Vanguard Short Term Treasury Fund (VFISX)

TotalReturn:

'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.'

• Looking at the total return of 7.8% in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (82.2%)
• Looking at total return, or increase in value in of 12.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (78.3%).

CAGR:

'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.'

• The annual return (CAGR) over 5 years of Vanguard Short Term Treasury Fund is 1.5%, which is lower, thus worse compared to the benchmark SPY (12.8%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 4.1%, which is smaller, thus worse than the value of 21.3% 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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the 30 days standard deviation of 2.6% of Vanguard Short Term Treasury Fund is lower, thus better.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 2.6% is lower, thus better.

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.'

• The downside deviation over 5 years of Vanguard Short Term Treasury Fund is 1.7%, which is lower, thus better compared to the benchmark SPY (11.8%) in the same period.
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 1.5% is smaller, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the Sharpe Ratio of -0.37 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 (0.6)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.62, which is lower, thus worse than the value of 1.24 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The excess return divided by the downside deviation over 5 years of Vanguard Short Term Treasury Fund is -0.58, which is lower, thus worse compared to the benchmark SPY (0.87) in the same period.
• Looking at excess return divided by the downside deviation in of 1.04 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.86).

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 Ratio over 5 years of Vanguard Short Term Treasury Fund is 3.06 , which is lower, thus better compared to the benchmark SPY (8.45 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 0.8 , which is lower, thus better than the value of 3.5 from the benchmark.

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.'

• The maximum drop from peak to valley over 5 years of Vanguard Short Term Treasury Fund is -6.9 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum DrawDown is -2.2 days, which is higher, thus better than the value of -18.8 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.'

• The maximum days below previous high over 5 years of Vanguard Short Term Treasury Fund is 788 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days under water of 145 days is greater, 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.'

• Looking at the average days under water of 275 days in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 34 days, which is greater, thus worse than the value of 20 days from the benchmark.