Performance
 Annualized Return

9.7%
 Sharpe Ratio

0.55
 Maximum Drawdown

58.88%
Metrics
Metric  Vanguard Mid Cap Index Fund 

Initial Balance  $10,000 
Final Balance  $65,953 
Returns [View more details]  
MonthToDate  0.45% 
YearToDate  5.08% 
3M  0.32% 
6M  9.68% 
Annualized Return (3Y)  2.47% 
Annualized Return (5Y)  9.89% 
Annualized Return (All)  9.7% 
Risk [View more details]  
Annual Volatility  20.83% 
Max Drawdown  58.88% 
Sharpe Ratio  0.55 
Sortino Ratio  0.76 
Adjusted Sortino (S/√2)  0.54 
 Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on January 2004.
 Final balance: The amount of capital we've accrued over time as of June 2024.
 Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 20 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
 Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately 5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
 Best year: The best performance attained over its lifetime in a given year.
 Worst year: The worst performance undergone over its lifetime in a given year.
 Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
 Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a riskfree asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
 Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
 Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
 Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
 Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.
Annualized Returns
Annual Return 1y  Annual Return 3y  Annual Return 5y  Annual Return 10y  Annual Return 20y  Annual Return  

Vanguard Mid Cap Index Fund  14.61%  2.47%  9.89%  9.32%  9.85%  9.7% 
Annual Returns
Year  Vanguard Mid Cap Index Fund 

2004  17.52% 
2005  13.95% 
2006  13.92% 
2007  5.53% 
2008  41.56% 
2009  40.46% 
2010  25.68% 
2011  2.07% 
2012  16.21% 
2013  35.05% 
2014  13.76% 
2015  1.35% 
2016  11.25% 
2017  19.28% 
2018  9.24% 
2019  30.98% 
2020  18.1% 
2021  24.7% 
2022  18.73% 
2023  16.03% 
2024  5.08% 
Vanguard Mid Cap Index Fund had 16 positive years and 5 negative years. That's a positive ratio of 76%.
Monthly Returns
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2004  0%  2.7%  0.3%  4.3%  2.6%  2%  3.9%  0.6%  4.2%  2.9%  7.3%  4.2%  17.5% 
2005  2.9%  3.7%  1.1%  3.7%  5.4%  3%  5.2%  0.4%  1.5%  3.5%  5.2%  1.3%  14% 
2006  5.4%  0.8%  3.1%  0.9%  3.6%  0.5%  2.1%  2%  1.7%  3.7%  4%  0.2%  13.9% 
2007  3.4%  0.2%  0.9%  3.6%  4.3%  1.8%  4.6%  0.7%  2.9%  1.8%  5.1%  0.4%  5.5% 
2008  6.7%  1.5%  2.4%  6.8%  4.5%  7.7%  3.9%  1.6%  13%  22%  9.1%  5%  41.6% 
2009  6.9%  9.5%  8.5%  14.3%  4.4%  0.5%  9%  5%  6.3%  4.4%  5.1%  6.1%  40.5% 
2010  3.6%  5.3%  7%  3.6%  7.3%  6.2%  6.9%  4.5%  10.7%  4.1%  2.1%  6.9%  25.7% 
2011  2.2%  4.1%  1.7%  2.7%  0.4%  2.4%  3.4%  7%  9.9%  13.1%  0.6%  0.4%  2.1% 
2012  6.7%  4.3%  1.9%  0.6%  7.1%  2.5%  0%  3.1%  2%  1.2%  1.6%  2.5%  16.2% 
2013  6.6%  1.2%  4.5%  1.7%  1.9%  1.2%  5.7%  2.6%  4.6%  3.4%  2.1%  3%  35.1% 
2014  2.4%  6.1%  0.3%  0.9%  2.3%  3%  2.5%  4.7%  3.2%  3.4%  2.8%  0.3%  13.8% 
2015  2%  6%  3.4%  3.4%  1.1%  1.7%  1.2%  5.2%  3.7%  6%  0.3%  2.7%  1.4% 
2016  7.6%  1.4%  8%  0.5%  1.8%  0%  4.6%  0.1%  0.4%  3.1%  4.7%  0.7%  11.3% 
2017  3%  3.1%  0%  1.2%  0.9%  0.6%  1.8%  0.6%  2.3%  1.5%  3.2%  1%  19.3% 
2018  4.3%  4%  0.1%  0.2%  1.8%  1%  2.5%  2.5%  0.4%  8.4%  2.3%  9.8%  9.2% 
2019  10.5%  4.3%  1.4%  3.7%  6.1%  7.1%  1.3%  2.8%  2.1%  1.1%  3.2%  2.4%  31% 
2020  0.3%  8.8%  18.4%  14.2%  7.3%  2%  6.3%  3.2%  1.6%  0.1%  13.4%  4%  18.1% 
2021  0.5%  5.3%  2.4%  4.8%  0.8%  1.8%  1.3%  3%  4.2%  6.6%  2.5%  3.9%  24.7% 
2022  7.9%  1%  2.7%  8%  0.4%  9.4%  9.6%  2.9%  9.9%  8.5%  6.2%  5.4%  18.7% 
2023  8%  2.7%  1.1%  0.8%  2.6%  8.5%  3.5%  3.6%  4.9%  4.7%  10%  7.1%  16% 
2024  1.5%  5%  4.3%  4.7%  2.8%  0.5%              5.1% 
Pos  45%  66.7%  66.7%  57.1%  66.7%  50%  70%  50%  55%  60%  80%  70%  76.2% 
Avg  0.4%  1.2%  1.2%  1.5%  0.7%  0%  1.9%  0.2%  0.6%  0.4%  2.8%  1.5%  11.2% 
Other Return Metrics
Metric  Vanguard Mid Cap Index Fund 

