'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.'

Applying this definition to our asset in some examples:- Looking at the total return of 49.3% in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (78.4%)
- During the last 3 years, the total return, or increase in value is 26.9%, which is smaller, thus worse than the value of 44.1% from the benchmark.

'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.'

Which means for our asset as example:- The compounded annual growth rate (CAGR) over 5 years of Vanguard Small Cap Index Fund is 8.3%, which is lower, thus worse compared to the benchmark SPY (12.3%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 8.2%, which is lower, thus worse than the value of 12.9% 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.'

Which means for our asset as example:- Looking at the 30 days standard deviation of 23.6% in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (19.9%)
- Looking at historical 30 days volatility in of 28% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (23.1%).

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

Which means for our asset as example:- The downside volatility over 5 years of Vanguard Small Cap Index Fund is 17.4%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
- During the last 3 years, the downside risk is 20.7%, which is larger, thus worse than the value of 16.9% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the ratio of return and volatility (Sharpe) of 0.25 in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
- Looking at ratio of return and volatility (Sharpe) in of 0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.45).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.67) in the period of the last 5 years, the excess return divided by the downside deviation of 0.34 of Vanguard Small Cap Index Fund is lower, thus worse.
- During the last 3 years, the ratio of annual return and downside deviation is 0.28, which is smaller, thus worse than the value of 0.62 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.'

Which means for our asset as example:- Looking at the Ulcer Index of 9.04 in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (6.16 )
- During the last 3 years, the Downside risk index is 10 , which is greater, thus worse than the value of 6.87 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:- The maximum drop from peak to valley over 5 years of Vanguard Small Cap Index Fund is -41.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -41.8 days is lower, thus worse.

'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:- The maximum time in days below previous high water mark over 5 years of Vanguard Small Cap Index Fund is 312 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
- Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 182 days is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the average days under water of 73 days in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (35 days)
- During the last 3 years, the average time in days below previous high water mark is 47 days, which is greater, thus worse than the value of 27 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 Small Cap Index Fund 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.