Vanguard Inflation Protected Securities Fund (VIPSX)

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 (97.5%) in the period of the last 5 years, the total return, or performance of 2.7% of Vanguard Inflation Protected Securities Fund is lower, thus worse.
• Looking at total return, or increase in value in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (86.3%).

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.'

• Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the annual return (CAGR) of 0.5% of Vanguard Inflation Protected Securities Fund is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (23.2%).

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 (17.1%) in the period of the last 5 years, the historical 30 days volatility of 6.1% of Vanguard Inflation Protected Securities Fund is lower, thus better.
• Looking at 30 days standard deviation in of 5.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.4%).

DownVol:

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

• The downside volatility over 5 years of Vanguard Inflation Protected Securities Fund is 4.3%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside risk is 3.8%, which is lower, thus better than the value of 10.2% from the benchmark.

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 -0.32 in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.71)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.08, which is lower, thus worse than the value of 1.34 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.'

• Looking at the downside risk / excess return profile of -0.45 in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.03)
• Compared with SPY (2.02) in the period of the last 3 years, the excess return divided by the downside deviation of 0.12 is smaller, 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 Inflation Protected Securities Fund is 7.61 , which is smaller, thus better compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Ulcer Index of 2.07 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of Vanguard Inflation Protected Securities Fund is -14.6 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -6.4 days, which is larger, thus better than the value of -18.8 days from the benchmark.

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 days under water of 1032 days in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 290 days is larger, thus worse.

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.'

• The average time in days below previous high water mark over 5 years of Vanguard Inflation Protected Securities Fund is 440 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 78 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).