Description

The investment seeks to provide a high and sustainable level of current income. The fund invests at least 80% of its assets in U.S. Treasury securities, which include bills, bonds, and notes issued by the U.S. Treasury. It is expected to maintain a dollar-weighted average maturity of 15 to 30 years.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Looking at the total return of -6.3% in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (61.3%)
  • Looking at total return, or increase in value in of -21.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (31.6%).

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Vanguard Long Term Treasury Fund is -1.3%, which is smaller, thus worse compared to the benchmark SPY (10%) in the same period.
  • During the last 3 years, the compounded annual growth rate (CAGR) is -7.9%, which is lower, thus worse than the value of 9.6% 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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of Vanguard Long Term Treasury Fund is 14.4%, which is lower, thus better compared to the benchmark SPY (20.8%) in the same period.
  • During the last 3 years, the volatility is 16.7%, which is smaller, thus better than the value of 24% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Applying this definition to our asset in some examples:
  • The downside deviation over 5 years of Vanguard Long Term Treasury Fund is 10.1%, which is smaller, thus better compared to the benchmark SPY (15.3%) in the same period.
  • Looking at downside deviation in of 11.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.6%).

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.'

Which means for our asset as example:
  • Looking at the ratio of return and volatility (Sharpe) of -0.26 in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.36)
  • Looking at ratio of return and volatility (Sharpe) in of -0.62 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.3).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.37 of Vanguard Long Term Treasury Fund is lower, thus worse.
  • During the last 3 years, the downside risk / excess return profile is -0.88, which is lower, thus worse than the value of 0.4 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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 12 in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (7.61 )
  • Compared with SPY (8.93 ) in the period of the last 3 years, the Downside risk index of 16 is higher, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum reduction from previous high of -37.8 days in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • During the last 3 years, the maximum drop from peak to valley is -37.8 days, which is lower, thus worse 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum days under water of 542 days in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively higher, thus worse in comparison to the benchmark SPY (185 days)
  • Compared with SPY (185 days) in the period of the last 3 years, the maximum days below previous high of 542 days is larger, 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days below previous high of 173 days of Vanguard Long Term Treasury Fund is greater, thus worse.
  • Compared with SPY (44 days) in the period of the last 3 years, the average time in days below previous high water mark of 208 days is larger, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Vanguard Long Term Treasury Fund are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.