Vanguard Short-Term Inflation-Protected Securities Index Fund (VTIP)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or performance over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 18.4%, which is lower, thus worse compared to the benchmark SPY (91.8%) in the same period.
• Compared with SPY (30.9%) in the period of the last 3 years, the total return, or increase in value of 7.8% is smaller, thus worse.

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.'

• The annual return (CAGR) over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 3.4%, which is smaller, thus worse compared to the benchmark SPY (13.9%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 2.6%, which is smaller, thus worse than the value of 9.5% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 3.5%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Looking at volatility in of 3.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.5%).

DownVol:

'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.'

• The downside volatility over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 2.4%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 2.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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.'

• Compared with the benchmark SPY (0.54) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.26 of Vanguard Short-Term Inflation-Protected Securities Index Fund is smaller, thus worse.
• Compared with SPY (0.4) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.02 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 0.39 in the last 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.76)
• Looking at ratio of annual return and downside deviation in of 0.02 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.57).

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 (9.33 ) in the period of the last 5 years, the Ulcer Index of 1.79 of Vanguard Short-Term Inflation-Protected Securities Index Fund is lower, thus better.
• During the last 3 years, the Ulcer Index is 2.21 , which is smaller, thus better than the value of 8.89 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -6.3 days in the last 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum drop from peak to valley is -5.5 days, which is greater, thus better than the value of -22.4 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.'

• 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 441 days of Vanguard Short-Term Inflation-Protected Securities Index Fund is lower, thus better.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 441 days is greater, thus worse.

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.'

• The average days under water over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 101 days, which is smaller, thus better compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 148 days, which is higher, thus worse than the value of 114 days from the benchmark.