Vanguard Small Cap Index Fund (NAESX)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of Vanguard Small Cap Index Fund is 37.3%, which is lower, thus worse compared to the benchmark SPY (90%) in the same period.
• Compared with SPY (86%) in the period of the last 3 years, the total return, or performance of 57.8% is lower, thus worse.

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.'

• Looking at the annual return (CAGR) of 6.6% 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 (13.7%)
• Compared with SPY (23.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 16.5% is lower, thus worse.

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.'

• Looking at the 30 days standard deviation of 20.7% in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• Looking at historical 30 days volatility in of 19% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.1%).

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 14.3% 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 (11.7%)
• During the last 3 years, the downside deviation is 12.7%, which is larger, 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.2 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 (0.66)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.74, which is smaller, thus worse than the value of 1.36 from the benchmark.

Sortino:

'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.'

• The ratio of annual return and downside deviation over 5 years of Vanguard Small Cap Index Fund is 0.28, which is lower, thus worse compared to the benchmark SPY (0.96) in the same period.
• Compared with SPY (2.04) in the period of the last 3 years, the excess return divided by the downside deviation of 1.1 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.'

• Looking at the Downside risk index of 12 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 (8.44 )
• Looking at Ulcer Index in of 6.43 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

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.'

• The maximum drop from peak to valley over 5 years of Vanguard Small Cap Index Fund is -28.2 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -25.3 days, which is lower, thus worse 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 671 days of Vanguard Small Cap Index Fund is larger, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 201 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.'

• Looking at the average days below previous high of 209 days in the last 5 years of Vanguard Small Cap Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days under water in of 45 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20 days).