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.'

• Compared with the benchmark SPY (89.5%) in the period of the last 5 years, the total return of 63.6% of Vanguard Developed Markets Index Fund is smaller, thus worse.
• Looking at total return in of 80.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (86.8%).

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 annual return (CAGR) over 5 years of Vanguard Developed Markets Index Fund is 10.4%, which is lower, thus worse compared to the benchmark SPY (13.7%) in the same period.
• Looking at annual return (CAGR) in of 21.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.3%).

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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the 30 days standard deviation of 16.2% of Vanguard Developed Markets Index Fund is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 15.2%, which is smaller, thus better than the value of 15.3% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 11.1% in the last 5 years of Vanguard Developed Markets Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• Looking at downside risk in of 10.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.2%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.49 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 (0.65)
• During the last 3 years, the Sharpe Ratio is 1.27, which is lower, thus worse than the value of 1.36 from the benchmark.

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 0.71 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 (0.95)
• Compared with SPY (2.04) in the period of the last 3 years, the downside risk / excess return profile of 1.87 is lower, thus worse.

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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Ulcer Ratio of 9.33 of Vanguard Developed Markets Index Fund is higher, thus worse.
• During the last 3 years, the Ulcer Index is 3.34 , which is larger, thus worse than the value of 3.23 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 DrawDown of -29.3 days 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 (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -13.2 days, which is larger, 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) in days.'

• The maximum days below previous high over 5 years of Vanguard Developed Markets Index Fund is 579 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 115 days, which is higher, thus worse than the value of 87 days from the benchmark.

AveDuration:

'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.'

• The average days below previous high over 5 years of Vanguard Developed Markets Index Fund is 158 days, which is higher, thus worse compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 20 days, which is larger, thus worse than the value of 17 days from the benchmark.