Vanguard Total International Stock Index Fund (VGTSX)

TotalReturn:

'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.'

• Compared with the benchmark SPY (80.2%) in the period of the last 5 years, the total return, or increase in value of 42.8% of Vanguard Total International Stock Index Fund is smaller, thus worse.
• Looking at total return in of 56.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (73.2%).

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 (12.5%) in the period of the last 5 years, the annual return (CAGR) of 7.4% of Vanguard Total International Stock Index Fund is lower, thus worse.
• Compared with SPY (20.2%) in the period of the last 3 years, the annual return (CAGR) of 16.2% is smaller, thus worse.

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.'

• Looking at the volatility of 14.7% in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (17%)
• Compared with SPY (15%) in the period of the last 3 years, the 30 days standard deviation of 13.2% is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside volatility of 10.3% of Vanguard Total International Stock Index Fund is lower, thus better.
• Looking at downside volatility in of 9.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.1%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.33 in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.59)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.03, which is lower, thus worse than the value of 1.18 from the benchmark.

Sortino:

'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.'

• Looking at the excess return divided by the downside deviation of 0.48 in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.86)
• Compared with SPY (1.76) in the period of the last 3 years, the excess return divided by the downside deviation of 1.48 is smaller, 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.'

• The Ulcer Index over 5 years of Vanguard Total International Stock Index Fund is 10 , which is larger, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 3.66 , which is higher, thus worse than the value of 3.43 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.'

• The maximum DrawDown over 5 years of Vanguard Total International Stock Index Fund is -29.6 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -13.1 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.'

• Looking at the maximum days below previous high of 734 days in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 117 days is larger, 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 242 days of Vanguard Total International Stock Index Fund is larger, thus worse.
• Looking at average days below previous high in of 25 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (19 days).