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 of 41.1% 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 (63%)
• During the last 3 years, the total return, or increase in value is 22.9%, which is lower, thus worse than the value of 33.5% from the benchmark.

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 (10.3%) in the period of the last 5 years, the annual performance (CAGR) of 7.1% of Vanguard Extended Market Index Fund is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 7.1%, which is lower, thus worse than the value of 10.1% from the benchmark.

Volatility:

'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.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the volatility of 26.2% of Vanguard Extended Market Index Fund is higher, thus worse.
• Compared with SPY (25.1%) in the period of the last 3 years, the volatility of 31.2% 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.'

• Looking at the downside volatility of 19.2% 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 (15.6%)
• Looking at downside risk in of 22.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.1%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.18 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 (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.15 is lower, thus worse.

Sortino:

'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.'

• Compared with the benchmark SPY (0.5) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.24 of Vanguard Extended Market Index Fund is lower, thus worse.
• Compared with SPY (0.42) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.2 is lower, 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.'

• The Ulcer Index over 5 years of Vanguard Extended Market Index Fund is 15 , which is greater, thus worse compared to the benchmark SPY (8.88 ) in the same period.
• During the last 3 years, the Ulcer Index is 18 , which is higher, thus worse than the value of 11 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high 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)
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -41.6 days is smaller, thus worse.

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 days under water over 5 years of Vanguard Extended Market Index Fund is 311 days, which is larger, thus worse compared to the benchmark SPY (273 days) in the same period.
• Compared with SPY (273 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 311 days is greater, thus worse.

AveDuration:

'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.'

• The average days below previous high over 5 years of Vanguard Extended Market Index Fund is 97 days, which is higher, thus worse compared to the benchmark SPY (57 days) in the same period.
• Looking at average days below previous high in of 88 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (73 days).