Vanguard Inflation Protected Securities Fund (VIPSX)

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, or increase in value over 5 years of Vanguard Inflation Protected Securities Fund is 7.6%, which is smaller, thus worse compared to the benchmark SPY (103.3%) in the same period.
• Compared with SPY (40.6%) in the period of the last 3 years, the total return, or increase in value of 1.6% is smaller, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of 1.5% in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (15.3%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 0.5%, which is smaller, thus worse than the value of 12.1% from the benchmark.

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.'

• Looking at the 30 days standard deviation 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 (18%)
• During the last 3 years, the 30 days standard deviation is 6.6%, which is lower, thus better than the value of 18.6% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of Vanguard Inflation Protected Securities Fund is 4.2%, which is lower, thus better compared to the benchmark SPY (12.5%) in the same period.
• Compared with SPY (12.7%) in the period of the last 3 years, the downside volatility of 4.7% is smaller, thus better.

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 (0.71) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.17 of Vanguard Inflation Protected Securities Fund is lower, thus worse.
• Compared with SPY (0.52) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.3 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.02) in the period of the last 5 years, the downside risk / excess return profile of -0.24 of Vanguard Inflation Protected Securities Fund is lower, thus worse.
• Looking at ratio of annual return and downside deviation in of -0.42 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.75).

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.'

• Compared with the benchmark SPY (8.46 ) in the period of the last 5 years, the Ulcer Ratio of 7.53 of Vanguard Inflation Protected Securities Fund is lower, thus better.
• Compared with SPY (5.77 ) in the period of the last 3 years, the Ulcer Ratio of 5.04 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.'

• Looking at the maximum drop from peak to valley of -14.5 days in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum DrawDown in of -9.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 days).

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 days below previous high of 869 days of Vanguard Inflation Protected Securities Fund is higher, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 529 days is greater, thus worse.

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 days under water of 326 days in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average days under water is 201 days, which is larger, thus worse than the value of 46 days from the benchmark.