'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 3.8% 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 (63%)
- Looking at total return, or increase in value in of -2.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (31.2%).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual performance (CAGR) of 0.7% of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus worse.
- During the last 3 years, the annual return (CAGR) is -0.7%, which is smaller, thus worse than the value of 9.5% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 2.2% of Vanguard Short-Term Bond Index Fund Investor Shares is smaller, thus better.
- Looking at volatility in of 2.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (24.9%).

'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:- Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside risk of 1.5% of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus better.
- Compared with SPY (18%) in the period of the last 3 years, the downside risk of 1.7% is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- The ratio of return and volatility (Sharpe) over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is -0.81, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
- Compared with SPY (0.28) in the period of the last 3 years, the Sharpe Ratio of -1.34 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.5) in the period of the last 5 years, the ratio of annual return and downside deviation of -1.16 of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus worse.
- Looking at downside risk / excess return profile in of -1.84 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.39).

'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.'

Using this definition on our asset we see for example:- The Downside risk index over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 2.51 , which is lower, thus better compared to the benchmark SPY (8.49 ) in the same period.
- Looking at Downside risk index in of 3.22 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10 ).

'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.'

Using this definition on our asset we see for example:- The maximum DrawDown 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.
- Looking at maximum drop from peak to valley in of -8.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

'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:- The maximum time in days below previous high water mark over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 339 days, which is higher, thus worse compared to the benchmark SPY (233 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 339 days, which is higher, thus worse than the value of 233 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (54 days) in the period of the last 5 years, the average time in days below previous high water mark of 80 days of Vanguard Short-Term Bond Index Fund Investor Shares is higher, thus worse.
- Looking at average days below previous high in of 102 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (59 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, 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.