'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.'

Using this definition on our asset we see for example:- The total return, or increase in value over 5 years of Vanguard Small Cap Growth Index Fund is 52%, which is lower, thus worse compared to the benchmark SPY (60.9%) in the same period.
- During the last 3 years, the total return is 38.1%, which is higher, thus better than the value of 34.2% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 8.7% 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 (10%)
- Looking at annual return (CAGR) in of 11.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.3%).

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- The historical 30 days volatility over 5 years of Vanguard Small Cap Growth Index Fund is 21.7%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (21.5%) in the period of the last 3 years, the volatility of 24.6% is greater, thus worse.

'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.'

Which means for our asset as example:- The downside volatility 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.
- Looking at downside risk in of 18.3% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (15.7%).

'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.'

Applying this definition to our asset in some examples:- Looking at the risk / return profile (Sharpe) of 0.29 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 (0.4)
- Compared with SPY (0.36) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.36 is larger, thus better.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- The ratio of annual return and downside deviation over 5 years of Vanguard Small Cap Growth Index Fund is 0.39, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
- Compared with SPY (0.5) in the period of the last 3 years, the downside risk / excess return profile of 0.48 is lower, thus worse.

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (5.82 ) in the period of the last 5 years, the Downside risk index of 8.98 of Vanguard Small Cap Growth Index Fund is higher, thus worse.
- Looking at Ulcer Index in of 8.63 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.86 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:- The maximum reduction from previous high 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 drop from peak to valley 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.'

Applying this definition to our asset in some examples:- The maximum days under water over 5 years of Vanguard Small Cap Growth Index Fund is 369 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
- During the last 3 years, the maximum days under water is 208 days, which is larger, thus worse than the value of 139 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.'

Applying this definition to our asset in some examples:- Looking at the average days below previous high of 89 days in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (43 days)
- During the last 3 years, the average time in days below previous high water mark is 47 days, which is higher, thus worse than the value of 39 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

- 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.