Vanguard International Value Fund (VTRIX)

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.'

• Looking at the total return, or increase in value of 29.8% in the last 5 years of Vanguard International Value Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (80.1%)
• During the last 3 years, the total return is 10.5%, which is lower, thus worse than the value of 30.8% 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.'

• Looking at the annual return (CAGR) of 5.4% in the last 5 years of Vanguard International Value Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.5%)
• Compared with SPY (9.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 3.4% is smaller, 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.'

• The historical 30 days volatility over 5 years of Vanguard International Value Fund is 19.3%, which is lower, thus better compared to the benchmark SPY (21.3%) in the same period.
• Compared with SPY (17.6%) in the period of the last 3 years, the 30 days standard deviation of 16.6% is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 deviation of 14.1% in the last 5 years of Vanguard International Value Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.3%)
• During the last 3 years, the downside volatility is 11.6%, which is lower, thus better than the value of 12.3% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 0.15 in the last 5 years of Vanguard International Value Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.47)
• Looking at risk / return profile (Sharpe) in of 0.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.39).

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 excess return divided by the downside deviation of 0.2 in the last 5 years of Vanguard International Value Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
• During the last 3 years, the ratio of annual return and downside deviation is 0.08, which is lower, thus worse than the value of 0.56 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.'

• The Downside risk index over 5 years of Vanguard International Value Fund is 11 , which is larger, thus worse compared to the benchmark SPY (9.43 ) in the same period.
• During the last 3 years, the Ulcer Index is 12 , which is larger, thus worse than the value of 10 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.'

• Looking at the maximum reduction from previous high of -36.1 days in the last 5 years of Vanguard International Value Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -28.1 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

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 (478 days) in the period of the last 5 years, the maximum days under water of 624 days of Vanguard International Value Fund is higher, thus worse.
• Compared with SPY (478 days) in the period of the last 3 years, the maximum days below previous high of 624 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.'

• Looking at the average days below previous high of 189 days in the last 5 years of Vanguard International Value Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
• Compared with SPY (173 days) in the period of the last 3 years, the average days under water of 271 days is greater, thus worse.