Vanguard Extended Duration Treasury ETF (EDV)

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, or performance of -52.3% in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (107.8%)
• Looking at total return, or performance in of -25.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (43.5%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of Vanguard Extended Duration Treasury ETF is -13.8%, which is lower, thus worse compared to the benchmark SPY (15.8%) in the same period.
• Looking at annual performance (CAGR) in of -9.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (12.9%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 21.9% in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.9%)
• Compared with SPY (18.4%) in the period of the last 3 years, the volatility of 23.8% is larger, thus worse.

DownVol:

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

• Looking at the downside volatility of 15.9% in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.5%)
• Looking at downside volatility in of 17% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.6%).

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 -0.74 in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.74)
• Looking at risk / return profile (Sharpe) in of -0.5 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.56).

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.'

• The excess return divided by the downside deviation over 5 years of Vanguard Extended Duration Treasury ETF is -1.03, which is smaller, thus worse compared to the benchmark SPY (1.07) in the same period.
• Compared with SPY (0.82) in the period of the last 3 years, the downside risk / excess return profile of -0.7 is lower, thus worse.

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 Ratio over 5 years of Vanguard Extended Duration Treasury ETF is 40 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• During the last 3 years, the Downside risk index is 22 , which is larger, thus worse than the value of 5.54 from the benchmark.

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 (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -60 days of Vanguard Extended Duration Treasury ETF is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -37.7 days, which is lower, thus worse 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.'

• The maximum days under water over 5 years of Vanguard Extended Duration Treasury ETF is 1196 days, which is higher, 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 695 days, which is higher, thus worse than the value of 199 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.'

• Looking at the average days below previous high of 576 days in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (44 days) in the period of the last 3 years, the average days under water of 326 days is greater, thus worse.