Vanguard Real Estate Index Fund (VGSIX)

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.'

• Looking at the total return, or performance of 24.6% in the last 5 years of Vanguard Real Estate Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (89.7%)
• During the last 3 years, the total return, or performance is 16.6%, which is smaller, thus worse than the value of 76.4% 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.'

• The annual return (CAGR) over 5 years of Vanguard Real Estate Index Fund is 4.5%, which is lower, thus worse compared to the benchmark SPY (13.7%) in the same period.
• During the last 3 years, the annual return (CAGR) is 5.3%, which is smaller, thus worse than the value of 21% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the volatility of 18.9% of Vanguard Real Estate Index Fund is higher, thus worse.
• During the last 3 years, the volatility is 17.5%, which is higher, thus worse than the value of 15.2% 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.'

• Looking at the downside volatility of 13.3% in the last 5 years of Vanguard Real Estate Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 12.4% is higher, 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 risk / return profile (Sharpe) over 5 years of Vanguard Real Estate Index Fund is 0.11, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.16 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.22).

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 (0.96) in the period of the last 5 years, the downside risk / excess return profile of 0.15 of Vanguard Real Estate Index Fund is smaller, thus worse.
• Looking at ratio of annual return and downside deviation in of 0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.82).

Ulcer:

'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.'

• Looking at the Ulcer Ratio of 17 in the last 5 years of Vanguard Real Estate Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.42 )
• Compared with SPY (3.48 ) in the period of the last 3 years, the Downside risk index of 7.17 is higher, thus worse.

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 reduction from previous high of -34.6 days in the last 5 years of Vanguard Real Estate 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 DrawDown is -19.3 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.'

• Looking at the maximum days under water of 1031 days in the last 5 years of Vanguard Real Estate Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 300 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 443 days of Vanguard Real Estate Index Fund is higher, thus worse.
• Compared with SPY (19 days) in the period of the last 3 years, the average days below previous high of 107 days is higher, thus worse.