Vanguard Small Cap Value Index Fund (VISVX)

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.'

• Compared with the benchmark SPY (94.2%) in the period of the last 5 years, the total return of 62.9% of Vanguard Small Cap Value Index Fund is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 21.9%, which is lower, thus worse than the value of 27.9% from the benchmark.

CAGR:

'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.'

• The annual return (CAGR) over 5 years of Vanguard Small Cap Value Index Fund is 10.3%, which is lower, thus worse compared to the benchmark SPY (14.2%) in the same period.
• Looking at annual performance (CAGR) in of 6.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.6%).

Volatility:

'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.'

• Looking at the volatility of 26.5% in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
• Compared with SPY (17.3%) in the period of the last 3 years, the volatility of 20.2% is larger, thus worse.

DownVol:

'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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 19% of Vanguard Small Cap Value Index Fund is greater, thus worse.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 14% is larger, thus worse.

Sharpe:

'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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.29 in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
• Looking at Sharpe Ratio in of 0.22 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.35).

Sortino:

'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.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.41 of Vanguard Small Cap Value Index Fund is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.31, which is smaller, thus worse than the value of 0.5 from the benchmark.

Ulcer:

'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.'

• Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Ratio of 12 of Vanguard Small Cap Value Index Fund is higher, thus worse.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 8.96 is lower, thus better.

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.'

• Looking at the maximum drop from peak to valley of -45.4 days in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -21.3 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 days).

MaxDuration:

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days under water of 527 days in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 527 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (488 days).

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.'

• Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 148 days of Vanguard Small Cap Value Index Fund is higher, thus worse.
• Looking at average days under water in of 200 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (180 days).