'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.'

Which means for our asset as example:- Looking at the total return of 43.1% 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 (63%)
- During the last 3 years, the total return, or performance is 16.4%, which is lower, thus worse than the value of 33.5% from the benchmark.

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 7.4% 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 (10.3%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 5.2%, which is smaller, thus worse than the value of 10.1% 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 30 days standard deviation of 26.7% in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.6%)
- Compared with SPY (25.1%) in the period of the last 3 years, the 30 days standard deviation of 31.4% is greater, 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside risk of 19.5% of Vanguard Small Cap Growth Index Fund is higher, thus worse.
- Looking at downside risk in of 22.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.1%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of Vanguard Small Cap Growth Index Fund is 0.18, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
- Compared with SPY (0.3) in the period of the last 3 years, the Sharpe Ratio of 0.09 is lower, 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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 0.25 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 (0.5)
- Compared with SPY (0.42) in the period of the last 3 years, the excess return divided by the downside deviation of 0.12 is smaller, 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:- Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Index of 15 of Vanguard Small Cap Growth Index Fund is larger, thus worse.
- Compared with SPY (11 ) in the period of the last 3 years, the Downside risk index of 19 is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum drop from peak to valley of -38.7 days 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 (-33.7 days)
- During the last 3 years, the maximum reduction from previous high is -38.7 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The maximum days below previous high over 5 years of Vanguard Small Cap Growth Index Fund is 311 days, which is higher, thus worse compared to the benchmark SPY (273 days) in the same period.
- Compared with SPY (273 days) in the period of the last 3 years, the maximum days under water of 311 days is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average days below previous high of 86 days of Vanguard Small Cap Growth Index Fund is higher, thus worse.
- Looking at average days below previous high in of 103 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (73 days).

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.