Vanguard Short Term Treasury Fund (VFISX)

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 of 7.6% in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (80.7%)
• During the last 3 years, the total return is 12.4%, which is smaller, thus worse than the value of 75% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Vanguard Short Term Treasury Fund is 1.5%, which is lower, thus worse compared to the benchmark SPY (12.6%) in the same period.
• During the last 3 years, the annual return (CAGR) is 4%, which is lower, thus worse than the value of 20.6% 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.'

• Looking at the volatility of 2.6% in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively lower, thus better in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the historical 30 days volatility is 2.6%, which is lower, thus better than the value of 15.2% from the benchmark.

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside risk of 1.7% of Vanguard Short Term Treasury Fund is lower, thus better.
• During the last 3 years, the downside deviation is 1.5%, which is lower, thus better than the value of 10.2% from the benchmark.

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 Sharpe Ratio of -0.38 in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.59)
• Looking at risk / return profile (Sharpe) in of 0.58 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.19).

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.'

• Compared with the benchmark SPY (0.86) in the period of the last 5 years, the downside risk / excess return profile of -0.6 of Vanguard Short Term Treasury Fund is smaller, thus worse.
• Looking at downside risk / excess return profile in of 0.97 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.79).

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 (8.45 ) in the period of the last 5 years, the Ulcer Index of 3.06 of Vanguard Short Term Treasury Fund is lower, thus better.
• Compared with SPY (3.51 ) in the period of the last 3 years, the Downside risk index of 0.8 is lower, thus better.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -6.9 days of Vanguard Short Term Treasury Fund is higher, thus better.
• Looking at maximum DrawDown in of -2.2 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-18.8 days).

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.'

• The maximum days below previous high over 5 years of Vanguard Short Term Treasury Fund is 788 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 145 days, which is larger, thus worse than the value of 87 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 275 days in the last 5 years of Vanguard Short Term Treasury Fund, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• During the last 3 years, the average days below previous high is 34 days, which is greater, thus worse than the value of 20 days from the benchmark.