Vanguard Short-Term Bond Index Fund Investor Shares (VBISX)

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 (61.9%) in the period of the last 5 years, the total return, or increase in value of 6.3% of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus worse.
• Compared with SPY (79.4%) in the period of the last 3 years, the total return of -1.6% is smaller, thus worse.

CAGR:

'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.'

• Compared with the benchmark SPY (10.1%) in the period of the last 5 years, the annual return (CAGR) of 1.2% of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus worse.
• Looking at annual performance (CAGR) in of -0.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.5%).

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.'

• Looking at the historical 30 days volatility of 2.4% in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.5%)
• Compared with SPY (21.2%) in the period of the last 3 years, the volatility of 2.6% 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.'

• The downside risk over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 1.6%, which is lower, thus better compared to the benchmark SPY (15.5%) in the same period.
• During the last 3 years, the downside volatility is 1.8%, which is lower, thus better than the value of 14.1% from the benchmark.

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.'

• Compared with the benchmark SPY (0.36) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.53 of Vanguard Short-Term Bond Index Fund Investor Shares is smaller, thus worse.
• Compared with SPY (0.9) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -1.16 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the excess return divided by the downside deviation of -0.79 of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus worse.
• Compared with SPY (1.35) in the period of the last 3 years, the ratio of annual return and downside deviation of -1.68 is smaller, thus worse.

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 (9.15 ) in the period of the last 5 years, the Ulcer Index of 2.92 of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus better.
• Compared with SPY (9.78 ) in the period of the last 3 years, the Ulcer Ratio of 3.75 is lower, thus better.

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.'

• The maximum reduction from previous high over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is -8.7 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -8.7 days, which is greater, thus better than the value of -24.5 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.'

• The maximum days below previous high over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 411 days, which is higher, thus worse compared to the benchmark SPY (305 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 411 days, which is greater, thus worse than the value of 305 days from the benchmark.

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 93 days in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively greater, thus worse in comparison to the benchmark SPY (65 days)
• Looking at average days under water in of 138 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (80 days).