Vanguard Extended Duration Treasury ETF (EDV)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.1%) in the period of the last 5 years, the total return, or performance of -9.3% of Vanguard Extended Duration Treasury ETF is lower, thus worse.
• Compared with SPY (61.5%) in the period of the last 3 years, the total return of -42.2% 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 performance (CAGR) over 5 years of Vanguard Extended Duration Treasury ETF is -1.9%, which is lower, thus worse compared to the benchmark SPY (10.8%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the annual return (CAGR) of -16.7% is lower, thus worse.

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 30 days standard deviation of 21.1% in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.4%)
• Looking at 30 days standard deviation in of 21.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20%).

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 (15.4%) in the period of the last 5 years, the downside risk of 14.6% of Vanguard Extended Duration Treasury ETF is lower, thus better.
• Looking at downside risk in of 15.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (13.9%).

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 ratio of return and volatility (Sharpe) of -0.21 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 (0.39)
• Looking at risk / return profile (Sharpe) in of -0.88 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.74).

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.'

• Looking at the excess return divided by the downside deviation of -0.3 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 (0.54)
• Looking at downside risk / excess return profile in of -1.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.06).

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 Ulcer Index over 5 years of Vanguard Extended Duration Treasury ETF is 22 , which is higher, thus worse compared to the benchmark SPY (9.21 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 28 , which is greater, thus worse than the value of 9.87 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -54.3 days 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 (-33.7 days)
• During the last 3 years, the maximum DrawDown is -54.3 days, which is smaller, thus worse than the value of -24.5 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.'

• Looking at the maximum time in days below previous high water mark of 771 days in the last 5 years of Vanguard Extended Duration Treasury ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (311 days)
• Compared with SPY (311 days) in the period of the last 3 years, the maximum days below previous high of 668 days is larger, thus worse.

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 (66 days) in the period of the last 5 years, the average days below previous high of 259 days of Vanguard Extended Duration Treasury ETF is larger, thus worse.
• Looking at average days under water in of 302 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (82 days).