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

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.'

• Looking at the total return, or increase in value of 15.3% 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 (67.1%)
• Compared with SPY (61.5%) in the period of the last 3 years, the total return, or performance of 10.8% is lower, 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 performance (CAGR) over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 2.9%, which is smaller, thus worse compared to the benchmark SPY (10.8%) in the same period.
• Looking at annual performance (CAGR) in of 3.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (17.3%).

Volatility:

'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.'

• The historical 30 days volatility over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 3.4%, which is lower, thus better compared to the benchmark SPY (21.4%) in the same period.
• Compared with SPY (20%) in the period of the last 3 years, the volatility of 3.2% is smaller, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (15.4%) in the period of the last 5 years, the downside risk of 2.3% of Vanguard Short-Term Inflation-Protected Securities Index Fund is smaller, thus better.
• During the last 3 years, the downside deviation is 2.1%, which is smaller, thus better than the value of 13.9% 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.'

• Looking at the Sharpe Ratio of 0.11 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 (0.39)
• Looking at Sharpe Ratio in of 0.31 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.74).

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 ratio of annual return and downside deviation of 0.17 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 (0.54)
• Compared with SPY (1.06) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.46 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 1.6 , which is lower, thus better compared to the benchmark SPY (9.21 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 1.97 , which is lower, thus better than the value of 9.87 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum DrawDown of -6.3 days in the last 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum reduction from previous high in of -5.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 days).

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.'

• Looking at the maximum days under water of 264 days in the last 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (311 days)
• Compared with SPY (311 days) in the period of the last 3 years, the maximum days below previous high of 264 days is smaller, thus better.

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.'

• Compared with the benchmark SPY (66 days) in the period of the last 5 years, the average days below previous high of 47 days of Vanguard Short-Term Inflation-Protected Securities Index Fund is smaller, thus better.
• During the last 3 years, the average days under water is 64 days, which is lower, thus better than the value of 82 days from the benchmark.