Fund Performance Analysis

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Fund Information (Jan 2016 - Feb 2021)

Fund information
NameVanguard Inflation-Protected Secs Adm (VAIPX)
Asset ClassTaxable Bond
CategoryInflation-Protected Bond
Fund BenchmarkBBgBarc US Treasury US TIPS TR USD
Selected BenchmarkVanguard Total Bond Market Index Adm (VBTLX)
Effective Duration7.34
Yield (TTM)1.40%
Assets35.03 B
Equity Holdings0
Bond Holdings47
Total Holdings48
Turnover26%
Expense Ratio0.10%
Inception Date06/10/2005

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Inflation-Protected Secs Adm$10,000$12,579 4.54% 3.58%10.96%-1.39%-2.66% 0.951.700.23
Vanguard Total Bond Market Index Adm$10,000$12,155 3.85% 3.37%8.71%-2.28%-3.65% 0.821.44-0.02
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Vanguard Inflation-Protected Secs Adm-0.17%-1.27%6.22%5.99%4.15%4.54%3.71%3.58%
Vanguard Total Bond Market Index Adm-2.12%-2.28%1.34%5.33%3.55%3.85%3.54%3.39%
Trailing annualized return and volatility are for full months ending in February 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 03/05/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Vanguard Inflation-Protected Secs Adm vs. Vanguard Total Bond Market Index Adm

Up vs. Down Market Performance - Vanguard Inflation-Protected Secs Adm vs. Vanguard Total Bond Market Index Adm
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market21204151%0.37%-0.41%-0.01%
Down Market1292157%0.59%-0.35%0.18%
Total33296253%0.45%-0.39%0.06%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Inflation-Protected Secs AdmVanguard Total Bond Market Index Adm
Large-cap Value0.00%0.00%
Large-cap Growth4.87%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value1.67%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets4.85%0.22%
Corporate Bonds11.76%28.59%
Long-Term Treasuries1.75%6.88%
Intermediate-Term Treasuries38.98%15.89%
Short-Term Treasuries36.12%48.41%
R Squared79.19%98.46%
Style analysis is based on monthly returns from January 2016 to February 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard Inflation-Protected Secs Adm

Holdings Based Style Analysis for Vanguard Inflation-Protected Secs Adm
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VAIPXVanguard Inflation-Protected Secs AdmInflation-Protected Bond100.00%1.40%0.10%7.34$2,579100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Total Bond Market Index Adm

Holdings Based Style Analysis for Vanguard Total Bond Market Index Adm
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VBTLXVanguard Total Bond Market Index AdmIntermediate Core Bond100.00%1.27%0.05%6.61$2,155100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetricVanguard Inflation-Protected Secs AdmVanguard Total Bond Market Index Adm
Arithmetic Mean (monthly)0.38%0.32%
Arithmetic Mean (annualized)4.61%3.91%
Geometric Mean (monthly)0.37%0.32%
Geometric Mean (annualized)4.54%3.85%
Volatility (monthly)1.03%0.97%
Volatility (annualized)3.58%3.37%
Downside Deviation (monthly)0.54%0.52%
Max. Drawdown-2.66%-3.65%
US Market Correlation0.23-0.02
Beta(*)0.901.00
Alpha (annualized)1.07%0.00%
R271.27%100.00%
Sharpe Ratio0.950.82
Sortino Ratio1.701.44
Treynor Ratio (%)3.822.75
Calmar Ratio2.522.10
Active Return0.69%N/A
Tracking Error1.95%N/A
Information Ratio0.35N/A
Skewness-0.04-0.03
Excess Kurtosis-0.240.72
Historical Value-at-Risk (5%)-1.30%-1.02%
Analytical Value-at-Risk (5%)-1.32%-1.28%
Conditional Value-at-Risk (5%)-1.63%-1.56%
Upside Capture Ratio (%)98.71100.00
Downside Capture Ratio (%)72.83100.00
Safe Withdrawal Rate21.03%20.82%
Perpetual Withdrawal Rate2.54%1.87%
Positive Periods40 out of 62 (64.52%)41 out of 62 (66.13%)
Gain/Loss Ratio1.371.24
* Vanguard Total Bond Market Index Adm is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Vanguard Inflation-Protected Secs Adm Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20161.55%1.09%1.85%0.19%-0.68%2.27%0.67%-0.44%0.78%-0.52%-2.04%-0.12%4.62%
20170.98%0.43%-0.01%0.46%-0.04%-0.92%0.55%0.97%-0.72%0.23%0.08%0.88%2.91%
2018-0.90%-0.99%1.00%-0.12%0.28%0.64%-0.47%0.63%-0.95%-1.44%0.41%0.55%-1.39%
20191.39%-0.12%1.90%0.28%1.66%0.87%0.23%2.28%-1.11%-0.08%0.23%0.40%8.16%
20202.09%1.02%-1.31%2.51%0.56%1.03%2.33%1.00%-0.33%-0.64%1.14%1.11%10.96%
20210.46%-1.72%-1.27%

Vanguard Total Bond Market Index Adm Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20161.44%0.67%0.95%0.39%0.02%1.94%0.65%-0.16%-0.08%-0.80%-2.63%0.25%2.60%
20170.30%0.67%-0.06%0.77%0.68%0.02%0.40%0.86%-0.53%0.12%-0.16%0.45%3.56%
2018-1.09%-1.02%0.63%-0.82%0.62%0.04%0.04%0.52%-0.53%-0.72%0.53%1.81%-0.03%
20191.02%-0.05%1.96%0.05%1.84%1.16%0.23%2.79%-0.59%0.22%-0.06%-0.14%8.71%
20202.12%1.72%-0.58%1.70%0.54%0.71%1.56%-1.02%0.08%-0.60%1.12%0.16%7.72%
2021-0.79%-1.50%-2.28%
Rolling returns summary
Roll PeriodVanguard Inflation-Protected Secs AdmVanguard Total Bond Market Index Adm
AverageHighLowAverageHighLow
1 year4.10%10.96%-1.40%4.14%11.85%-2.05%
3 years3.59%6.25%1.55%3.95%5.75%1.64%
5 years4.62%4.96%4.15%4.00%4.46%3.55%