Vanguard Long Term Treasury Fund (VUSTX)

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.'

• Compared with the benchmark SPY (107.5%) in the period of the last 5 years, the total return, or increase in value of -30.3% of Vanguard Long Term Treasury Fund is lower, thus worse.
• Compared with SPY (78.7%) in the period of the last 3 years, the total return of 6.3% is smaller, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of -7% 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 (15.8%)
• Compared with SPY (21.5%) in the period of the last 3 years, the annual return (CAGR) of 2.1% is lower, 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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 14.8% of Vanguard Long Term Treasury Fund is lower, thus better.
• Looking at historical 30 days volatility in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.6%).

DownVol:

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

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the downside deviation of 10.7% of Vanguard Long Term Treasury Fund is lower, thus better.
• Looking at downside deviation in of 10.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.4%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.64 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 (0.78)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.03, which is lower, thus worse than the value of 1.21 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the downside risk / excess return profile of -0.89 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 (1.13)
• Compared with SPY (1.83) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.04 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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Ulcer Ratio of 29 of Vanguard Long Term Treasury Fund is larger, thus worse.
• During the last 3 years, the Ulcer Ratio is 8.94 , which is larger, thus worse than the value of 3.61 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 reduction from previous high of -43.2 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 (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -21 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Looking at the maximum days under water of 1249 days in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 653 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 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 (120 days) in the period of the last 5 years, the average days below previous high of 624 days of Vanguard Long Term Treasury Fund is larger, thus worse.
• Compared with SPY (21 days) in the period of the last 3 years, the average time in days below previous high water mark of 290 days is higher, thus worse.