'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.'

Which means for our asset as example:- The total return, or performance over 5 years of Vanguard Short Term Investment Grade Fund is 7.8%, which is smaller, thus worse compared to the benchmark SPY (67.9%) in the same period.
- Compared with SPY (44.5%) in the period of the last 3 years, the total return, or increase in value of -1.7% is smaller, thus worse.

'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 return (CAGR) over 5 years of Vanguard Short Term Investment Grade Fund is 1.5%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
- Looking at annual performance (CAGR) in of -0.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.1%).

'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:- Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 2.6% of Vanguard Short Term Investment Grade Fund is lower, thus better.
- Compared with SPY (18.7%) in the period of the last 3 years, the volatility of 2.7% is lower, thus better.

'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.'

Which means for our asset as example:- The downside risk over 5 years of Vanguard Short Term Investment Grade Fund is 1.8%, which is smaller, thus better compared to the benchmark SPY (15.4%) in the same period.
- Looking at downside volatility in of 1.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (13.3%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of Vanguard Short Term Investment Grade Fund is -0.38, which is lower, thus worse compared to the benchmark SPY (0.39) in the same period.
- Compared with SPY (0.56) in the period of the last 3 years, the risk / return profile (Sharpe) of -1.12 is lower, thus worse.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.55) in the period of the last 5 years, the excess return divided by the downside deviation of -0.54 of Vanguard Short Term Investment Grade Fund is smaller, thus worse.
- Looking at ratio of annual return and downside deviation in of -1.6 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.79).

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (9.47 ) in the period of the last 5 years, the Ulcer Ratio of 3.23 of Vanguard Short Term Investment Grade Fund is smaller, thus better.
- Looking at Downside risk index in of 4.1 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

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 -9.3 days of Vanguard Short Term Investment Grade Fund is higher, thus better.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -9.3 days is higher, thus better.

'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) in days.'

Which means for our asset as example:- The maximum days under water over 5 years of Vanguard Short Term Investment Grade Fund is 459 days, which is greater, thus worse compared to the benchmark SPY (354 days) in the same period.
- Looking at maximum days under water in of 459 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (354 days).

'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.'

Which means for our asset as example:- The average time in days below previous high water mark over 5 years of Vanguard Short Term Investment Grade Fund is 111 days, which is larger, thus worse compared to the benchmark SPY (79 days) in the same period.
- Looking at average days below previous high in of 165 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (102 days).

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 Short Term Investment Grade 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.