Description

The investment seeks the performance of Bloomberg Barclays U.S. Aggregate Float Adjusted Index. Bloomberg Barclays U.S. Aggregate Float Adjusted Index measures the performance of a wide spectrum of public, investment-grade, taxable, fixed income securities in the United States-including government, corporate, and international dollar-denominated bonds, as well as mortgage-backed and asset-backed securities-all with maturities of more than 1 year. All of its investments will be selected through the sampling process, and at least 80% of its assets will be invested in bonds held in the index.

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • Looking at the total return of -1.6% 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 (61.3%)
  • During the last 3 years, the total return, or increase in value is -9.3%, which is smaller, thus worse than the value of 31.6% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -0.3% of Vanguard Total Bond Market Index Fund is smaller, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of -3.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.6%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 4.6% 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 (20.8%)
  • Looking at 30 days standard deviation in of 5.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (24%).

DownVol:

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

Applying this definition to our asset in some examples:
  • The downside volatility over 5 years of Vanguard Total Bond Market Index Fund is 3.4%, which is lower, thus better compared to the benchmark SPY (15.3%) in the same period.
  • Looking at downside risk in of 4.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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.'

Which means for our asset as example:
  • Looking at the risk / return profile (Sharpe) of -0.62 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 (0.36)
  • During the last 3 years, the Sharpe Ratio is -1.07, which is smaller, thus worse than the value of 0.3 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:
  • The excess return divided by the downside deviation over 5 years of Vanguard Total Bond Market Index Fund is -0.83, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
  • Looking at downside risk / excess return profile in of -1.4 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.4).

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Vanguard Total Bond Market Index Fund is 4.49 , which is lower, thus better compared to the benchmark SPY (7.61 ) in the same period.
  • During the last 3 years, the Downside risk index is 5.66 , which is lower, thus better than the value of 8.93 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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Vanguard Total Bond Market Index Fund is -17.5 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -17.5 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) in days.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of Vanguard Total Bond Market Index Fund is 540 days, which is larger, thus worse compared to the benchmark SPY (185 days) in the same period.
  • Looking at maximum days under water in of 540 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (185 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days below previous high of 165 days of Vanguard Total Bond Market Index Fund is larger, thus worse.
  • During the last 3 years, the average time in days below previous high water mark is 212 days, which is greater, thus worse than the value of 44 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Total Bond Market Index Fund 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.