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.'

• The total return, or increase in value over 5 years of Vanguard High Yield Corporate Fund is 21.2%, which is lower, thus worse compared to the benchmark SPY (84.1%) in the same period.
• Compared with SPY (77%) in the period of the last 3 years, the total return, or performance of 27.6% is lower, thus worse.

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 3.9% 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 (13.1%)
• Looking at annual return (CAGR) in of 8.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.1%).

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.'

• The 30 days standard deviation over 5 years of Vanguard High Yield Corporate Fund is 4.9%, which is lower, thus better compared to the benchmark SPY (17.2%) in the same period.
• During the last 3 years, the volatility is 3.8%, which is lower, thus better than the value of 15.3% 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 deviation over 5 years of Vanguard High Yield Corporate Fund is 3.3%, which is smaller, thus better compared to the benchmark SPY (11.8%) in the same period.
• During the last 3 years, the downside volatility is 2.2%, which is smaller, thus better than the value of 10.3% from the benchmark.

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 Sharpe Ratio of 0.29 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 (0.61)
• Looking at Sharpe Ratio in of 1.59 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.22).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of Vanguard High Yield Corporate Fund is 0.43, which is lower, thus worse compared to the benchmark SPY (0.89) in the same period.
• Compared with SPY (1.81) in the period of the last 3 years, the excess return divided by the downside deviation of 2.73 is higher, thus better.

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.'

• The Downside risk index over 5 years of Vanguard High Yield Corporate Fund is 4.64 , which is lower, thus better compared to the benchmark SPY (8.46 ) in the same period.
• Looking at Ulcer Index in of 0.76 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.52 ).

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.'

• Looking at the maximum reduction from previous high of -13.9 days in the last 5 years of Vanguard High Yield Corporate Fund, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -3.3 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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 (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 561 days of Vanguard High Yield Corporate Fund is larger, thus worse.
• Looking at maximum days under water in of 42 days in the period of the last 3 years, we see it is relatively smaller, thus better 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days below previous high of 158 days of Vanguard High Yield Corporate Fund is higher, thus worse.
• Compared with SPY (21 days) in the period of the last 3 years, the average days below previous high of 12 days is smaller, thus better.