Vanguard Real Estate Index Fund (VGSIX)

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, or performance over 5 years of Vanguard Real Estate Index Fund is 14.9%, which is smaller, thus worse compared to the benchmark SPY (80.5%) in the same period.
• Looking at total return, or increase in value in of 23.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (72.5%).

CAGR:

'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.'

• The annual performance (CAGR) over 5 years of Vanguard Real Estate Index Fund is 2.8%, which is lower, thus worse compared to the benchmark SPY (12.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 7.5%, which is smaller, thus worse than the value of 20% from the benchmark.

Volatility:

'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.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the 30 days standard deviation of 18.9% of Vanguard Real Estate Index Fund is greater, thus worse.
• Compared with SPY (15%) in the period of the last 3 years, the 30 days standard deviation of 17.1% is higher, 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 volatility over 5 years of Vanguard Real Estate Index Fund is 13.4%, which is larger, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside risk of 11.9% is greater, thus worse.

Sharpe:

'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.'

• Compared with the benchmark SPY (0.59) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.02 of Vanguard Real Estate Index Fund is lower, thus worse.
• Looking at Sharpe Ratio in of 0.29 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.17).

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 0.02 in the last 5 years of Vanguard Real Estate Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.86)
• Looking at excess return divided by the downside deviation in of 0.42 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.74).

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.'

• The Ulcer Index over 5 years of Vanguard Real Estate Index Fund is 17 , which is greater, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• During the last 3 years, the Ulcer Index is 6.09 , which is higher, thus worse than the value of 3.43 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum drop from peak to valley of -34.6 days in the last 5 years of Vanguard Real Estate Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -17.5 days, which is greater, thus better than the value of -18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1060 days of Vanguard Real Estate Index Fund is larger, thus worse.
• During the last 3 years, the maximum days under water is 301 days, which is higher, thus worse than the value of 87 days from the benchmark.

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 below previous high over 5 years of Vanguard Real Estate Index Fund is 466 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (20 days) in the period of the last 3 years, the average days under water of 87 days is higher, thus worse.