Vanguard Short Term Investment Grade Fund (VFSTX)

TotalReturn:

'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.'

• The total return, or performance over 5 years of Vanguard Short Term Investment Grade Fund is 10%, which is smaller, thus worse compared to the benchmark SPY (112.6%) in the same period.
• During the last 3 years, the total return is 12.6%, which is smaller, thus worse than the value of 56.3% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of 1.9% in the last 5 years of Vanguard Short Term Investment Grade Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.3%)
• During the last 3 years, the annual performance (CAGR) is 4.1%, which is lower, thus worse than the value of 16.1% from the benchmark.

Volatility:

'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.'

• Looking at the volatility of 2.8% in the last 5 years of Vanguard Short Term Investment Grade Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.9%)
• Looking at volatility in of 3.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (18.2%).

DownVol:

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

• Looking at the downside deviation of 1.9% in the last 5 years of Vanguard Short Term Investment Grade Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.4%)
• Looking at downside deviation in of 2.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.2%).

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.'

• Compared with the benchmark SPY (0.77) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.2 of Vanguard Short Term Investment Grade Fund is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.47 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.75).

Sortino:

'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.'

• Compared with the benchmark SPY (1.11) in the period of the last 5 years, the excess return divided by the downside deviation of -0.3 of Vanguard Short Term Investment Grade Fund is lower, thus worse.
• Compared with SPY (1.12) in the period of the last 3 years, the excess return divided by the downside deviation of 0.73 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.'

• Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Ulcer Ratio of 3.78 of Vanguard Short Term Investment Grade Fund is lower, thus better.
• Looking at Downside risk index in of 1.16 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (5.54 ).

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.'

• The maximum drop from peak to valley over 5 years of Vanguard Short Term Investment Grade Fund is -9.7 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum drop from peak to valley in of -4.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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) in days.'

• The maximum days below previous high over 5 years of Vanguard Short Term Investment Grade Fund is 718 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 126 days is smaller, thus better.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 239 days of Vanguard Short Term Investment Grade Fund is larger, thus worse.
• Compared with SPY (45 days) in the period of the last 3 years, the average time in days below previous high water mark of 35 days is smaller, thus better.