Vanguard Extended Market Index Fund (VEXMX)

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.'

• Looking at the total return, or performance of 83.9% in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (115.6%)
• During the last 3 years, the total return is 21.6%, which is lower, thus worse than the value of 42.9% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of Vanguard Extended Market Index Fund is 13%, which is lower, thus worse compared to the benchmark SPY (16.6%) in the same period.
• Compared with SPY (12.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.8% 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.'

• The historical 30 days volatility over 5 years of Vanguard Extended Market Index Fund is 23.4%, which is greater, thus worse compared to the benchmark SPY (17.9%) in the same period.
• During the last 3 years, the volatility is 23.7%, which is larger, thus worse than the value of 18.6% from the benchmark.

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 risk over 5 years of Vanguard Extended Market Index Fund is 16.4%, which is larger, thus worse compared to the benchmark SPY (12.5%) in the same period.
• Looking at downside deviation in of 16.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.7%).

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 risk / return profile (Sharpe) of 0.45 in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.79)
• Looking at ratio of return and volatility (Sharpe) in of 0.18 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.55).

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.'

• Compared with the benchmark SPY (1.13) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.64 of Vanguard Extended Market Index Fund is lower, thus worse.
• Compared with SPY (0.8) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.26 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 18 in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.46 )
• During the last 3 years, the Downside risk index is 8.58 , which is higher, thus worse than the value of 5.79 from the benchmark.

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 -36.4 days in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -26.9 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.'

• The maximum time in days below previous high water mark over 5 years of Vanguard Extended Market Index Fund is 752 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 226 days is greater, thus worse.

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.'

• Looking at the average days below previous high of 252 days in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (46 days) in the period of the last 3 years, the average days under water of 59 days is greater, thus worse.