Vanguard Extended Market Index Fund (VEXMX)

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.'

• The total return, or increase in value over 5 years of Vanguard Extended Market Index Fund is 24.5%, which is lower, thus worse compared to the benchmark SPY (67.8%) in the same period.
• Looking at total return, or increase in value in of 25.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (44.5%).

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 (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 4.5% of Vanguard Extended Market Index Fund is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 7.9%, which is smaller, thus worse than the value of 13.1% 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 (21.4%) in the period of the last 5 years, the 30 days standard deviation of 26.4% of Vanguard Extended Market Index Fund is higher, thus worse.
• During the last 3 years, the 30 days standard deviation is 24.4%, which is higher, thus worse than the value of 18.8% from the benchmark.

DownVol:

'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.'

• Looking at the downside risk of 19.3% 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 (15.4%)
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 17.4% is larger, thus worse.

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.'

• The Sharpe Ratio over 5 years of Vanguard Extended Market Index Fund is 0.08, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.22, which is smaller, thus worse than the value of 0.56 from the benchmark.

Sortino:

'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.'

• Looking at the downside risk / excess return profile of 0.1 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 (0.55)
• During the last 3 years, the excess return divided by the downside deviation is 0.31, which is lower, thus worse than the value of 0.79 from the benchmark.

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.'

• Compared with the benchmark SPY (9.46 ) in the period of the last 5 years, the Ulcer Ratio of 17 of Vanguard Extended Market Index Fund is higher, thus worse.
• Looking at Ulcer Ratio in of 19 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -41.6 days of Vanguard Extended Market Index Fund is lower, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -36.4 days, which is smaller, thus worse than the value of -24.5 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.'

• Compared with the benchmark SPY (352 days) in the period of the last 5 years, the maximum days under water of 390 days of Vanguard Extended Market Index Fund is higher, thus worse.
• Compared with SPY (352 days) in the period of the last 3 years, the maximum days below previous high of 390 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.'

• Looking at the average time in days below previous high water mark of 119 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 (78 days)
• Compared with SPY (102 days) in the period of the last 3 years, the average time in days below previous high water mark of 119 days is larger, thus worse.