Description

Vanguard Short Term Treasury Fund Investor Shares

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (88%) in the period of the last 5 years, the total return, or increase in value of 10% of Vanguard Short Term Treasury Fund is smaller, thus worse.
  • During the last 3 years, the total return, or performance is 8.6%, which is lower, thus worse than the value of 39.5% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of 1.9% in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (13.5%)
  • During the last 3 years, the annual performance (CAGR) is 2.8%, which is lower, thus worse than the value of 11.7% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the 30 days standard deviation of 1.4% of Vanguard Short Term Treasury Fund is smaller, thus better.
  • During the last 3 years, the 30 days standard deviation is 1.5%, which is lower, thus better than the value of 22.3% from the benchmark.

DownVol:

'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 (13.7%) in the period of the last 5 years, the downside risk of 0.9% of Vanguard Short Term Treasury Fund is lower, thus better.
  • Looking at downside deviation in of 0.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.5%).

Sharpe:

'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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of Vanguard Short Term Treasury Fund is -0.41, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.19, which is smaller, thus worse than the value of 0.41 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of Vanguard Short Term Treasury Fund is -0.66, which is smaller, thus worse compared to the benchmark SPY (0.8) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.32, which is lower, thus worse than the value of 0.56 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (5.79 ) in the period of the last 5 years, the Ulcer Ratio of 0.55 of Vanguard Short Term Treasury Fund is lower, thus better.
  • Looking at Downside risk index in of 0.45 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (7.08 ).

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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of Vanguard Short Term Treasury Fund is -1.4 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
  • Looking at maximum DrawDown in of -1.1 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 320 days of Vanguard Short Term Treasury Fund is larger, thus worse.
  • During the last 3 years, the maximum days under water is 297 days, which is higher, thus worse than the value of 139 days from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average time in days below previous high water mark of 90 days of Vanguard Short Term Treasury Fund is greater, thus worse.
  • Looking at average days under water in of 78 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (45 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Short Term Treasury Fund 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.