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.'

• The total return over 5 years of Vanguard Total Bond Market Index Fund is -4%, which is smaller, thus worse compared to the benchmark SPY (118.6%) in the same period.
• Compared with SPY (38.3%) in the period of the last 3 years, the total return of -0.8% is smaller, thus worse.

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 -0.8% 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 (17%)
• Looking at annual performance (CAGR) in of -0.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (11.5%).

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 (20.1%) in the period of the last 5 years, the 30 days standard deviation of 6% of Vanguard Total Bond Market Index Fund is smaller, thus better.
• Compared with SPY (17.1%) in the period of the last 3 years, the 30 days standard deviation of 6.8% is lower, thus better.

DownVol:

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

• Compared with the benchmark SPY (14.2%) in the period of the last 5 years, the downside volatility of 4.3% of Vanguard Total Bond Market Index Fund is smaller, thus better.
• Looking at downside deviation in of 4.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Vanguard Total Bond Market Index Fund is -0.55, which is smaller, thus worse compared to the benchmark SPY (0.72) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.4, which is lower, thus worse than the value of 0.53 from the benchmark.

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 (1.02) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.77 of Vanguard Total Bond Market Index Fund is smaller, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.58, which is smaller, thus worse than the value of 0.75 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.'

• Looking at the Ulcer Index of 10 in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.35 )
• During the last 3 years, the Ulcer Ratio is 6.31 , which is lower, thus better than the value of 8.6 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.'

• The maximum DrawDown over 5 years of Vanguard Total Bond Market Index Fund is -19.2 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -12.8 days is greater, 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.'

• Looking at the maximum time in days below previous high water mark of 1153 days 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 (488 days)
• During the last 3 years, the maximum days below previous high is 622 days, which is greater, thus worse than the value of 325 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.'

• Compared with the benchmark SPY (118 days) in the period of the last 5 years, the average days below previous high of 544 days of Vanguard Total Bond Market Index Fund is greater, thus worse.
• Compared with SPY (90 days) in the period of the last 3 years, the average time in days below previous high water mark of 271 days is larger, thus worse.