Vanguard 500 Index Fund Investor Shares

'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.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 67.7% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (67.9%)
- Looking at total return in of 38.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (38.6%).

'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.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of Vanguard 500 Index Fund is 10.9%, which is higher, thus better compared to the benchmark SPY (10.9%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 11.4%, which is lower, thus worse than the value of 11.5% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The 30 days standard deviation over 5 years of Vanguard 500 Index Fund is 19.1%, which is greater, thus worse compared to the benchmark SPY (18.7%) in the same period.
- Compared with SPY (21.5%) in the period of the last 3 years, the historical 30 days volatility of 22% is greater, thus worse.

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

Which means for our asset as example:- Looking at the downside volatility of 13.8% in the last 5 years of Vanguard 500 Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
- Looking at downside volatility in of 15.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15.7%).

'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.'

Applying this definition to our asset in some examples:- The Sharpe Ratio over 5 years of Vanguard 500 Index Fund is 0.44, which is lower, thus worse compared to the benchmark SPY (0.45) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.41, which is lower, thus worse than the value of 0.42 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk / excess return profile of 0.61 in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.62)
- Compared with SPY (0.57) in the period of the last 3 years, the excess return divided by the downside deviation of 0.56 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of Vanguard 500 Index Fund is 5.85 , which is larger, thus worse compared to the benchmark SPY (5.82 ) in the same period.
- Looking at Downside risk index in of 6.88 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (6.87 ).

'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:- Looking at the maximum DrawDown of -33.8 days in the last 5 years of Vanguard 500 Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
- Looking at maximum drop from peak to valley in of -33.8 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) in days.'

Using this definition on our asset we see for example:- The maximum days under water over 5 years of Vanguard 500 Index Fund is 188 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
- Looking at maximum days under water in of 139 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

'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 days below previous high over 5 years of Vanguard 500 Index Fund is 43 days, which is higher, thus worse compared to the benchmark SPY (43 days) in the same period.
- During the last 3 years, the average days below previous high is 39 days, which is greater, thus worse than the value of 39 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard 500 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.