'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of Vanguard Small Cap Growth Index Fund is 173.3%, which is higher, thus better compared to the benchmark SPY (122.1%) in the same period.
- During the last 3 years, the total return, or increase in value is 75%, which is greater, thus better than the value of 43.5% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 22.3% in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (17.3%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 20.6%, which is higher, thus better than the value of 12.8% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the historical 30 days volatility of 22% in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.8%)
- Compared with SPY (22.9%) in the period of the last 3 years, the volatility of 26.1% is greater, thus worse.

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

Which means for our asset as example:- The downside deviation over 5 years of Vanguard Small Cap Growth Index Fund is 16.1%, which is greater, thus worse compared to the benchmark SPY (13.6%) in the same period.
- During the last 3 years, the downside risk is 19.3%, which is greater, thus worse than the value of 16.8% from the benchmark.

'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:- Looking at the ratio of return and volatility (Sharpe) of 0.9 in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.79)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.69, which is higher, thus better than the value of 0.45 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.'

Which means for our asset as example:- The ratio of annual return and downside deviation over 5 years of Vanguard Small Cap Growth Index Fund is 1.23, which is greater, thus better compared to the benchmark SPY (1.09) in the same period.
- Looking at excess return divided by the downside deviation in of 0.94 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.61).

'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.'

Which means for our asset as example:- The Ulcer Index over 5 years of Vanguard Small Cap Growth Index Fund is 6.91 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Looking at Ulcer Ratio in of 8.74 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (7.15 ).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -38.7 days of Vanguard Small Cap Growth Index Fund is lower, thus worse.
- During the last 3 years, the maximum DrawDown is -38.7 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 208 days of Vanguard Small Cap Growth Index Fund is larger, thus worse.
- Looking at maximum days under water in of 208 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

'The Average 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. 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.'

Which means for our asset as example:- Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days below previous high of 36 days of Vanguard Small Cap Growth Index Fund is larger, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 51 days, which is greater, thus worse than the value of 45 days from the benchmark.

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 Small Cap Growth 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.