Vanguard Inflation Protected Securities Fund (VIPSX)

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.'

• The total return, or increase in value over 5 years of Vanguard Inflation Protected Securities Fund is 4.2%, which is lower, thus worse compared to the benchmark SPY (89.1%) in the same period.
• Looking at total return in of 10% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (78.1%).

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 annual performance (CAGR) of 0.8% 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 (13.6%)
• Compared with SPY (21.4%) in the period of the last 3 years, the annual return (CAGR) of 3.2% is lower, thus worse.

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.'

• Looking at the historical 30 days volatility of 6% in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• Looking at volatility in of 5.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (15.2%).

DownVol:

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

• Looking at the downside deviation of 4.2% in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• During the last 3 years, the downside deviation is 3.6%, 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Vanguard Inflation Protected Securities Fund is -0.27, which is lower, thus worse compared to the benchmark SPY (0.65) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.14, which is smaller, thus worse than the value of 1.24 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.'

• Compared with the benchmark SPY (0.94) in the period of the last 5 years, the downside risk / excess return profile of -0.39 of Vanguard Inflation Protected Securities Fund is smaller, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 0.21, which is lower, thus worse than the value of 1.85 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.'

• The Ulcer Ratio over 5 years of Vanguard Inflation Protected Securities Fund is 7.61 , which is lower, thus better compared to the benchmark SPY (8.42 ) in the same period.
• During the last 3 years, the Downside risk index is 2.07 , which is smaller, thus better than the value of 3.52 from the benchmark.

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.'

• Looking at the maximum DrawDown of -14.6 days in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -6.4 days, which is higher, 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). 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'

• The maximum days below previous high over 5 years of Vanguard Inflation Protected Securities Fund is 1051 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 290 days, which is larger, thus worse than the value of 87 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.'

• The average days under water over 5 years of Vanguard Inflation Protected Securities Fund is 455 days, which is larger, 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 79 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).