'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:- Compared with the benchmark SPY (91.2%) in the period of the last 5 years, the total return of 32% of Vanguard Developed Markets Index Fund is lower, thus worse.
- Looking at total return, or performance in of 3.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (41.5%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 5.7% of Vanguard Developed Markets Index Fund is smaller, thus worse.
- Looking at annual performance (CAGR) in of 1.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.3%).

'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:- Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the volatility of 17.4% of Vanguard Developed Markets Index Fund is lower, thus better.
- During the last 3 years, the volatility is 19.4%, which is smaller, thus better than the value of 22.4% from the benchmark.

'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.'

Which means for our asset as example:- The downside risk over 5 years of Vanguard Developed Markets Index Fund is 13.2%, which is smaller, thus better compared to the benchmark SPY (13.7%) in the same period.
- During the last 3 years, the downside volatility is 14.9%, which is lower, thus better than the value of 16.5% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (0.6) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.18 of Vanguard Developed Markets Index Fund is smaller, thus worse.
- During the last 3 years, the risk / return profile (Sharpe) is -0.07, which is lower, thus worse than the value of 0.44 from the benchmark.

'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.'

Which means for our asset as example:- The ratio of annual return and downside deviation over 5 years of Vanguard Developed Markets Index Fund is 0.24, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
- Looking at downside risk / excess return profile in of -0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.59).

'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.'

Applying this definition to our asset in some examples:- The Ulcer Ratio over 5 years of Vanguard Developed Markets Index Fund is 9.27 , which is higher, thus worse compared to the benchmark SPY (5.79 ) in the same period.
- Looking at Downside risk index in of 11 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (7.09 ).

'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 drop from peak to valley of -35.7 days of Vanguard Developed Markets Index Fund is lower, thus worse.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -35.7 days is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of Vanguard Developed Markets Index Fund is 672 days, which is greater, 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 672 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average time in days below previous high water mark of 218 days of Vanguard Developed Markets Index Fund is larger, thus worse.
- Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 314 days is greater, thus worse.

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 Developed Markets 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.