'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 (80.1%) in the period of the last 5 years, the total return, or performance of 38.4% of Vanguard Small Cap Index Fund is lower, thus worse.
- Looking at total return, or performance in of 8.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.8%).

'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 return (CAGR) of 6.7% 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 (12.5%)
- Compared with SPY (9.4%) in the period of the last 3 years, the annual performance (CAGR) of 2.7% is smaller, thus worse.

'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 historical 30 days volatility of 25.7% 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 (21.3%)
- Compared with SPY (17.6%) in the period of the last 3 years, the volatility of 21.7% is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk of 18.6% 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 (15.3%)
- During the last 3 years, the downside risk is 15.2%, which is larger, thus worse than the value of 12.3% from the benchmark.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of Vanguard Small Cap Index Fund is 0.16, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.01, which is lower, thus worse than the value of 0.39 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of Vanguard Small Cap Index Fund is 0.23, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
- Looking at excess return divided by the downside deviation in of 0.01 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 13 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 (9.43 )
- Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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:- Looking at the maximum reduction from previous high of -41.8 days 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 (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -28.2 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (478 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 516 days of Vanguard Small Cap Index Fund is higher, thus worse.
- Looking at maximum days under water in of 516 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (478 days).

'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 days under water over 5 years of Vanguard Small Cap Index Fund is 136 days, which is larger, thus worse compared to the benchmark SPY (118 days) in the same period.
- Looking at average days under water in of 191 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (173 days).

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.