'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.'

Which means for our asset as example:- Compared with the benchmark SPY (120.7%) in the period of the last 5 years, the total return, or increase in value of 47.1% of Vanguard Extended Duration Treasury ETF is lower, thus worse.
- Looking at total return, or increase in value in of 37.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (44%).

'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.'

Applying this definition to our asset in some examples:- Looking at the annual performance (CAGR) of 8% 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 (17.2%)
- During the last 3 years, the annual return (CAGR) is 11.3%, which is smaller, thus worse than the value of 12.9% from the benchmark.

'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.'

Which means for our asset as example:- The 30 days standard deviation over 5 years of Vanguard Extended Duration Treasury ETF is 17.9%, which is lower, thus better compared to the benchmark SPY (18.8%) in the same period.
- During the last 3 years, the historical 30 days volatility is 19.2%, which is lower, thus better than the value of 22.8% from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the downside volatility of 12.3% of Vanguard Extended Duration Treasury ETF is lower, thus better.
- Looking at downside volatility in of 12.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.7%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- The risk / return profile (Sharpe) over 5 years of Vanguard Extended Duration Treasury ETF is 0.31, which is smaller, thus worse compared to the benchmark SPY (0.78) in the same period.
- Looking at risk / return profile (Sharpe) in of 0.46 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.46).

'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.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of 0.45 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 (1.08)
- Looking at downside risk / excess return profile in of 0.68 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.62).

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Ratio of 13 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 (5.59 )
- Looking at Ulcer Ratio in of 6.14 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (7.15 ).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -24.2 days of Vanguard Extended Duration Treasury ETF is larger, thus better.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -18.5 days is higher, thus better.

'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.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 769 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 (139 days)
- Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 242 days is larger, thus worse.

'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.'

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 271 days, which is larger, thus worse compared to the benchmark SPY (33 days) in the same period.
- Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 87 days is higher, thus worse.

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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.