Vanguard Value Index Fund (VIVAX)

TotalReturn:

'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.'

• Compared with the benchmark SPY (133.2%) in the period of the last 5 years, the total return of 86.1% of Vanguard Value Index Fund is lower, thus worse.
• Compared with SPY (80.4%) in the period of the last 3 years, the total return, or performance of 48.7% is lower, thus worse.

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.'

• Compared with the benchmark SPY (18.5%) in the period of the last 5 years, the annual performance (CAGR) of 13.2% of Vanguard Value Index Fund is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 14.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.8%).

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.'

• Looking at the 30 days standard deviation of 19.2% in the last 5 years of Vanguard Value Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (18.7%)
• During the last 3 years, the volatility is 23.1%, which is larger, thus worse than the value of 22.4% from the benchmark.

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.'

• Looking at the downside volatility of 13.8% in the last 5 years of Vanguard Value Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
• During the last 3 years, the downside volatility is 16.6%, which is greater, thus worse than the value of 16.2% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.56 in the last 5 years of Vanguard Value Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.85)
• Looking at risk / return profile (Sharpe) in of 0.51 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.86).

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 (1.18) in the period of the last 5 years, the downside risk / excess return profile of 0.78 of Vanguard Value Index Fund is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.7, which is lower, thus worse than the value of 1.19 from the benchmark.

Ulcer:

'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.'

• The Downside risk index over 5 years of Vanguard Value Index Fund is 7.1 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Looking at Ulcer Ratio in of 8.43 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.36 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -36.8 days of Vanguard Value Index Fund is lower, thus worse.
• Looking at maximum reduction from previous high in of -36.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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) in days.'

• The maximum days below previous high over 5 years of Vanguard Value Index Fund is 222 days, which is larger, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 222 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (119 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.'

• The average time in days below previous high water mark over 5 years of Vanguard Value Index Fund is 54 days, which is higher, thus worse compared to the benchmark SPY (32 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 50 days, which is larger, thus worse than the value of 25 days from the benchmark.