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 of 25.3% 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 (124.1%)
• Compared with SPY (84%) in the period of the last 3 years, the total return of 30.1% is smaller, 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 compounded annual growth rate (CAGR) of 4.6% 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 (17.6%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 9.3%, which is smaller, thus worse than the value of 22.6% from the benchmark.

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.'

• Looking at the volatility of 4.8% 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 (17.1%)
• During the last 3 years, the historical 30 days volatility is 4.5%, which is lower, thus better than the value of 16% 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 volatility over 5 years of Vanguard High Yield Corporate Fund is 3.3%, which is lower, thus better compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside risk in of 2.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.5%).

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.'

• Compared with the benchmark SPY (0.88) in the period of the last 5 years, the Sharpe Ratio of 0.44 of Vanguard High Yield Corporate Fund is smaller, thus worse.
• Looking at Sharpe Ratio in of 1.49 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (1.26).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (1.29) in the period of the last 5 years, the excess return divided by the downside deviation of 0.65 of Vanguard High Yield Corporate Fund is smaller, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 2.5, which is greater, thus better than the value of 1.91 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 4.63 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 (8.41 )
• Looking at Ulcer Index in of 1.16 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.62 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -13.8 days of Vanguard High Yield Corporate Fund is larger, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -4.5 days is greater, 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) in days.'

• The maximum days below previous high over 5 years of Vanguard High Yield Corporate Fund is 561 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 107 days, which is greater, thus worse than the value of 87 days from the benchmark.

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 under water over 5 years of Vanguard High Yield Corporate Fund is 163 days, which is greater, thus worse compared to the benchmark SPY (121 days) in the same period.
• Looking at average time in days below previous high water mark in of 20 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21 days).