Vanguard Short Term Treasury Fund (VFISX)

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.'

• The total return over 5 years of Vanguard Short Term Treasury Fund is 4.7%, which is lower, thus worse compared to the benchmark SPY (109.3%) in the same period.
• Looking at total return, or increase in value in of 7.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (34.3%).

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.'

• The annual performance (CAGR) over 5 years of Vanguard Short Term Treasury Fund is 0.9%, which is lower, thus worse compared to the benchmark SPY (16%) in the same period.
• Looking at annual performance (CAGR) in of 2.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10.4%).

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.'

• Looking at the volatility of 2.5% in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (18%)
• Compared with SPY (18.8%) in the period of the last 3 years, the volatility of 3% is lower, thus better.

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.'

• Looking at the downside deviation of 1.6% in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (12.5%)
• Looking at downside risk in of 1.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13%).

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.'

• Compared with the benchmark SPY (0.75) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.63 of Vanguard Short Term Treasury Fund is smaller, thus worse.
• Compared with SPY (0.42) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.02 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.'

• Looking at the excess return divided by the downside deviation of -0.96 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 (1.07)
• During the last 3 years, the downside risk / excess return profile is 0.03, which is lower, thus worse than the value of 0.6 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.'

• The Downside risk index 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 Downside risk index is 1.32 , which is lower, thus better than the value of 5.75 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -6.9 days in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -3.5 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). 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 791 days of Vanguard Short Term Treasury Fund is greater, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days below previous high of 379 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 time in days below previous high water mark of 283 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 (118 days)
• Looking at average time in days below previous high water mark in of 119 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (45 days).