'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.'

Which means for our asset as example:- Compared with the benchmark SPY (98.3%) in the period of the last 5 years, the total return of -30.9% of Vanguard Extended Duration Treasury ETF is smaller, thus worse.
- Compared with SPY (27.2%) in the period of the last 3 years, the total return, or increase in value of -36.6% is smaller, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (14.7%) in the period of the last 5 years, the annual performance (CAGR) of -7.1% of Vanguard Extended Duration Treasury ETF is lower, thus worse.
- Compared with SPY (8.4%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -14.1% is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the historical 30 days volatility of 23.1% of Vanguard Extended Duration Treasury ETF is larger, thus worse.
- During the last 3 years, the 30 days standard deviation is 24%, which is greater, thus worse than the value of 17.7% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 16.3% of Vanguard Extended Duration Treasury ETF is larger, thus worse.
- Looking at downside deviation in of 17.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.4%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.58) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.42 of Vanguard Extended Duration Treasury ETF is smaller, thus worse.
- During the last 3 years, the Sharpe Ratio is -0.69, which is lower, thus worse than the value of 0.33 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.82) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.59 of Vanguard Extended Duration Treasury ETF is lower, thus worse.
- Compared with SPY (0.47) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.96 is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 35 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 (9.32 )
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 38 is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of Vanguard Extended Duration Treasury ETF is -60 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- Looking at maximum reduction from previous high in of -55 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

'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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 1133 days 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 (488 days)
- Looking at maximum days below previous high in of 693 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 days).

'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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of Vanguard Extended Duration Treasury ETF is 520 days, which is larger, thus worse compared to the benchmark SPY (123 days) in the same period.
- During the last 3 years, the average days under water is 324 days, which is higher, thus worse than the value of 177 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Vanguard Extended Duration Treasury ETF are hypothetical and do not account for slippage, fees or taxes.