Description

The investment seeks to track the performance of an index of extended-duration zero-coupon U.S. Treasury securities. The fund employs an indexing investment approach designed to track the performance of the Bloomberg Barclays U.S. Treasury STRIPS 20-30 Year Equal Par Bond Index. This index includes zero-coupon U.S. Treasury securities (Treasury STRIPS), which are backed by the full faith and credit of the U.S. government, with maturities ranging from 20 to 30 years. The fund invests by sampling the index. At least 80% of it's assets will be invested in U.S. Treasury securities held in the index.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (62.6%) in the period of the last 5 years, the total return, or increase in value of -7.3% of Vanguard Extended Duration Treasury ETF is lower, thus worse.
  • Looking at total return in of -21.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32.1%).

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of -1.5% 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 (10.2%)
  • Looking at annual performance (CAGR) in of -7.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (9.7%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (21.5%) in the period of the last 5 years, the historical 30 days volatility of 20.4% of Vanguard Extended Duration Treasury ETF is lower, thus better.
  • During the last 3 years, the volatility is 23.4%, which is smaller, thus better than the value of 24.8% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of Vanguard Extended Duration Treasury ETF is 14.1%, which is lower, thus better compared to the benchmark SPY (15.6%) in the same period.
  • Compared with SPY (17.9%) in the period of the last 3 years, the downside volatility of 16.2% is lower, thus better.

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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of -0.2 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 (0.36)
  • Compared with SPY (0.29) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.44 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.5) in the period of the last 5 years, the excess return divided by the downside deviation of -0.28 of Vanguard Extended Duration Treasury ETF is lower, thus worse.
  • Compared with SPY (0.4) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.64 is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Downside risk index of 19 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 (8.52 )
  • Looking at Ulcer Index in of 24 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of Vanguard Extended Duration Treasury ETF is -54.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -54.3 days is lower, thus worse.

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). 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'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum days under water of 695 days of Vanguard Extended Duration Treasury ETF is larger, thus worse.
  • Looking at maximum days under water in of 695 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (235 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (55 days) in the period of the last 5 years, the average days below previous high of 246 days of Vanguard Extended Duration Treasury ETF is higher, thus worse.
  • During the last 3 years, the average days below previous high is 330 days, which is greater, thus worse than the value of 59 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.