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, or performance of 50.1% 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 (80.9%)
• Compared with SPY (76.7%) in the period of the last 3 years, the total return, or increase in value of 68% is smaller, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Vanguard Total International Stock Index Fund is 8.5%, which is smaller, thus worse compared to the benchmark SPY (12.7%) in the same period.
• Looking at annual return (CAGR) in of 19% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21%).

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 15.4% 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 (17.2%)
• Compared with SPY (15.3%) in the period of the last 3 years, the historical 30 days volatility of 14.4% 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.'

• The downside risk over 5 years of Vanguard Total International Stock Index Fund is 10.6%, which is smaller, thus better compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the downside volatility is 9.8%, which is lower, thus better than the value of 10.3% from the benchmark.

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.'

• The Sharpe Ratio over 5 years of Vanguard Total International Stock Index Fund is 0.39, which is lower, thus worse compared to the benchmark SPY (0.59) in the same period.
• Compared with SPY (1.21) in the period of the last 3 years, the Sharpe Ratio of 1.15 is lower, thus worse.

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 ratio of annual return and downside deviation of 0.57 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)
• Looking at excess return divided by the downside deviation in of 1.68 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.81).

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 Ulcer Ratio of 9.77 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 (8.45 )
• Compared with SPY (3.3 ) in the period of the last 3 years, the Ulcer Index of 3.28 is lower, thus better.

MaxDD:

'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.'

• The maximum drop from peak to valley over 5 years of Vanguard Total International Stock Index Fund is -28.9 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -13.1 days in the period of the last 3 years, we see it is relatively larger, 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 time in days below previous high water mark over 5 years of Vanguard Total International Stock Index Fund is 624 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 117 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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 (118 days) in the period of the last 5 years, the average days under water of 179 days of Vanguard Total International Stock Index Fund is larger, thus worse.
• Looking at average time in days below previous high water mark in of 21 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17 days).