'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.'

Which means for our asset as example:- Looking at the total return of 26.1% in the last 5 years of Vanguard Developed Markets Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (77.1%)
- During the last 3 years, the total return is 23.8%, which is smaller, thus worse than the value of 51.7% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 4.7% of Vanguard Developed Markets Index Fund is lower, thus worse.
- During the last 3 years, the annual return (CAGR) is 7.4%, which is lower, thus worse than the value of 14.9% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The volatility over 5 years of Vanguard Developed Markets Index Fund is 13.1%, which is smaller, thus better compared to the benchmark SPY (13.3%) in the same period.
- Looking at 30 days standard deviation in of 10.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13%).

'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.'

Applying this definition to our asset in some examples:- The downside risk over 5 years of Vanguard Developed Markets Index Fund is 9.7%, which is higher, thus worse compared to the benchmark SPY (9.6%) in the same period.
- Looking at downside deviation in of 7.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (9.4%).

'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.'

Using this definition on our asset we see for example:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard Developed Markets Index Fund is 0.17, which is smaller, thus worse compared to the benchmark SPY (0.72) in the same period.
- Compared with SPY (0.96) in the period of the last 3 years, the Sharpe Ratio of 0.46 is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (1) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.23 of Vanguard Developed Markets Index Fund is smaller, thus worse.
- During the last 3 years, the excess return divided by the downside deviation is 0.63, which is smaller, thus worse than the value of 1.32 from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (3.97 ) in the period of the last 5 years, the Downside risk index of 9.34 of Vanguard Developed Markets Index Fund is higher, thus worse.
- Looking at Ulcer Ratio in of 8.58 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum DrawDown of -22.4 days in the last 5 years of Vanguard Developed Markets Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum DrawDown in of -22.3 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 519 days of Vanguard Developed Markets Index Fund is greater, thus worse.
- During the last 3 years, the maximum days below previous high is 519 days, which is greater, thus worse than the value of 139 days from the benchmark.

'The Average 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. 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.'

Which means for our asset as example:- Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 216 days of Vanguard Developed Markets Index Fund is larger, thus worse.
- Compared with SPY (37 days) in the period of the last 3 years, the average time in days below previous high water mark of 199 days is greater, thus worse.

Historical returns have been extended using synthetic data.
[Show Details]

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Developed Markets Index Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.