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.'

• The total return, or increase in value over 5 years of Vanguard Long Term Treasury Fund is -34.3%, which is lower, thus worse compared to the benchmark SPY (91.8%) in the same period.
• Looking at total return, or increase in value in of -30.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (30.9%).

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 (13.9%) in the period of the last 5 years, the annual performance (CAGR) of -8.1% of Vanguard Long Term Treasury Fund is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is -11.7%, which is lower, thus worse than the value of 9.5% 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 30 days standard deviation of 16.8% in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (21%)
• Compared with SPY (17.5%) in the period of the last 3 years, the historical 30 days volatility of 16.4% 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.'

• Looking at the downside risk of 12% in the last 5 years of Vanguard Long Term Treasury Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 11.9%, which is lower, thus better than the value of 12.3% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of Vanguard Long Term Treasury Fund is -0.63, which is lower, thus worse compared to the benchmark SPY (0.54) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.87, which is smaller, thus worse than the value of 0.4 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of Vanguard Long Term Treasury Fund is -0.88, which is lower, thus worse compared to the benchmark SPY (0.76) in the same period.
• Looking at ratio of annual return and downside deviation in of -1.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.57).

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.'

• Looking at the Ulcer Ratio of 34 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 (9.33 )
• Looking at Ulcer Index in of 25 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (8.89 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -51.3 days of Vanguard Long Term Treasury Fund is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -37.4 days, which is lower, thus worse than the value of -22.4 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.'

• The maximum time in days below previous high water mark over 5 years of Vanguard Long Term Treasury Fund is 1117 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (375 days) in the period of the last 3 years, the maximum days under water of 747 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.'

• The average days under water over 5 years of Vanguard Long Term Treasury Fund is 509 days, which is larger, thus worse compared to the benchmark SPY (122 days) in the same period.
• During the last 3 years, the average days under water is 373 days, which is larger, thus worse than the value of 114 days from the benchmark.