'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 (122.1%) in the period of the last 5 years, the total return, or performance of 122.4% of Vanguard Total Stock Market Index Fund is higher, thus better.
- Compared with SPY (64.6%) in the period of the last 3 years, the total return of 64.4% is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 17.4% in the last 5 years of Vanguard Total Stock Market Index Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (17.3%)
- Looking at annual performance (CAGR) in of 18.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (18.1%).

'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:- The volatility over 5 years of Vanguard Total Stock Market Index Fund is 19.3%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Looking at 30 days standard deviation in of 23.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (22.5%).

'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:- Looking at the downside deviation of 14% in the last 5 years of Vanguard Total Stock Market Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.6%)
- During the last 3 years, the downside volatility is 17%, which is greater, thus worse than the value of 16.4% from the benchmark.

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard Total Stock Market Index Fund is 0.77, which is lower, thus worse compared to the benchmark SPY (0.79) in the same period.
- Compared with SPY (0.69) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.67 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of Vanguard Total Stock Market Index Fund is 1.06, which is smaller, thus worse compared to the benchmark SPY (1.09) in the same period.
- Looking at ratio of annual return and downside deviation in of 0.91 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

'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.'

Applying this definition to our asset in some examples:- The Ulcer Index over 5 years of Vanguard Total Stock Market Index Fund is 5.86 , which is larger, thus worse compared to the benchmark SPY (5.58 ) in the same period.
- Looking at Ulcer Index in of 7.25 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.83 ).

'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:- 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 days of Vanguard Total Stock Market Index Fund is smaller, thus worse.
- Looking at maximum drop from peak to valley in of -35 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

'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'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 145 days in the last 5 years of Vanguard Total Stock Market Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (139 days)
- During the last 3 years, the maximum days below previous high is 145 days, which is larger, thus worse than the value of 139 days from the benchmark.

'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:- The average time in days below previous high water mark over 5 years of Vanguard Total Stock Market Index Fund is 32 days, which is lower, thus better compared to the benchmark SPY (33 days) in the same period.
- During the last 3 years, the average days below previous high is 36 days, which is higher, thus worse than the value of 35 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Total Stock Market 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.