Vanguard Intermediate Term Treasury Fund (VFITX)

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.'

• Looking at the total return, or increase in value of 1.8% in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (57.1%)
• Looking at total return, or performance in of -14.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32%).

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.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual return (CAGR) of 0.4% of Vanguard Intermediate Term Treasury Fund is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is -5.1%, which is lower, thus worse than the value of 9.7% 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.'

• Looking at the volatility of 5.1% in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.5%)
• Looking at 30 days standard deviation in of 5.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.9%).

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 risk of 3.5% 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 (15.5%)
• During the last 3 years, the downside deviation is 4.1%, which is smaller, thus better than the value of 12.5% from the benchmark.

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 (0.32) in the period of the last 5 years, the Sharpe Ratio of -0.42 of Vanguard Intermediate Term Treasury Fund is lower, thus worse.
• Compared with SPY (0.41) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -1.33 is lower, thus worse.

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.'

• Compared with the benchmark SPY (0.45) in the period of the last 5 years, the downside risk / excess return profile of -0.61 of Vanguard Intermediate Term Treasury Fund is lower, thus worse.
• Compared with SPY (0.58) in the period of the last 3 years, the excess return divided by the downside deviation of -1.87 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 Index over 5 years of Vanguard Intermediate Term Treasury Fund is 6.54 , which is lower, thus better compared to the benchmark SPY (9.57 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 8.25 , which is smaller, thus better than the value of 10 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 drop from peak to valley of -15.5 days in the last 5 years of Vanguard Intermediate Term Treasury Fund, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum reduction from previous high is -15.3 days, which is greater, thus better than the value of -24.5 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 time in days below previous high water mark of 796 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 (439 days)
• Looking at maximum days below previous high in of 754 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (439 days).

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 (106 days) in the period of the last 5 years, the average days under water of 283 days of Vanguard Intermediate Term Treasury Fund is greater, thus worse.
• Compared with SPY (149 days) in the period of the last 3 years, the average days below previous high of 378 days is larger, thus worse.