Description

The investment seeks to track the performance of a benchmark index that measures the investment return of stocks issued by companies located in the major markets of the Pacific region. The fund employs an indexing investment approach by investing all, or substantially all, of its assets in the common stocks included in the FTSE Developed Asia Pacific All Cap Index. The FTSE Developed Asia Pacific All Cap Index is a market-capitalization-weighted 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (116.9%) in the period of the last 5 years, the total return of 61.3% of Vanguard Pacific Stock Index Fund is lower, thus worse.
  • During the last 3 years, the total return, or increase in value is 21.8%, which is smaller, thus worse than the value of 63.4% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of 10% in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (16.8%)
  • Compared with SPY (17.8%) in the period of the last 3 years, the annual return (CAGR) of 6.8% is lower, thus worse.

Volatility:

'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.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 16% 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 (18.7%)
  • Looking at volatility in of 18.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.5%).

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside risk over 5 years of Vanguard Pacific Stock Index Fund is 11.8%, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (16.3%) in the period of the last 3 years, the downside deviation of 13.8% is smaller, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.76) in the period of the last 5 years, the Sharpe Ratio of 0.47 of Vanguard Pacific Stock Index Fund is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.23 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.68).

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 0.64 in the last 5 years of Vanguard Pacific Stock Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.05)
  • During the last 3 years, the excess return divided by the downside deviation is 0.31, which is smaller, thus worse than the value of 0.94 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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Vanguard Pacific Stock Index Fund is 9.52 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • Looking at Ulcer Ratio in of 9.01 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.83 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -33.9 days 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 (-33.7 days)
  • Looking at maximum reduction from previous high in of -31.1 days in the period of the last 3 years, we see it is relatively higher, thus better 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 703 days of Vanguard Pacific Stock Index Fund is larger, thus worse.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 418 days is greater, 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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 225 days 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 (33 days)
  • Compared with SPY (35 days) in the period of the last 3 years, the average time in days below previous high water mark of 153 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Pacific Stock 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.