Vanguard FTSE Pacific ETF (VPL)

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.'

• The total return over 5 years of Vanguard FTSE Pacific ETF is 42.3%, which is lower, thus worse compared to the benchmark SPY (75.1%) in the same period.
• Looking at total return in of 62.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (66.3%).

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.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the annual performance (CAGR) of 7.3% of Vanguard FTSE Pacific ETF is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 17.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.6%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the volatility of 16.8% in the last 5 years of Vanguard FTSE Pacific ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the volatility is 16.8%, which is greater, thus worse than the value of 15.1% from the benchmark.

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 11.7% of Vanguard FTSE Pacific ETF is lower, thus better.
• During the last 3 years, the downside deviation is 11.6%, which is greater, thus worse than the value of 10.2% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the Sharpe Ratio of 0.29 of Vanguard FTSE Pacific ETF is smaller, thus worse.
• Compared with SPY (1.06) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.91 is smaller, thus worse.

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 downside risk / excess return profile of 0.41 in the last 5 years of Vanguard FTSE Pacific ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.8)
• Compared with SPY (1.58) in the period of the last 3 years, the excess return divided by the downside deviation of 1.32 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 (8.44 ) in the period of the last 5 years, the Ulcer Ratio of 12 of Vanguard FTSE Pacific ETF is greater, thus worse.
• Looking at Downside risk index in of 4.43 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.49 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -31.1 days of Vanguard FTSE Pacific ETF is lower, thus worse.
• Looking at maximum drop from peak to valley in of -16.4 days in the period of the last 3 years, we see it is relatively larger, thus better 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 under water over 5 years of Vanguard FTSE Pacific ETF is 759 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 163 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 days).

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 258 days of Vanguard FTSE Pacific ETF is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 36 days, which is higher, thus worse than the value of 20 days from the benchmark.