Vanguard High Yield Corporate Fund (VWEHX)

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.'

• Compared with the benchmark SPY (58.9%) in the period of the last 5 years, the total return of 15.3% of Vanguard High Yield Corporate Fund is smaller, thus worse.
• During the last 3 years, the total return, or performance is 2.5%, which is smaller, thus worse than the value of 33.9% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of Vanguard High Yield Corporate Fund is 2.9%, which is smaller, thus worse compared to the benchmark SPY (9.7%) in the same period.
• During the last 3 years, the annual return (CAGR) is 0.8%, which is lower, thus worse than the value of 10.2% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 6.4% in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (21.6%)
• During the last 3 years, the historical 30 days volatility is 7.7%, which is lower, thus better than the value of 25% from the benchmark.

DownVol:

'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.'

• The downside risk over 5 years of Vanguard High Yield Corporate Fund is 4.8%, which is lower, thus better compared to the benchmark SPY (15.7%) in the same period.
• During the last 3 years, the downside volatility is 5.9%, which is lower, thus better than the value of 18.1% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.06 in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.33)
• Compared with SPY (0.31) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.22 is lower, thus worse.

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.'

• Looking at the downside risk / excess return profile of 0.08 in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.46)
• During the last 3 years, the ratio of annual return and downside deviation is -0.28, which is lower, thus worse than the value of 0.43 from the benchmark.

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 (8.91 ) in the period of the last 5 years, the Downside risk index of 4.63 of Vanguard High Yield Corporate Fund is lower, thus better.
• Looking at Ulcer Ratio in of 5.89 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11 ).

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 (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -19.7 days of Vanguard High Yield Corporate Fund is larger, thus better.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -19.7 days is larger, thus better.

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 271 days in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (271 days)
• Compared with SPY (271 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 271 days is greater, thus worse.

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.'

• Looking at the average days under water of 61 days in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (60 days)
• Looking at average days below previous high in of 77 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (72 days).