Vanguard Total International Stock Index Fund (VGTSX)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or increase in value of 47% in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (96.6%)
• Looking at total return, or performance in of 56.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (82.2%).

CAGR:

'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.'

• Compared with the benchmark SPY (14.5%) in the period of the last 5 years, the annual performance (CAGR) of 8% of Vanguard Total International Stock Index Fund is smaller, thus worse.
• During the last 3 years, the annual performance (CAGR) is 16.2%, which is lower, thus worse than the value of 22.3% 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.'

• The 30 days standard deviation over 5 years of Vanguard Total International Stock Index Fund is 14.6%, which is lower, thus better compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.3%) in the period of the last 3 years, the volatility of 12.8% is smaller, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 10.1% in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 8.8% is lower, thus better.

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.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.38 of Vanguard Total International Stock Index Fund is smaller, thus worse.
• Compared with SPY (1.3) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.07 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 (1.02) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.55 of Vanguard Total International Stock Index Fund is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of 1.55 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.94).

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 10 in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.42 )
• Looking at Downside risk index in of 3.67 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.52 ).

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 (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -29.6 days of Vanguard Total International Stock Index Fund is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -13.1 days, which is higher, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days below previous high over 5 years of Vanguard Total International Stock Index Fund is 734 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 117 days, which is higher, thus worse than the value of 87 days from the benchmark.

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 days below previous high of 241 days in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (120 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average days below previous high of 30 days is larger, thus worse.