Vanguard Small Cap Value Index Fund (VISVX)

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 (86.6%) in the period of the last 5 years, the total return, or increase in value of 51.7% of Vanguard Small Cap Value Index Fund is lower, thus worse.
• During the last 3 years, the total return, or performance is 13.8%, which is lower, thus worse than the value of 26.7% from the benchmark.

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 compounded annual growth rate (CAGR) over 5 years of Vanguard Small Cap Value Index Fund is 8.7%, which is lower, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 4.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (8.2%).

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.'

• The 30 days standard deviation over 5 years of Vanguard Small Cap Value Index Fund is 26.5%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the 30 days standard deviation of 20.5% is higher, thus worse.

DownVol:

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

• The downside risk over 5 years of Vanguard Small Cap Value Index Fund is 19%, which is larger, thus worse compared to the benchmark SPY (15%) in the same period.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 14.3% is greater, thus worse.

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.'

• Looking at the risk / return profile (Sharpe) of 0.23 in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.52)
• Looking at Sharpe Ratio in of 0.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.33).

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.'

• Looking at the ratio of annual return and downside deviation of 0.33 in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.72)
• During the last 3 years, the ratio of annual return and downside deviation is 0.13, which is smaller, thus worse than the value of 0.47 from the benchmark.

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.'

• The Downside risk index over 5 years of Vanguard Small Cap Value Index Fund is 12 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 9.04 is lower, thus better.

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.'

• The maximum DrawDown over 5 years of Vanguard Small Cap Value Index Fund is -45.4 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -21.3 days, which is higher, thus better than the value of -24.5 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of Vanguard Small Cap Value Index Fund is 527 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 527 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 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.'

• The average days under water over 5 years of Vanguard Small Cap Value Index Fund is 151 days, which is higher, thus worse compared to the benchmark SPY (123 days) in the same period.
• Compared with SPY (179 days) in the period of the last 3 years, the average time in days below previous high water mark of 201 days is higher, thus worse.