Vanguard Emerging Markets Stock Index Fund Investor Shares

'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 investmentâ€™s overall performance.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (60.9%) in the period of the last 5 years, the total return, or performance of 4.2% of Vanguard Emerging Markets Stock Index Fund is lower, thus worse.
- Looking at total return, or performance in of 2.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (34.2%).

'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.'

Applying this definition to our asset in some examples:- The compounded annual growth rate (CAGR) over 5 years of Vanguard Emerging Markets Stock Index Fund is 0.8%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 1%, which is lower, thus worse than the value of 10.3% from the benchmark.

'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 18.1% in the last 5 years of Vanguard Emerging Markets Stock Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.7%)
- Compared with SPY (21.5%) in the period of the last 3 years, the volatility of 18.8% is lower, thus better.

'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:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 13.7% of Vanguard Emerging Markets Stock Index Fund is greater, thus worse.
- During the last 3 years, the downside volatility is 14.5%, which is smaller, thus better than the value of 15.7% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the ratio of return and volatility (Sharpe) of -0.09 in the last 5 years of Vanguard Emerging Markets Stock Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.4)
- Compared with SPY (0.36) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.08 is smaller, thus worse.

'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:- The excess return divided by the downside deviation over 5 years of Vanguard Emerging Markets Stock Index Fund is -0.12, which is lower, thus worse compared to the benchmark SPY (0.55) in the same period.
- Looking at downside risk / excess return profile in of -0.11 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.5).

'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.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 15 in the last 5 years of Vanguard Emerging Markets Stock Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.82 )
- Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.86 ).

'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.'

Which means for our asset as example:- The maximum DrawDown over 5 years of Vanguard Emerging Markets Stock Index Fund is -36.3 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 reduction from previous high of -36.3 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.'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 590 days in the last 5 years of Vanguard Emerging Markets Stock Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (187 days)
- Looking at maximum time in days below previous high water mark in of 590 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:- Looking at the average time in days below previous high water mark of 241 days in the last 5 years of Vanguard Emerging Markets Stock Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (43 days)
- Looking at average time in days below previous high water mark in of 250 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (39 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 Emerging Markets Stock 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.