'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 35.2% in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.3%)
- Looking at total return, or increase in value in of 12.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (31.6%).

'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.'

Using this definition on our asset we see for example:- Looking at the annual performance (CAGR) of 6.2% in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 3.9%, which is smaller, thus worse than the value of 9.6% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the 30 days standard deviation of 25.7% 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 (20.8%)
- Compared with SPY (24%) in the period of the last 3 years, the 30 days standard deviation of 29.9% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- The downside deviation over 5 years of Vanguard Small Cap Growth Index Fund is 18.9%, which is higher, thus worse compared to the benchmark SPY (15.3%) in the same period.
- Compared with SPY (17.6%) in the period of the last 3 years, the downside risk of 22.2% is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 0.14 in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
- Compared with SPY (0.3) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.05 is smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of 0.2 in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
- Compared with SPY (0.4) in the period of the last 3 years, the downside risk / excess return profile of 0.06 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Index of 13 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 (7.61 )
- Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (8.93 ).

'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:- The maximum drop from peak to valley over 5 years of Vanguard Small Cap Growth Index Fund is -38.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum reduction from previous high in of -38.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'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.'

Using this definition on our asset we see for example:- The maximum days below previous high over 5 years of Vanguard Small Cap Growth Index Fund is 223 days, which is greater, thus worse compared to the benchmark SPY (185 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 223 days, which is greater, thus worse than the value of 185 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average time in days below previous high water mark of 67 days of Vanguard Small Cap Growth Index Fund is higher, thus worse.
- During the last 3 years, the average days under water is 72 days, which is greater, thus worse than the value of 44 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.