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

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 4.9%, which is lower, thus worse compared to the benchmark SPY (57.1%) in the same period.
• Looking at total return, or increase in value in of -5.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32%).

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.'

• Looking at the annual return (CAGR) of 1% 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 (9.5%)
• Looking at compounded annual growth rate (CAGR) in of -1.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.7%).

Volatility:

'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.'

• The volatility over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 2.6%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
• Compared with SPY (17.9%) in the period of the last 3 years, the volatility of 2.9% is lower, thus better.

DownVol:

'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.'

• Looking at the downside volatility of 1.7% in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
• During the last 3 years, the downside volatility is 2%, which is lower, thus better than the value of 12.5% 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.'

• Compared with the benchmark SPY (0.32) in the period of the last 5 years, the Sharpe Ratio of -0.59 of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus worse.
• Compared with SPY (0.41) in the period of the last 3 years, the Sharpe Ratio of -1.5 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.'

• The ratio of annual return and downside deviation over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is -0.88, which is lower, thus worse compared to the benchmark SPY (0.45) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -2.15, which is lower, thus worse than the value of 0.58 from the benchmark.

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.'

• Looking at the Ulcer Index of 3.4 in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.57 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 4.39 is lower, thus better.

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.'

• 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 larger, thus better.
• 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 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). 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'

• Looking at the maximum time in days below previous high water mark of 545 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 (439 days)
• During the last 3 years, the maximum days below previous high is 545 days, which is higher, thus worse than the value of 439 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 148 days, which is greater, thus worse compared to the benchmark SPY (106 days) in the same period.
• Looking at average days below previous high in of 212 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (149 days).