'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.'

Using this definition on our asset we see for example:- Looking at the total return of 132.9% in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (120.8%)
- During the last 3 years, the total return, or increase in value is 70.2%, which is higher, thus better than the value of 66.3% from the benchmark.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.5% of Vanguard Extended Market Index Fund is greater, thus better.
- During the last 3 years, the annual performance (CAGR) is 19.4%, which is higher, thus better than the value of 18.5% from the benchmark.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Vanguard Extended Market Index Fund is 22.2%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (22.4%) in the period of the last 3 years, the historical 30 days volatility of 26.7% is higher, 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:- The downside risk over 5 years of Vanguard Extended Market Index Fund is 16.5%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
- Looking at downside risk in of 19.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.3%).

'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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard Extended Market Index Fund is 0.72, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.63, which is smaller, thus worse than the value of 0.71 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (1.08) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.97 of Vanguard Extended Market Index Fund is lower, thus worse.
- Looking at excess return divided by the downside deviation in of 0.85 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.98).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 7.71 of Vanguard Extended Market Index Fund is greater, thus worse.
- Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Ratio of 9.74 is higher, thus worse.

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:- Looking at the maximum drop from peak to valley of -41.6 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 (-33.7 days)
- During the last 3 years, the maximum DrawDown is -41.6 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum time in days below previous high water mark of 309 days in the last 5 years of Vanguard Extended Market Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
- Looking at maximum days under water in of 309 days in the period of the last 3 years, we see it is relatively higher, 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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 61 days 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 (33 days)
- Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 89 days is higher, thus worse.

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 Extended Market 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.