Vanguard High Yield Corporate Fund (VWEHX)

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.'

• Looking at the total return, or increase in value of 43.1% 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 (116.8%)
• During the last 3 years, the total return, or performance is 18%, which is smaller, thus worse than the value of 38.2% 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.'

• Looking at the annual return (CAGR) of 7.4% 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 (16.7%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.7%, which is lower, thus worse than the value of 11.4% 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 volatility of 5.8% in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (18.7%)
• Compared with SPY (22.9%) in the period of the last 3 years, the volatility of 6.8% is smaller, thus better.

DownVol:

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

• Looking at the downside risk of 4.3% 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 (13.6%)
• Looking at downside risk in of 5.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.8%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 0.85 in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.76)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.47, which is larger, thus better than the value of 0.39 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 High Yield Corporate Fund is 1.16, which is larger, thus better compared to the benchmark SPY (1.05) in the same period.
• Compared with SPY (0.53) in the period of the last 3 years, the downside risk / excess return profile of 0.62 is greater, thus better.

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 Ulcer Index over 5 years of Vanguard High Yield Corporate Fund is 2.51 , which is lower, thus better compared to the benchmark SPY (5.59 ) in the same period.
• Looking at Downside risk index in of 3.16 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (7.15 ).

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 DrawDown of -19.7 days of Vanguard High Yield Corporate Fund is larger, thus better.
• Looking at maximum DrawDown in of -19.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 145 days of Vanguard High Yield Corporate Fund is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 127 days is lower, 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.'

• The average days below previous high over 5 years of Vanguard High Yield Corporate Fund is 29 days, which is lower, thus better compared to the benchmark SPY (33 days) in the same period.
• Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 35 days is lower, thus better.