Fund Performance Analysis

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Fund Information (Aug 2012 - Jul 2017)

Fund information
NameVanguard Long-Term Treasury Inv (VUSTX)
Asset ClassTaxable Bond
CategoryLong Government
Fund BenchmarkBBgBarc US Treasury Long TR USD
Effective Duration17.60
Yield (SEC)1.82%
Yield (TTM)1.81%
Assets3.91 B
Equity Holdings0
Bond Holdings106
Total Holdings107
Expense Ratio0.20%
Inception Date05/19/1986

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Long-Term Treasury Inv$10,000$10,928 1.79% 10.50%25.28%-13.03%-16.68% 0.200.31-0.24

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Vanguard Long-Term Treasury Inv1.77%-9.75%5.09%1.79%1.79%11.37%10.50%
Trailing annualized return and volatility are for full months ending in July 2017 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 07/27/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Long-Term Treasury Inv
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.12%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.05%
Corporate Bonds0.00%
Long-Term Treasuries87.32%
Intermediate-Term Treasuries12.52%
Short-Term Treasuries0.00%
R Squared99.78%
Style analysis is based on monthly returns from August 2012 to July 2017 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard Long-Term Treasury Inv

Holdings Based Style Analysis for Vanguard Long-Term Treasury Inv
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%1.82%0.20%17.60$928100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetricVanguard Long-Term Treasury Inv
Arithmetic Mean (monthly)0.19%
Arithmetic Mean (annualized)2.34%
Geometric Mean (monthly)0.15%
Geometric Mean (annualized)1.79%
Volatility (monthly)3.03%
Volatility (annualized)10.50%
Downside Deviation (monthly)1.98%
Max. Drawdown-16.68%
US Market Correlation-0.24
Alpha (annualized)5.93%
Sharpe Ratio0.20
Sortino Ratio0.31
Treynor Ratio (%)-8.39
Calmar Ratio0.36
Active Return-12.81%
Tracking Error15.97%
Information Ratio-0.80
Excess Kurtosis1.05
Historical Value-at-Risk (5%)-4.30%
Analytical Value-at-Risk (5%)-4.79%
Conditional Value-at-Risk (5%)-6.58%
Upside Capture Ratio (%)-3.26
Downside Capture Ratio (%)-35.11
Safe Withdrawal Rate18.99%
Perpetual Withdrawal Rate0.45%
Positive Periods31 out of 60 (51.67%)
Gain/Loss Ratio1.11
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Vanguard Long-Term Treasury Inv Returns

Annual and monthly fund returns