Description

The investment seeks to provide inflation protection and income consistent with investment in inflation-indexed securities. The fund invests at least 80% of its assets in inflation-indexed bonds issued by the U.S. government, its agencies and instrumentalities, and corporations. It may invest in bonds of any maturity; however, its dollar-weighted average maturity is expected to be in the range of 7 to 20 years. At a minimum, all bonds purchased by the fund will be rated investment-grade or, if unrated, will be considered by the advisor to be investment-grade.

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:
  • The total return, or performance over 5 years of Vanguard Inflation Protected Securities Fund is 24.2%, which is smaller, thus worse compared to the benchmark SPY (129.1%) in the same period.
  • Looking at total return in of 25.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (71.3%).

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of 4.4% 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 (18.1%)
  • Compared with SPY (19.7%) in the period of the last 3 years, the annual return (CAGR) of 7.8% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 4.6% of Vanguard Inflation Protected Securities Fund is lower, thus better.
  • Compared with SPY (22.5%) in the period of the last 3 years, the 30 days standard deviation of 5.3% is lower, thus better.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside risk of 3.1% of Vanguard Inflation Protected Securities Fund is lower, thus better.
  • Looking at downside deviation in of 3.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.3%).

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.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of Vanguard Inflation Protected Securities Fund is 0.42, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
  • During the last 3 years, the Sharpe Ratio is 1.01, which is greater, thus better than the value of 0.76 from the benchmark.

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of Vanguard Inflation Protected Securities Fund is 0.62, which is lower, thus worse compared to the benchmark SPY (1.15) in the same period.
  • Looking at ratio of annual return and downside deviation in of 1.53 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.05).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Index of 1.37 of Vanguard Inflation Protected Securities Fund is lower, thus better.
  • Looking at Ulcer Index in of 1.08 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (6.38 ).

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.'

Using this definition on our asset we see for example:
  • The maximum reduction from previous high over 5 years of Vanguard Inflation Protected Securities Fund is -8.9 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -8.9 days, which is larger, thus better than the value of -33.7 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 377 days of Vanguard Inflation Protected Securities Fund is higher, thus worse.
  • Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 100 days is smaller, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the average days below previous high of 95 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 (32 days)
  • Looking at average time in days below previous high water mark in of 20 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (25 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Inflation Protected Securities 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.