Vanguard Total Bond Market Index Fund (VBMFX)

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.'

• Compared with the benchmark SPY (96.4%) in the period of the last 5 years, the total return, or increase in value of -3% of Vanguard Total Bond Market Index Fund is lower, thus worse.
• Looking at total return, or increase in value in of -7.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (28.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of Vanguard Total Bond Market Index Fund is -0.6%, which is lower, thus worse compared to the benchmark SPY (14.5%) in the same period.
• Looking at annual performance (CAGR) in of -2.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.9%).

Volatility:

'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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the 30 days standard deviation of 6% of Vanguard Total Bond Market Index Fund is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 6.9%, which is smaller, thus better than the value of 17.5% from the benchmark.

DownVol:

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

• Looking at the downside risk of 4.3% in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• Looking at downside risk in of 4.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12.3%).

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.'

• Looking at the risk / return profile (Sharpe) of -0.52 in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
• Compared with SPY (0.36) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.76 is smaller, 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 (0.8) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.72 of Vanguard Total Bond Market Index Fund is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -1.06, which is smaller, thus worse than the value of 0.52 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 9.85 in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Index of 10 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -19.2 days of Vanguard Total Bond Market Index Fund is larger, thus better.
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -17.1 days is larger, thus better.

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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1109 days of Vanguard Total Bond Market Index Fund is greater, thus worse.
• During the last 3 years, the maximum days under water is 753 days, which is greater, thus worse than the value of 488 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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average days below previous high of 507 days of Vanguard Total Bond Market Index Fund is greater, thus worse.
• Compared with SPY (177 days) in the period of the last 3 years, the average days below previous high of 377 days is larger, thus worse.