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.'

• Looking at the total return of 22% 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 (87.1%)
• Compared with SPY (85.7%) in the period of the last 3 years, the total return of 26.8% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of Vanguard High Yield Corporate Fund is 4.1%, which is lower, thus worse compared to the benchmark SPY (13.4%) in the same period.
• Compared with SPY (23%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.3% 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 4.9% of Vanguard High Yield Corporate Fund is lower, thus better.
• During the last 3 years, the volatility is 3.8%, which is lower, thus better than the value of 15.1% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 3.3% of Vanguard High Yield Corporate Fund is smaller, thus better.
• During the last 3 years, the downside risk is 2.3%, which is lower, thus better than the value of 10.1% 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 0.32 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 (0.64)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.5, which is higher, thus better than the value of 1.36 from the benchmark.

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 downside risk / excess return profile over 5 years of Vanguard High Yield Corporate Fund is 0.47, which is lower, thus worse compared to the benchmark SPY (0.93) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 2.56, which is greater, thus better than the value of 2.04 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 4.64 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 (8.45 )
• Looking at Ulcer Index in of 0.77 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.5 ).

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 higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -3.3 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum days below previous high of 489 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 (488 days)
• During the last 3 years, the maximum days under water is 43 days, which is lower, thus better than the value of 87 days from the benchmark.

AveDuration:

'The Average 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. 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 124 days of Vanguard High Yield Corporate Fund is higher, thus worse.
• Looking at average days under water in of 12 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (20 days).