Vanguard Total Stock Market Index Fund (VTSMX)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of Vanguard Total Stock Market Index Fund is 91.2%, which is lower, thus worse compared to the benchmark SPY (97.3%) in the same period.
• Looking at total return, or increase in value in of 37.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (40.1%).

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 (14.6%) in the period of the last 5 years, the annual return (CAGR) of 13.9% of Vanguard Total Stock Market Index Fund is smaller, thus worse.
• Compared with SPY (12%) in the period of the last 3 years, the annual return (CAGR) of 11.3% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The 30 days standard deviation over 5 years of Vanguard Total Stock Market Index Fund is 21.8%, which is larger, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at historical 30 days volatility in of 17.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.3%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Vanguard Total Stock Market Index Fund is 15.7%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 12.5% is greater, 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 (0.58) in the period of the last 5 years, the Sharpe Ratio of 0.52 of Vanguard Total Stock Market Index Fund is lower, thus worse.
• During the last 3 years, the risk / return profile (Sharpe) is 0.5, which is smaller, thus worse than the value of 0.55 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.'

• The ratio of annual return and downside deviation over 5 years of Vanguard Total Stock Market Index Fund is 0.73, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Compared with SPY (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of 0.71 is lower, thus worse.

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.'

• Looking at the Downside risk index of 10 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 (9.33 )
• During the last 3 years, the Ulcer Index is 9.15 , which is greater, thus worse than the value of 8.64 from the benchmark.

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 DrawDown 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 DrawDown in of -22.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-22.1 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) in days.'

• The maximum time in days below previous high water mark over 5 years of Vanguard Total Stock Market Index Fund is 492 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 421 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (325 days).

AveDuration:

'The Average 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. 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 123 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 (122 days)
• Looking at average time in days below previous high water mark in of 136 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (89 days).