Vanguard Developed Markets Index Fund (VTMGX)

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 increase in value of 69.6% 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 (113.2%)
• During the last 3 years, the total return, or performance is 54.2%, which is smaller, thus worse than the value of 67.5% from the benchmark.

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.'

• Compared with the benchmark SPY (16.4%) in the period of the last 5 years, the annual performance (CAGR) of 11.2% of Vanguard Developed Markets Index Fund is lower, thus worse.
• Looking at annual performance (CAGR) in of 15.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.9%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the volatility of 15.7% in the last 5 years of Vanguard Developed Markets Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.5%)
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 15.6% is smaller, 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 Developed Markets Index Fund is 10.7%, which is smaller, thus better compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.6%) in the period of the last 3 years, the downside deviation of 10.4% is lower, thus better.

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 0.55 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 (0.79)
• Compared with SPY (0.94) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.84 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 excess return divided by the downside deviation of 0.81 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 (1.15)
• Looking at downside risk / excess return profile in of 1.26 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.42).

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.'

• Looking at the Downside risk index of 9.52 in the last 5 years of Vanguard Developed Markets Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• During the last 3 years, the Ulcer Ratio is 4.95 , which is lower, thus better than the value of 5.31 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.'

• The maximum drop from peak to valley over 5 years of Vanguard Developed Markets Index Fund is -29.7 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -16.9 days, which is higher, thus better than the value of -18.8 days from the benchmark.

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). 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 627 days of Vanguard Developed Markets Index Fund is larger, thus worse.
• During the last 3 years, the maximum days below previous high is 115 days, which is smaller, thus better than the value of 199 days from the benchmark.

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.'

• Looking at the average days below previous high of 183 days in the last 5 years of Vanguard Developed Markets Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days below previous high in of 29 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (47 days).