Description

Vanguard Short-Term Inflation-Protected Securities Index Fund ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (81.5%) in the period of the last 5 years, the total return of 16% of Vanguard Short-Term Inflation-Protected Securities Index Fund is smaller, thus worse.
  • During the last 3 years, the total return, or performance is 11.1%, which is lower, thus worse than the value of 48.1% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of 3% in the last 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
  • Looking at annual return (CAGR) in of 3.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14%).

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.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 3.1%, which is lower, thus better compared to the benchmark SPY (20.5%) in the same period.
  • Looking at 30 days standard deviation in of 3.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (23.8%).

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.'

Which means for our asset as example:
  • The downside risk over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 2.1%, which is smaller, thus better compared to the benchmark SPY (15%) in the same period.
  • During the last 3 years, the downside deviation is 2.7%, which is smaller, thus better than the value of 17.3% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the Sharpe Ratio of 0.17 of Vanguard Short-Term Inflation-Protected Securities Index Fund is lower, thus worse.
  • During the last 3 years, the Sharpe Ratio is 0.28, which is lower, thus worse than the value of 0.48 from the benchmark.

Sortino:

'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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.68) in the period of the last 5 years, the downside risk / excess return profile of 0.25 of Vanguard Short-Term Inflation-Protected Securities Index Fund is smaller, thus worse.
  • Looking at downside risk / excess return profile in of 0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.66).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 0.82 in the last 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (7.13 )
  • Looking at Ulcer Index in of 1.03 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (8.25 ).

MaxDD:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high 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)
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.3 days is greater, thus better.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (150 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 146 days of Vanguard Short-Term Inflation-Protected Securities Index Fund is lower, thus better.
  • Looking at maximum days below previous high in of 103 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (150 days).

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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 30 days, which is smaller, thus better compared to the benchmark SPY (41 days) in the same period.
  • Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 21 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Short-Term Inflation-Protected Securities 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.