Vanguard Total Bond Market Index Fund Investor Shares

'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 21% in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (60.9%)
- Looking at total return, or performance in of 15.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (34.2%).

'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:- The annual performance (CAGR) over 5 years of Vanguard Total Bond Market Index Fund is 3.9%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
- Looking at annual performance (CAGR) in of 5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.3%).

'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.'

Applying this definition to our asset in some examples:- Looking at the volatility of 3.8% in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.7%)
- Looking at 30 days standard deviation in of 3.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.5%).

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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:- Looking at the downside risk of 2.6% in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.6%)
- During the last 3 years, the downside risk is 2.7%, which is lower, thus better than the value of 15.7% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of return and volatility (Sharpe) of 0.37 in the last 5 years of Vanguard Total Bond Market Index Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.4)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.64, which is higher, thus better than the value of 0.36 from the benchmark.

'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:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the downside risk / excess return profile of 0.53 of Vanguard Total Bond Market Index Fund is lower, thus worse.
- Looking at excess return divided by the downside deviation in of 0.92 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.5).

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of Vanguard Total Bond Market Index Fund is 1.7 , which is lower, thus better compared to the benchmark SPY (5.82 ) in the same period.
- Compared with SPY (6.86 ) in the period of the last 3 years, the Ulcer Index of 1.61 is smaller, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -6.5 days of Vanguard Total Bond Market Index Fund is greater, thus better.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -6.5 days is greater, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 350 days of Vanguard Total Bond Market Index Fund is larger, thus worse.
- Looking at maximum days below previous high in of 350 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 days).

'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.'

Applying this definition to our asset in some examples:- The average days below previous high over 5 years of Vanguard Total Bond Market Index Fund is 101 days, which is larger, thus worse compared to the benchmark SPY (43 days) in the same period.
- Compared with SPY (39 days) in the period of the last 3 years, the average days below previous high of 102 days is greater, thus worse.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Total Bond Market Index 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.