Vanguard Total Stock Market Index Fund (VTSMX)

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.'

• The total return over 5 years of Vanguard Total Stock Market Index Fund is 129.5%, which is greater, thus better compared to the benchmark SPY (129.1%) in the same period.
• During the last 3 years, the total return, or performance is 72%, which is greater, thus better than the value of 71.3% 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.'

• Looking at the compounded annual growth rate (CAGR) of 18.1% in the last 5 years of Vanguard Total Stock Market Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (18.1%)
• Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 19.9% is larger, thus better.

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 (18.7%) in the period of the last 5 years, the 30 days standard deviation of 19.3% of Vanguard Total Stock Market Index Fund is greater, thus worse.
• During the last 3 years, the historical 30 days volatility is 23.4%, which is greater, thus worse than the value of 22.5% from the benchmark.

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.'

• Looking at the downside risk of 14.1% 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%)
• Compared with SPY (16.3%) in the period of the last 3 years, the downside volatility of 17% is larger, thus worse.

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.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.81 of Vanguard Total Stock Market Index Fund is lower, thus worse.
• Compared with SPY (0.76) in the period of the last 3 years, the Sharpe Ratio of 0.74 is lower, thus worse.

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.'

• Compared with the benchmark SPY (1.15) in the period of the last 5 years, the excess return divided by the downside deviation of 1.11 of Vanguard Total Stock Market Index Fund is smaller, thus worse.
• Compared with SPY (1.05) in the period of the last 3 years, the excess return divided by the downside deviation of 1.02 is lower, thus worse.

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.'

• Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 5.84 of Vanguard Total Stock Market Index Fund is higher, thus worse.
• During the last 3 years, the Ulcer Index is 6.7 , which is higher, thus worse than the value of 6.38 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 drop from peak to valley 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)
• During the last 3 years, the maximum reduction from previous high is -35 days, which is lower, thus worse than the value of -33.7 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.'

• Looking at the maximum days under water of 145 days 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 (139 days)
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 120 days is higher, 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.'

• The average days under water over 5 years of Vanguard Total Stock Market Index Fund is 32 days, which is larger, thus worse compared to the benchmark SPY (32 days) in the same period.
• Looking at average time in days below previous high water mark in of 25 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25 days).