Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'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:
  • Compared with the benchmark SPY (123.6%) in the period of the last 5 years, the total return, or performance of 10% of Vanguard Short-Term Bond Index Fund Investor Shares is smaller, thus worse.
  • Compared with SPY (89.9%) in the period of the last 3 years, the total return of 7.6% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 1.9% 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 (17.5%)
  • Compared with SPY (23.8%) in the period of the last 3 years, the annual return (CAGR) of 2.5% is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (18.9%) in the period of the last 5 years, the volatility of 1.6% of Vanguard Short-Term Bond Index Fund Investor Shares is lower, thus better.
  • Looking at volatility in of 1.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.8%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside volatility of 1.1% of Vanguard Short-Term Bond Index Fund Investor Shares is smaller, thus better.
  • Looking at downside risk in of 1.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.8%).

Sharpe:

'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:
  • Looking at the risk / return profile (Sharpe) of -0.35 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 (0.79)
  • Compared with SPY (0.98) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.02 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (1.09) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.55 of Vanguard Short-Term Bond Index Fund Investor Shares is smaller, thus worse.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.02, which is smaller, thus worse than the value of 1.35 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.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of Vanguard Short-Term Bond Index Fund Investor Shares is 0.7 , which is lower, thus better compared to the benchmark SPY (5.59 ) in the same period.
  • During the last 3 years, the Ulcer Index is 0.49 , which is lower, thus better than the value of 6.04 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -1.9 days of Vanguard Short-Term Bond Index Fund Investor Shares is higher, thus better.
  • During the last 3 years, the maximum reduction from previous high is -1.9 days, which is larger, thus better than the value of -33.7 days from the benchmark.

MaxDuration:

'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 (139 days) in the period of the last 5 years, the maximum days under water of 324 days of Vanguard Short-Term Bond Index Fund Investor Shares is greater, thus worse.
  • Looking at maximum days below previous high in of 124 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 days).

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.'

Using this definition on our asset we see for example:
  • Looking at the average days under water of 69 days in the last 5 years of Vanguard Short-Term Bond Index Fund Investor Shares, we see it is relatively larger, thus worse in comparison to the benchmark SPY (32 days)
  • Looking at average days below previous high in of 32 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • 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.