PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VGIT vs. IEF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VGITIEF
YTD Return-0.61%-1.20%
1Y Return1.08%-0.95%
3Y Return (Ann)-2.50%-3.96%
5Y Return (Ann)0.25%-0.59%
10Y Return (Ann)1.20%1.18%
Sharpe Ratio0.16-0.12
Daily Std Dev5.90%8.31%
Max Drawdown-16.05%-23.93%
Current Drawdown-10.45%-17.86%

Correlation

0.94
-1.001.00

The correlation between VGIT and IEF is 0.94, 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.

Performance

VGIT vs. IEF - Performance Comparison

In the year-to-date period, VGIT achieves a -0.61% return, which is significantly higher than IEF's -1.20% return. Both investments have delivered pretty close results over the past 10 years, with VGIT having a 1.20% annualized return and IEF not far behind at 1.18%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


25.00%30.00%35.00%40.00%OctoberNovemberDecember2024FebruaryMarch
31.04%
38.07%
VGIT
IEF

Compare stocks, funds, or ETFs


Vanguard Intermediate-Term Treasury ETF

iShares 7-10 Year Treasury Bond ETF

VGIT vs. IEF - Expense Ratio Comparison

VGIT has a 0.04% expense ratio, which is lower than IEF's 0.15% expense ratio.

IEF
iShares 7-10 Year Treasury Bond ETF
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

VGIT vs. IEF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Intermediate-Term Treasury ETF (VGIT) and iShares 7-10 Year Treasury Bond ETF (IEF). 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VGIT
Vanguard Intermediate-Term Treasury ETF
0.16
IEF
iShares 7-10 Year Treasury Bond ETF
-0.12

VGIT vs. IEF - Sharpe Ratio Comparison

The current VGIT Sharpe Ratio is 0.16, which is higher than the IEF Sharpe Ratio of -0.12. The chart below compares the 12-month rolling Sharpe Ratio of VGIT and IEF.


Rolling 12-month Sharpe Ratio-0.40-0.200.000.200.400.600.80OctoberNovemberDecember2024FebruaryMarch
0.16
-0.12
VGIT
IEF

Dividends

VGIT vs. IEF - Dividend Comparison

VGIT's dividend yield for the trailing twelve months is around 2.89%, less than IEF's 3.04% yield.


TTM20232022202120202019201820172016201520142013
VGIT
Vanguard Intermediate-Term Treasury ETF
2.89%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%
IEF
iShares 7-10 Year Treasury Bond ETF
3.04%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%

Drawdowns

VGIT vs. IEF - Drawdown Comparison

The maximum VGIT drawdown since its inception was -16.05%, smaller than the maximum IEF drawdown of -23.93%. The drawdown chart below compares losses from any high point along the way for VGIT and IEF


-20.00%-15.00%-10.00%OctoberNovemberDecember2024FebruaryMarch
-10.45%
-17.86%
VGIT
IEF

Volatility

VGIT vs. IEF - Volatility Comparison

The current volatility for Vanguard Intermediate-Term Treasury ETF (VGIT) is 1.07%, while iShares 7-10 Year Treasury Bond ETF (IEF) has a volatility of 1.54%. This indicates that VGIT experiences smaller price fluctuations and is considered to be less risky than IEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%OctoberNovemberDecember2024FebruaryMarch
1.07%
1.54%
VGIT
IEF