Vanguard Short Term Investment Grade Fund (VFSTX)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• The total return, or performance over 5 years of Vanguard Short Term Investment Grade Fund is 11.7%, which is lower, thus worse compared to the benchmark SPY (93.5%) in the same period.
• Compared with SPY (81.7%) in the period of the last 3 years, the total return of 17.9% is lower, thus worse.

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 2.2% 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 (14.2%)
• Compared with SPY (22.2%) in the period of the last 3 years, the annual return (CAGR) of 5.7% is lower, thus worse.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 2.9% of Vanguard Short Term Investment Grade Fund is lower, thus better.
• Compared with SPY (15.4%) in the period of the last 3 years, the historical 30 days volatility of 3% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of Vanguard Short Term Investment Grade Fund is 1.9%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside deviation of 1.8% is smaller, thus better.

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of -0.09 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 (0.68)
• During the last 3 years, the risk / return profile (Sharpe) is 1.07, which is lower, thus worse than the value of 1.27 from the benchmark.

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.'

• The downside risk / excess return profile over 5 years of Vanguard Short Term Investment Grade Fund is -0.13, which is smaller, thus worse compared to the benchmark SPY (0.99) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.77 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.92).

Ulcer:

'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.'

• The Downside risk index over 5 years of Vanguard Short Term Investment Grade Fund is 3.36 , which is lower, thus better compared to the benchmark SPY (8.42 ) in the same period.
• Compared with SPY (3.52 ) in the period of the last 3 years, the Downside risk index of 0.62 is smaller, 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -9 days of Vanguard Short Term Investment Grade Fund is greater, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -2.1 days is higher, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 698 days of Vanguard Short Term Investment Grade Fund is greater, thus worse.
• Looking at maximum days below previous high in of 126 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

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.'

• The average time in days below previous high water mark over 5 years of Vanguard Short Term Investment Grade Fund is 220 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 24 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).