Description

The investment seeks to track the performance of a benchmark index that measures the investment return of large-capitalization value stocks. The fund employs an indexing investment approach designed to track the performance of the CRSP US Large Cap Value Index, a broadly diversified index predominantly made up of value stocks of large U.S. companies. The advisor attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of Vanguard Value Index Fund is 99%, which is lower, thus worse compared to the benchmark SPY (110.9%) in the same period.
  • Compared with SPY (69.3%) in the period of the last 3 years, the total return, or performance of 43.9% is smaller, thus worse.

CAGR:

'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:
  • Compared with the benchmark SPY (16.1%) in the period of the last 5 years, the annual return (CAGR) of 14.8% of Vanguard Value Index Fund is lower, thus worse.
  • Compared with SPY (19.3%) in the period of the last 3 years, the annual performance (CAGR) of 13% is lower, thus worse.

Volatility:

'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:
  • The historical 30 days volatility over 5 years of Vanguard Value Index Fund is 14.7%, which is smaller, thus better compared to the benchmark SPY (17.5%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 14.2%, which is lower, thus better than the value of 17.5% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Which means for our asset as example:
  • Looking at the downside volatility of 10% in the last 5 years of Vanguard Value Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.1%)
  • Compared with SPY (11.5%) in the period of the last 3 years, the downside volatility of 9.6% is lower, thus better.

Sharpe:

'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:
  • Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.84 of Vanguard Value Index Fund is greater, thus better.
  • Compared with SPY (0.96) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.74 is smaller, thus worse.

Sortino:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of 1.22 in the last 5 years of Vanguard Value Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.13)
  • During the last 3 years, the excess return divided by the downside deviation is 1.09, which is smaller, thus worse than the value of 1.46 from the benchmark.

Ulcer:

'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.'

Which means for our asset as example:
  • The Downside risk index over 5 years of Vanguard Value Index Fund is 4.7 , which is smaller, thus better compared to the benchmark SPY (8.48 ) in the same period.
  • Compared with SPY (5.3 ) in the period of the last 3 years, the Downside risk index of 4.1 is smaller, thus better.

MaxDD:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -17.2 days of Vanguard Value Index Fund is higher, thus better.
  • Looking at maximum drop from peak to valley in of -14.4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 313 days of Vanguard Value Index Fund is lower, thus better.
  • Looking at maximum time in days below previous high water mark in of 155 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (199 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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of Vanguard Value Index Fund is 65 days, which is lower, thus better compared to the benchmark SPY (120 days) in the same period.
  • Looking at average days below previous high in of 47 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (47 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Value Index Fund are hypothetical and do not account for slippage, fees or taxes.