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 6.5% 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 (58.9%)
• Looking at total return, or increase in value in of -4.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.9%).

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 compounded annual growth rate (CAGR) over 5 years of Vanguard Intermediate Term Treasury Fund is 1.3%, which is smaller, thus worse compared to the benchmark SPY (9.7%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -1.6%, which is lower, thus worse than the value of 10.2% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Vanguard Intermediate Term Treasury Fund is 4.5%, which is lower, thus better compared to the benchmark SPY (21.6%) in the same period.
• Looking at 30 days standard deviation in of 5.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (25%).

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.'

• The downside deviation over 5 years of Vanguard Intermediate Term Treasury Fund is 3.1%, which is lower, thus better compared to the benchmark SPY (15.7%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the downside risk of 3.5% is smaller, thus better.

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.'

• Compared with the benchmark SPY (0.33) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.27 of Vanguard Intermediate Term Treasury Fund is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is -0.81, which is lower, thus worse than the value of 0.31 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.'

• Looking at the excess return divided by the downside deviation of -0.4 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 (0.46)
• Compared with SPY (0.43) in the period of the last 3 years, the excess return divided by the downside deviation of -1.16 is smaller, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Ratio over 5 years of Vanguard Intermediate Term Treasury Fund is 4.9 , which is lower, thus better compared to the benchmark SPY (8.91 ) in the same period.
• Looking at Downside risk index in of 6.28 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11 ).

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 DrawDown of -15.5 days in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -15.5 days, which is greater, thus better than the value of -33.7 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.'

• Compared with the benchmark SPY (271 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 628 days of Vanguard Intermediate Term Treasury Fund is greater, thus worse.
• Compared with SPY (271 days) in the period of the last 3 years, the maximum days below previous high of 628 days is higher, 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.'

• Compared with the benchmark SPY (60 days) in the period of the last 5 years, the average time in days below previous high water mark of 184 days of Vanguard Intermediate Term Treasury Fund is larger, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 276 days, which is larger, thus worse than the value of 72 days from the benchmark.