SPY (84.9%)
• Looking at total return, or increase in value in of 121.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (80.2%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The annual performance (CAGR) over 5 years of Vanguard Information Tech ETF is 18.2%, which is higher, thus better compared to the benchmark SPY (13.1%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 30.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (21.8%).

Volatility:

'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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 25.1% of Vanguard Information Tech ETF is greater, thus worse.
• Looking at historical 30 days volatility in of 23.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.2%).

DownVol:

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

• Looking at the downside volatility of 17.3% in the last 5 years of Vanguard Information Tech ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside deviation is 16%, which is larger, thus worse than the value of 10.1% from the benchmark.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of Vanguard Information Tech ETF is 0.63, which is larger, thus better compared to the benchmark SPY (0.62) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.27).

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.'

• The downside risk / excess return profile over 5 years of Vanguard Information Tech ETF is 0.91, which is larger, thus better compared to the benchmark SPY (0.9) in the same period.
• Compared with SPY (1.91) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.75 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 Information Tech ETF is 13 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.5 ) in the period of the last 3 years, the Downside risk index of 6.32 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -35.1 days of Vanguard Information Tech ETF is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -27.2 days is lower, thus worse.

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.'

• Looking at the maximum days under water of 477 days in the last 5 years of Vanguard Information Tech ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days under water in of 127 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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.'

• Looking at the average days below previous high of 119 days in the last 5 years of Vanguard Information Tech ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 36 days, which is greater, thus worse than the value of 20 days from the benchmark.