'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:- The total return, or performance over 5 years of Vanguard Value Index Fund is 49.5%, which is lower, thus worse compared to the benchmark SPY (80%) in the same period.
- Compared with SPY (31.8%) in the period of the last 3 years, the total return of 33% is larger, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the annual performance (CAGR) of 8.4% in the last 5 years of Vanguard Value Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.5%)
- During the last 3 years, the annual return (CAGR) is 10%, which is larger, thus better than the value of 9.7% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the historical 30 days volatility of 20.5% in the last 5 years of Vanguard Value Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.3%)
- During the last 3 years, the 30 days standard deviation is 14.8%, which is lower, thus better than the value of 17.6% from the benchmark.

'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:- The downside volatility over 5 years of Vanguard Value Index Fund is 14.7%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
- Compared with SPY (12.3%) in the period of the last 3 years, the downside deviation of 10.3% is lower, thus better.

'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:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard Value Index Fund is 0.29, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.51, which is higher, thus better than the value of 0.41 from the benchmark.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Applying this definition to our asset in some examples:- The downside risk / excess return profile over 5 years of Vanguard Value Index Fund is 0.4, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is 0.73, which is higher, thus better than the value of 0.58 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The Ulcer Index over 5 years of Vanguard Value Index Fund is 7.74 , which is smaller, thus better compared to the benchmark SPY (9.43 ) in the same period.
- Looking at Downside risk index in of 5.43 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'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 (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -36.8 days of Vanguard Value Index Fund is lower, thus worse.
- Looking at maximum drop from peak to valley in of -17.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-24.5 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.'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 313 days in the last 5 years of Vanguard Value Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (480 days)
- During the last 3 years, the maximum days below previous high is 313 days, which is lower, thus better than the value of 480 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:- Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 76 days of Vanguard Value Index Fund is lower, thus better.
- During the last 3 years, the average days under water is 84 days, which is smaller, thus better than the value of 174 days from the benchmark.

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 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.