'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (81.9%) in the period of the last 5 years, the total return, or increase in value of 45% of Vanguard Small Cap Value Index Fund is lower, thus worse.
- Looking at total return in of 30.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (46.1%).

'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.'

Applying this definition to our asset in some examples:- The compounded annual growth rate (CAGR) over 5 years of Vanguard Small Cap Value Index Fund is 7.7%, which is lower, thus worse compared to the benchmark SPY (12.7%) in the same period.
- Compared with SPY (13.5%) in the period of the last 3 years, the annual return (CAGR) of 9.3% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 24.7% 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 (19.8%)
- Compared with SPY (23%) in the period of the last 3 years, the 30 days standard deviation of 29.8% is larger, 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:- Looking at the downside risk of 18% in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.5%)
- Compared with SPY (16.8%) in the period of the last 3 years, the downside volatility of 21.7% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.52) in the period of the last 5 years, the Sharpe Ratio of 0.21 of Vanguard Small Cap Value Index Fund is smaller, thus worse.
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.23, which is smaller, thus worse than the value of 0.48 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:- Compared with the benchmark SPY (0.7) in the period of the last 5 years, the downside risk / excess return profile of 0.29 of Vanguard Small Cap Value Index Fund is lower, thus worse.
- During the last 3 years, the ratio of annual return and downside deviation is 0.31, which is smaller, thus worse than the value of 0.65 from the benchmark.

'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 Downside risk index of 11 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 (6.08 )
- Looking at Downside risk index in of 12 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.77 ).

'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.'

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 -45.4 days of Vanguard Small Cap Value Index Fund is lower, thus worse.
- During the last 3 years, the maximum DrawDown is -45.4 days, which is smaller, 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). 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'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 346 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 (139 days)
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 216 days is greater, 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:- The average time in days below previous high water mark over 5 years of Vanguard Small Cap Value Index Fund is 89 days, which is greater, thus worse compared to the benchmark SPY (35 days) in the same period.
- Compared with SPY (27 days) in the period of the last 3 years, the average days below previous high of 58 days is greater, thus worse.

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 Value 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.