'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (133.2%) in the period of the last 5 years, the total return, or performance of 139.5% of Vanguard Small Cap Growth Index Fund is greater, thus better.
- Looking at total return, or performance in of 80.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (80.4%).

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:- The compounded annual growth rate (CAGR) over 5 years of Vanguard Small Cap Growth Index Fund is 19.1%, which is larger, thus better compared to the benchmark SPY (18.5%) in the same period.
- During the last 3 years, the compounded annual growth rate (CAGR) is 21.7%, which is lower, thus worse than the value of 21.8% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 22.4% of Vanguard Small Cap Growth Index Fund is greater, thus worse.
- Looking at volatility in of 26.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.4%).

'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.'

Which means for our asset as example:- The downside risk over 5 years of Vanguard Small Cap Growth Index Fund is 16.4%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
- During the last 3 years, the downside volatility is 19.6%, which is higher, thus worse than the value of 16.2% from the benchmark.

'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.'

Using this definition on our asset we see for example:- The risk / return profile (Sharpe) over 5 years of Vanguard Small Cap Growth Index Fund is 0.74, which is lower, thus worse compared to the benchmark SPY (0.85) in the same period.
- During the last 3 years, the risk / return profile (Sharpe) is 0.72, which is smaller, thus worse than the value of 0.86 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of Vanguard Small Cap Growth Index Fund is 1.01, which is smaller, thus worse compared to the benchmark SPY (1.18) in the same period.
- Looking at downside risk / excess return profile in of 0.98 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.19).

'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.'

Using this definition on our asset we see for example:- The Downside risk index over 5 years of Vanguard Small Cap Growth Index Fund is 7.3 , which is higher, thus worse compared to the benchmark SPY (5.59 ) in the same period.
- Compared with SPY (6.36 ) in the period of the last 3 years, the Downside risk index of 8.12 is greater, thus worse.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- The maximum DrawDown over 5 years of Vanguard Small Cap Growth Index Fund is -38.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -38.7 days is lower, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 208 days of Vanguard Small Cap Growth Index Fund is larger, thus worse.
- Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 178 days is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 49 days in the last 5 years of Vanguard Small Cap Growth Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (32 days)
- Looking at average time in days below previous high water mark in of 44 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Small Cap Growth 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.