Description of Vanguard Inflation Protected Securities Fund

Statistics of Vanguard Inflation Protected Securities Fund (YTD)

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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.'

Which means for our asset as example:
  • The total return over 5 years of Vanguard Inflation Protected Securities Fund is %, which is lower, thus worse compared to the benchmark SPY (67.6%) in the same period.
  • Compared with SPY (51.3%) in the period of the last 3 years, the total return, or performance of % is lower, 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.'

Which means for our asset as example:
  • Looking at the compounded annual growth rate (CAGR) of % 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 (10.9%)
  • Looking at compounded annual growth rate (CAGR) in of % in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (14.8%).

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.'

Using this definition on our asset we see for example:
  • The 30 days standard deviation over 5 years of Vanguard Inflation Protected Securities Fund is %, which is lower, thus better compared to the benchmark SPY (13.5%) in the same period.
  • Looking at historical 30 days volatility in of % in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.8%).

DownVol:

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

Which means for our asset as example:
  • Looking at the downside deviation of % 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 (14.8%)
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside volatility of % is lower, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 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 (0.62)
  • During the last 3 years, the risk / return profile (Sharpe) is , which is lower, thus worse than the value of 0.96 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of of Vanguard Inflation Protected Securities Fund is smaller, thus worse.
  • Compared with SPY (0.84) in the period of the last 3 years, the ratio of annual return and downside deviation of is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The Downside risk index over 5 years of Vanguard Inflation Protected Securities Fund is , which is lower, thus better compared to the benchmark SPY (3.99 ) in the same period.
  • Compared with SPY (4.1 ) in the period of the last 3 years, the Ulcer Index of 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum drop from peak to valley of days of Vanguard Inflation Protected Securities Fund is greater, thus better.
  • During the last 3 years, the maximum DrawDown is days, which is larger, thus better than the value of -19.3 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'

Which means for our asset as example:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of days of Vanguard Inflation Protected Securities Fund is lower, thus better.
  • During the last 3 years, the maximum time in days below previous high water mark is days, which is lower, thus better 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of days 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 (42 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of days is smaller, thus better.

Performance of Vanguard Inflation Protected Securities Fund (YTD)

Historical returns have been extended using synthetic data.

Allocations of Vanguard Inflation Protected Securities Fund
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Allocations

Returns of Vanguard Inflation Protected Securities Fund (%)

  • 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.