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.'

• Compared with the benchmark SPY (80%) in the period of the last 5 years, the total return of 16.7% of Vanguard Short-Term Inflation-Protected Securities Index Fund is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 6.9%, which is lower, thus worse than the value of 31.8% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of Vanguard Short-Term Inflation-Protected Securities Index Fund is 3.1%, which is smaller, thus worse compared to the benchmark SPY (12.5%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 2.2%, which is smaller, thus worse than the value of 9.7% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (21.3%) in the period of the last 5 years, the volatility of 3.5% of Vanguard Short-Term Inflation-Protected Securities Index Fund is lower, thus better.
• Compared with SPY (17.6%) in the period of the last 3 years, the historical 30 days volatility of 3.2% is lower, thus better.

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.'

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside risk of 2.4% of Vanguard Short-Term Inflation-Protected Securities Index Fund is lower, thus better.
• Looking at downside deviation in of 2.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.19 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 (0.47)
• Looking at ratio of return and volatility (Sharpe) in of -0.08 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

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.'

• Looking at the downside risk / excess return profile of 0.27 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 (0.66)
• During the last 3 years, the downside risk / excess return profile is -0.11, which is smaller, thus worse than the value of 0.58 from the benchmark.

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.'

• Looking at the Downside risk index of 1.79 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 (9.43 )
• During the last 3 years, the Ulcer Ratio is 2.23 , which is lower, thus better than the value of 10 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 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 greater, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -5.5 days in the period of the last 3 years, we see it is relatively greater, 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 below previous high of 433 days 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 (480 days)
• Compared with SPY (480 days) in the period of the last 3 years, the maximum days below previous high of 433 days is lower, thus better.

AveDuration:

'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.'

• Looking at the average time in days below previous high water mark of 97 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 (119 days)
• During the last 3 years, the average days under water is 146 days, which is lower, thus better than the value of 174 days from the benchmark.