Vanguard Total International Stock Index Fund (VGTSX)

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.'

• Looking at the total return of 49.4% 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 (85.9%)
• Looking at total return in of 63.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (73.7%).

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.'

• Looking at the annual performance (CAGR) of 8.4% 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 (13.3%)
• During the last 3 years, the annual return (CAGR) is 17.8%, which is lower, thus worse than the value of 20.3% 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 (17.1%) in the period of the last 5 years, the historical 30 days volatility of 14.6% of Vanguard Total International Stock Index Fund is lower, thus better.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 12.9% is lower, thus better.

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 deviation of 10.1% in the last 5 years of Vanguard Total International Stock Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside risk of 8.9% is smaller, thus better.

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 (0.63) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.4 of Vanguard Total International Stock Index Fund is lower, thus worse.
• Compared with SPY (1.17) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.19 is larger, thus better.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Vanguard Total International Stock Index Fund is 0.58, which is lower, thus worse compared to the benchmark SPY (0.91) in the same period.
• Looking at excess return divided by the downside deviation in of 1.73 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.75).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 10 of Vanguard Total International Stock Index Fund is greater, thus worse.
• Looking at Downside risk index in of 3.58 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.48 ).

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -29.6 days of Vanguard Total International Stock Index Fund is lower, thus worse.
• Looking at maximum reduction from previous high in of -13.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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 days under water over 5 years of Vanguard Total International Stock Index Fund is 734 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 117 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 below previous high over 5 years of Vanguard Total International Stock Index Fund is 242 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average days under water in of 26 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (19 days).