Vanguard Intermediate Term Treasury Fund (VFITX)

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, or increase in value of 15.6% 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 (116.8%)
• Looking at total return, or performance in of 17.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (38.2%).

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.'

• Compared with the benchmark SPY (16.7%) in the period of the last 5 years, the annual return (CAGR) of 2.9% of Vanguard Intermediate Term Treasury Fund is lower, thus worse.
• Compared with SPY (11.4%) in the period of the last 3 years, the annual performance (CAGR) of 5.5% is smaller, thus worse.

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.'

• The historical 30 days volatility over 5 years of Vanguard Intermediate Term Treasury Fund is 4.2%, which is lower, thus better compared to the benchmark SPY (18.7%) in the same period.
• Compared with SPY (22.9%) in the period of the last 3 years, the historical 30 days volatility of 4.7% 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 Intermediate Term Treasury Fund is 2.8%, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (16.8%) in the period of the last 3 years, the downside volatility of 3.1% 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.'

• Compared with the benchmark SPY (0.76) in the period of the last 5 years, the Sharpe Ratio of 0.1 of Vanguard Intermediate Term Treasury Fund is smaller, thus worse.
• Compared with SPY (0.39) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.63 is higher, thus better.

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.'

• Looking at the ratio of annual return and downside deviation of 0.16 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 (1.05)
• During the last 3 years, the excess return divided by the downside deviation is 0.97, which is greater, thus better than the value of 0.53 from the benchmark.

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.'

• Looking at the Ulcer Index of 3.26 in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively smaller, thus better in comparison to the benchmark SPY (5.59 )
• During the last 3 years, the Ulcer Ratio is 0.98 , which is lower, thus better than the value of 7.15 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 reduction from previous high over 5 years of Vanguard Intermediate Term Treasury Fund is -6.7 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -4.3 days, which is higher, 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.'

• Looking at the maximum days below previous high of 724 days in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (139 days)
• Looking at maximum time in days below previous high water mark in of 101 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (139 days).

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.'

• Compared with the benchmark SPY (33 days) in the period of the last 5 years, the average days under water of 235 days of Vanguard Intermediate Term Treasury Fund is higher, thus worse.
• Looking at average days under water in of 30 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (45 days).