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VEDTX vs. EDV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VEDTX vs. EDV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Extended Duration Treasury Index Fund (VEDTX) and Vanguard Extended Duration Treasury ETF (EDV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.01%
-0.06%
VEDTX
EDV

Returns By Period

The year-to-date returns for both investments are quite close, with VEDTX having a -10.28% return and EDV slightly higher at -9.78%. Both investments have delivered pretty close results over the past 10 years, with VEDTX having a -1.22% annualized return and EDV not far behind at -1.25%.


VEDTX

YTD

-10.28%

1M

-4.74%

6M

0.02%

1Y

3.67%

5Y (annualized)

-9.25%

10Y (annualized)

-1.22%

EDV

YTD

-9.78%

1M

-4.86%

6M

-0.06%

1Y

3.83%

5Y (annualized)

-9.20%

10Y (annualized)

-1.25%

Key characteristics


VEDTXEDV
Sharpe Ratio0.220.22
Sortino Ratio0.450.46
Omega Ratio1.051.05
Calmar Ratio0.080.08
Martin Ratio0.490.52
Ulcer Index9.01%8.89%
Daily Std Dev20.69%20.61%
Max Drawdown-60.00%-59.96%
Current Drawdown-53.02%-52.98%

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VEDTX vs. EDV - Expense Ratio Comparison

Both VEDTX and EDV have an expense ratio of 0.06%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


VEDTX
Vanguard Extended Duration Treasury Index Fund
Expense ratio chart for VEDTX: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for EDV: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Correlation

-0.50.00.51.01.0

The correlation between VEDTX and EDV is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

VEDTX vs. EDV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Extended Duration Treasury Index Fund (VEDTX) and Vanguard Extended Duration Treasury ETF (EDV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for VEDTX, currently valued at 0.22, compared to the broader market0.002.004.000.220.22
The chart of Sortino ratio for VEDTX, currently valued at 0.45, compared to the broader market0.005.0010.000.450.46
The chart of Omega ratio for VEDTX, currently valued at 1.05, compared to the broader market1.002.003.004.001.051.05
The chart of Calmar ratio for VEDTX, currently valued at 0.08, compared to the broader market0.005.0010.0015.0020.0025.000.080.08
The chart of Martin ratio for VEDTX, currently valued at 0.49, compared to the broader market0.0020.0040.0060.0080.00100.000.490.52
VEDTX
EDV

The current VEDTX Sharpe Ratio is 0.22, which is comparable to the EDV Sharpe Ratio of 0.22. The chart below compares the historical Sharpe Ratios of VEDTX and EDV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.22
0.22
VEDTX
EDV

Dividends

VEDTX vs. EDV - Dividend Comparison

VEDTX's dividend yield for the trailing twelve months is around 4.33%, which matches EDV's 4.30% yield.


TTM20232022202120202019201820172016201520142013
VEDTX
Vanguard Extended Duration Treasury Index Fund
4.33%3.55%3.30%1.96%2.05%2.56%2.94%2.70%3.10%3.17%2.84%3.72%
EDV
Vanguard Extended Duration Treasury ETF
4.30%3.55%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%5.03%

Drawdowns

VEDTX vs. EDV - Drawdown Comparison

The maximum VEDTX drawdown since its inception was -60.00%, roughly equal to the maximum EDV drawdown of -59.96%. Use the drawdown chart below to compare losses from any high point for VEDTX and EDV. For additional features, visit the drawdowns tool.


-54.00%-52.00%-50.00%-48.00%-46.00%JuneJulyAugustSeptemberOctoberNovember
-53.02%
-52.98%
VEDTX
EDV

Volatility

VEDTX vs. EDV - Volatility Comparison

Vanguard Extended Duration Treasury Index Fund (VEDTX) and Vanguard Extended Duration Treasury ETF (EDV) have volatilities of 7.26% and 7.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.26%
7.09%
VEDTX
EDV