Vanguard Pacific Stock Index Fund (VPACX)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 35.3% in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (98.9%)
• During the last 3 years, the total return is 51.5%, which is lower, thus worse than the value of 74% from the benchmark.

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.'

• Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the annual performance (CAGR) of 6.3% of Vanguard Pacific Stock Index Fund is smaller, thus worse.
• Looking at annual performance (CAGR) in of 14.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.4%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 15.7% of Vanguard Pacific Stock Index Fund is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 15.3%, which is smaller, thus better than the value of 15.7% 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 risk of 11% in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 10.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.5%).

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 0.24 in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.72)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.81, which is lower, thus worse than the value of 1.14 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of 0.34 in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.05)
• During the last 3 years, the ratio of annual return and downside deviation is 1.18, which is lower, thus worse than the value of 1.71 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.'

• Looking at the Ulcer Index of 12 in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Index is 4.37 , which is larger, thus worse than the value of 3.63 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -31.3 days of Vanguard Pacific Stock Index Fund is smaller, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -16.4 days is larger, thus better.

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 761 days of Vanguard Pacific Stock Index Fund is greater, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 164 days is larger, thus worse.

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 (120 days) in the period of the last 5 years, the average days below previous high of 258 days of Vanguard Pacific Stock Index Fund is greater, thus worse.
• Looking at average time in days below previous high water mark in of 40 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (21 days).