Cumulative Return  559.53% 
Enh Ann Return  12.4% 
Best Year  40.46% 
Worst Year  41.56% 
Best Month  14.25% 
Worst Month  21.98% 
Best Day  10.88% 
Worst Day  12.39% 
Win Ratio (Yearly)  76.19% 
Win Ratio (Quarterly)  70.73% 
Win Ratio (Monthly)  61.63% 
Win Ratio (Daily)  54.87% 
Annual Volatility
Annual Volatility 1y  Annual Volatility 3y  Annual Volatility 5y  Annual Volatility 10y  Annual Volatility 20y  Annual Volatility  

Vanguard Mid Cap Index Fund  12.73%  18.79%  22.78%  18.87%  20.93%  20.83% 
Sharpe Ratio
Sharpe Ratio 1y  Sharpe Ratio 3y  Sharpe Ratio 5y  Sharpe Ratio 10y  Sharpe Ratio 20y  Sharpe Ratio  

Vanguard Mid Cap Index Fund  1.13  0.22  0.53  0.57  0.55  0.55 
3Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the riskadjusted returns.
Drawdown Periods
Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.
Vanguard Mid Cap Index Fund
start  valley  end  days  Drawdown 

20070716  20090309  20110208  1303  58.88% 
20200221  20200323  20200902  194  39.37% 
20211117  20221014    939  27.57% 
20110708  20111003  20120313  249  24.63% 
20180830  20181224  20190405  218  21.22% 
The Vanguard Mid Cap Index Fund took approximately 19 months on average to recover from a major drawdown. The longest drawdown lasted 43 months.
Underwater plot
The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.
Other Risk Metrics
Metric  Vanguard Mid Cap Index Fund 

Sharpe Ratio  0.55 
Sortino Ratio  0.76 
Adjusted Sortino (S/√2)  0.54 
Calmar Ratio  0.16 
Omega Ratio  1.11 
Gain to Pain Ratio  0.11 
Winckel Ratio  66.67 
Ulcer Index  0.14 
Kelly Criterion  5.46% 
Skew  0.45 
Kurtosis  10.75 