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.'

• Looking at the total return, or increase in value of 22.1% 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 (88%)
• Looking at total return, or increase in value in of 16.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (39.5%).

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.'

• The annual performance (CAGR) over 5 years of Vanguard Inflation Protected Securities Fund is 4.1%, which is lower, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Compared with SPY (11.7%) in the period of the last 3 years, the annual performance (CAGR) of 5.3% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the volatility of 4.7% 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 (18.8%)
• Compared with SPY (22.3%) in the period of the last 3 years, the 30 days standard deviation of 5% 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.'

• Looking at the downside deviation of 3.2% in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (13.7%)
• Looking at downside deviation in of 3.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.5%).

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 ratio of return and volatility (Sharpe) of 0.33 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 (0.58)
• Looking at Sharpe Ratio in of 0.56 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.41).

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 (0.8) in the period of the last 5 years, the excess return divided by the downside deviation of 0.5 of Vanguard Inflation Protected Securities Fund is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.84, which is higher, thus better than the value of 0.56 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.'

• The Ulcer Ratio over 5 years of Vanguard Inflation Protected Securities Fund is 1.99 , which is lower, thus better compared to the benchmark SPY (5.79 ) in the same period.
• Looking at Downside risk index in of 1.33 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (7.08 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -8.9 days of Vanguard Inflation Protected Securities Fund is larger, thus better.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -8.9 days is larger, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 681 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 (139 days)
• During the last 3 years, the maximum days below previous high is 170 days, which is higher, thus worse than the value of 139 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 (37 days) in the period of the last 5 years, the average days under water of 211 days of Vanguard Inflation Protected Securities Fund is larger, thus worse.
• Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 45 days is greater, thus worse.