Vanguard Mortgage-backed Risk Adjusted Performance
VMBIX Fund | USD 24.52 0.11 0.45% |
Vanguard |
| = | 0.014 |
ER[a] | = | Expected return on investing in Vanguard Mortgage-backed |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
STD[b] | = | Standard Deviation of selected market or benchmark. |
Vanguard Mortgage-backed Risk Adjusted Performance Peers Comparison
Vanguard Risk Adjusted Performance Relative To Other Indicators
Vanguard Mortgage Backed Securities is rated below average in risk adjusted performance among similar funds. It is currently under evaluation in maximum drawdown among similar funds reporting about 144.03 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for Vanguard Mortgage Backed Securities is roughly 144.03
Risk Adjusted Performance |
Compare Vanguard Mortgage-backed to Peers |
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Vanguard Mortgage-backed Technical Signals
All Vanguard Mortgage-backed Technical Indicators
Cycle Indicators | ||
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Overlap Studies | ||
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Statistic Functions | ||
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Volume Indicators |
Risk Adjusted Performance | 0.014 | |||
Market Risk Adjusted Performance | 0.0207 | |||
Mean Deviation | 0.3135 | |||
Semi Deviation | 0.4125 | |||
Downside Deviation | 0.4419 | |||
Coefficient Of Variation | 3194.77 | |||
Standard Deviation | 0.402 | |||
Variance | 0.1616 | |||
Information Ratio | (0.02) | |||
Jensen Alpha | 3.0E-4 | |||
Total Risk Alpha | (0) | |||
Sortino Ratio | (0.02) | |||
Treynor Ratio | 0.0107 | |||
Maximum Drawdown | 2.02 | |||
Value At Risk | (0.78) | |||
Potential Upside | 0.5768 | |||
Downside Variance | 0.1953 | |||
Semi Variance | 0.1701 | |||
Expected Short fall | (0.33) | |||
Skewness | (0.74) | |||
Kurtosis | 1.31 |