Vanguard Total Bond Market Index Fund (VBMFX)

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.'

• Looking at the total return, or performance of -2.2% 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 (82.8%)
• Looking at total return in of 13.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (80.4%).

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.'

• Looking at the compounded annual growth rate (CAGR) of -0.4% in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (12.9%)
• Looking at annual performance (CAGR) in of 4.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.8%).

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.'

• Compared with the benchmark SPY (17.2%) in the period of the last 5 years, the volatility of 6% of Vanguard Total Bond Market Index Fund is lower, thus better.
• Compared with SPY (15.3%) in the period of the last 3 years, the 30 days standard deviation of 5.2% is smaller, 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 Total Bond Market Index Fund is 4.3%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• Looking at downside volatility in of 3.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.2%).

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 (0.6) in the period of the last 5 years, the Sharpe Ratio of -0.49 of Vanguard Total Bond Market Index Fund is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.33 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.26).

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.'

• Looking at the excess return divided by the downside deviation of -0.69 in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.88)
• Compared with SPY (1.89) in the period of the last 3 years, the downside risk / excess return profile of 0.49 is lower, 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.'

• The Ulcer Index over 5 years of Vanguard Total Bond Market Index Fund is 9.22 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Downside risk index is 1.84 , which is lower, thus better than the value of 3.37 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.'

• Looking at the maximum drop from peak to valley of -18.1 days in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -4.8 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 time in days below previous high water mark of 1244 days of Vanguard Total Bond Market Index Fund is greater, thus worse.
• Looking at maximum days under water in of 195 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 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.'

• Looking at the average time in days below previous high water mark of 620 days in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (118 days)
• Looking at average days below previous high in of 53 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18 days).