Vanguard Small Cap Index Fund (NAESX)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (110.4%) in the period of the last 5 years, the total return of 78.3% of Vanguard Small Cap Index Fund is lower, thus worse.
• Looking at total return, or performance in of 44.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (72.5%).

CAGR:

'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.'

• Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the annual performance (CAGR) of 12.3% of Vanguard Small Cap Index Fund is smaller, thus worse.
• Compared with SPY (20.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.1% is lower, thus worse.

Volatility:

'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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the historical 30 days volatility of 21.2% of Vanguard Small Cap Index Fund is larger, thus worse.
• Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 20.9% is higher, thus worse.

DownVol:

'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.'

• The downside volatility over 5 years of Vanguard Small Cap Index Fund is 14.6%, which is higher, thus worse compared to the benchmark SPY (12.1%) in the same period.
• During the last 3 years, the downside volatility is 14.1%, which is greater, thus worse than the value of 11.5% from the benchmark.

Sharpe:

'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.'

• The Sharpe Ratio over 5 years of Vanguard Small Cap Index Fund is 0.46, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.5 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.01).

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.'

• Looking at the excess return divided by the downside deviation of 0.67 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 (1.13)
• Looking at downside risk / excess return profile in of 0.75 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.53).

Ulcer:

'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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Ratio of 12 of Vanguard Small Cap Index Fund is higher, thus worse.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Ulcer Ratio of 7.98 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.'

• Looking at the maximum DrawDown of -28.2 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 (-24.5 days)
• Looking at maximum DrawDown in of -25.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

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 below previous high of 672 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 (488 days)
• Looking at maximum time in days below previous high water mark in of 155 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (199 days).

AveDuration:

'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.'

• The average time in days below previous high water mark over 5 years of Vanguard Small Cap Index Fund is 207 days, which is greater, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 49 days, which is greater, thus worse than the value of 47 days from the benchmark.