Vanguard Total Stock Market Index Fund (VTSMX)

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.'

• Looking at the total return of 60% in the last 5 years of Vanguard Total Stock Market Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (67.9%)
• During the last 3 years, the total return, or increase in value is 41.1%, which is lower, thus worse than the value of 44.5% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 9.9% of Vanguard Total Stock Market Index Fund is lower, thus worse.
• Compared with SPY (13.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 12.2% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 22.1% of Vanguard Total Stock Market Index Fund is greater, thus worse.
• Compared with SPY (18.7%) in the period of the last 3 years, the volatility of 19.3% is greater, thus worse.

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.'

• The downside deviation over 5 years of Vanguard Total Stock Market Index Fund is 16%, which is greater, thus worse compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (13.3%) in the period of the last 3 years, the downside volatility of 13.8% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.39) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.33 of Vanguard Total Stock Market Index Fund is smaller, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.5, which is lower, thus worse than the value of 0.56 from the benchmark.

Sortino:

'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.'

• Looking at the excess return divided by the downside deviation of 0.46 in the last 5 years of Vanguard Total Stock Market Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.55)
• During the last 3 years, the excess return divided by the downside deviation is 0.7, which is smaller, thus worse than the value of 0.79 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Compared with the benchmark SPY (9.47 ) in the period of the last 5 years, the Ulcer Ratio of 10 of Vanguard Total Stock Market Index Fund is higher, thus worse.
• 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 (10 ).

MaxDD:

'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.'

• Looking at the maximum reduction from previous high of -35 days in the last 5 years of Vanguard Total Stock Market 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 -25.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (354 days) in the period of the last 5 years, the maximum days below previous high of 354 days of Vanguard Total Stock Market Index Fund is larger, thus worse.
• Compared with SPY (354 days) in the period of the last 3 years, the maximum days under water of 354 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 (79 days) in the period of the last 5 years, the average days under water of 80 days of Vanguard Total Stock Market Index Fund is larger, thus worse.
• Looking at average days below previous high in of 102 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (102 days).