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 over 5 years of Vanguard Inflation Protected Securities Fund is 7.3%, which is lower, thus worse compared to the benchmark SPY (106.2%) in the same period.
• Looking at total return, or performance in of 4.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (69.9%).

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 return (CAGR) of 1.4% 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 (15.6%)
• During the last 3 years, the annual return (CAGR) is 1.5%, which is lower, thus worse than the value of 19.5% 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 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 (17.6%)
• During the last 3 years, the historical 30 days volatility is 6.3%, which is lower, thus better than the value of 17.7% from the benchmark.

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 risk 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 (12.2%)
• Looking at downside volatility in of 4.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11.6%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.74) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.18 of Vanguard Inflation Protected Securities Fund is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is -0.15, which is smaller, thus worse than the value of 0.96 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.'

• Compared with the benchmark SPY (1.08) in the period of the last 5 years, the excess return divided by the downside deviation of -0.26 of Vanguard Inflation Protected Securities Fund is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.22, which is smaller, thus worse than the value of 1.46 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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 7.57 of Vanguard Inflation Protected Securities Fund is lower, thus better.
• Compared with SPY (5.32 ) in the period of the last 3 years, the Ulcer Ratio of 5 is lower, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Looking at the maximum DrawDown of -14.5 days in the last 5 years of Vanguard Inflation Protected Securities Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum drop from peak to valley is -9.7 days, which is greater, 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 under water over 5 years of Vanguard Inflation Protected Securities Fund is 901 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 527 days is greater, 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 days below previous high over 5 years of Vanguard Inflation Protected Securities Fund is 350 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• Compared with SPY (46 days) in the period of the last 3 years, the average days below previous high of 202 days is higher, thus worse.