'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or increase in value of 5.2% in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (100.7%)
- Compared with SPY (33.2%) in the period of the last 3 years, the total return of -1.8% is lower, thus worse.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:- The compounded annual growth rate (CAGR) over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 1%, which is smaller, thus worse compared to the benchmark SPY (15%) in the same period.
- Compared with SPY (10%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -0.6% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 2.7%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
- During the last 3 years, the historical 30 days volatility is 3.2%, which is lower, thus better than the value of 17.3% from the benchmark.

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

Which means for our asset as example:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 1.8% of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus better.
- Looking at downside volatility 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%).

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:- Looking at the ratio of return and volatility (Sharpe) of -0.54 in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
- Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of -0.97 is smaller, thus worse.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.8 of Vanguard Short-Term Bond Index Fund Investor Shares is smaller, thus worse.
- Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of -1.42 is smaller, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (9.32 ) in the period of the last 5 years, the Ulcer Index of 3.62 of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus better.
- During the last 3 years, the Downside risk index is 4.66 , which is lower, thus better than the value of 10 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -8.7 days of Vanguard Short-Term Bond Index Fund Investor Shares is higher, thus better.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -8.7 days is greater, thus better.

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 702 days of Vanguard Short-Term Bond Index Fund Investor Shares is higher, thus worse.
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 702 days is higher, thus worse.

'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:- Looking at the average time in days below previous high water mark of 229 days in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively higher, thus worse in comparison to the benchmark SPY (123 days)
- Looking at average days below previous high in of 336 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (180 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Short-Term Bond Index Fund Investor Shares are hypothetical and do not account for slippage, fees or taxes.