Vanguard Intermediate Term Treasury Fund (VFITX)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or performance of -0.3% in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (86.2%)
• Compared with SPY (73.4%) in the period of the last 3 years, the total return, or increase in value of 11.2% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of Vanguard Intermediate Term Treasury Fund is -0.1%, which is lower, thus worse compared to the benchmark SPY (13.3%) in the same period.
• Looking at annual return (CAGR) in of 3.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.2%).

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 (17.2%) in the period of the last 5 years, the 30 days standard deviation of 5.7% of Vanguard Intermediate Term Treasury Fund is lower, thus better.
• Compared with SPY (15.3%) in the period of the last 3 years, the historical 30 days volatility of 5% 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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside risk of 3.9% of Vanguard Intermediate Term Treasury Fund is smaller, thus better.
• Compared with SPY (10.3%) in the period of the last 3 years, the downside volatility of 3.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Vanguard Intermediate Term Treasury Fund is -0.45, which is smaller, thus worse compared to the benchmark SPY (0.63) in the same period.
• Compared with SPY (1.16) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.23 is smaller, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Vanguard Intermediate Term Treasury Fund is -0.66, which is smaller, thus worse compared to the benchmark SPY (0.91) in the same period.
• Compared with SPY (1.73) in the period of the last 3 years, the excess return divided by the downside deviation of 0.34 is lower, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Ulcer Ratio over 5 years of Vanguard Intermediate Term Treasury Fund is 7.97 , which is smaller, thus better compared to the benchmark SPY (8.46 ) in the same period.
• Looking at Ulcer Index in of 1.9 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (3.52 ).

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 reduction from previous high over 5 years of Vanguard Intermediate Term Treasury Fund is -15 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -4.7 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-18.8 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1136 days of Vanguard Intermediate Term Treasury Fund is greater, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 136 days, which is larger, thus worse than the value of 87 days from the benchmark.

AveDuration:

'The Average 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. 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 524 days in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Compared with SPY (21 days) in the period of the last 3 years, the average days under water of 40 days is larger, thus worse.