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 (124.1%) in the period of the last 5 years, the total return of 100% of Vanguard Small Cap Value Index Fund is smaller, thus worse.
• Looking at total return, or performance in of 36.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (84%).

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 annual performance (CAGR) over 5 years of Vanguard Small Cap Value Index Fund is 14.9%, which is smaller, thus worse compared to the benchmark SPY (17.6%) in the same period.
• Looking at annual return (CAGR) in of 11.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.6%).

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 20.5% in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• Looking at 30 days standard deviation in of 19.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16%).

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 13.8%, which is greater, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside volatility of 12.9% is higher, 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.'

• The Sharpe Ratio over 5 years of Vanguard Small Cap Value Index Fund is 0.6, which is lower, thus worse compared to the benchmark SPY (0.88) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.45, which is smaller, thus worse than the value of 1.26 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of Vanguard Small Cap Value Index Fund is 0.9, which is smaller, thus worse compared to the benchmark SPY (1.29) in the same period.
• Compared with SPY (1.91) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.66 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.'

• Compared with the benchmark SPY (8.41 ) in the period of the last 5 years, the Ulcer Ratio of 8.16 of Vanguard Small Cap Value Index Fund is smaller, thus better.
• During the last 3 years, the Ulcer Index is 7.31 , which is greater, thus worse than the value of 3.62 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 reduction from previous high of -24.1 days in the last 5 years of Vanguard Small Cap Value Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -24.1 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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 below previous high 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 233 days in the period of the last 3 years, we see it is relatively larger, 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.'

• The average time in days below previous high water mark over 5 years of Vanguard Small Cap Value Index Fund is 151 days, which is greater, thus worse compared to the benchmark SPY (121 days) in the same period.
• Looking at average days below previous high in of 79 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (21 days).