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VUSUX vs. SGOV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VUSUX vs. SGOV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) and iShares 0-3 Month Treasury Bond ETF (SGOV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.51%
2.53%
VUSUX
SGOV

Returns By Period

In the year-to-date period, VUSUX achieves a -4.58% return, which is significantly lower than SGOV's 4.75% return.


VUSUX

YTD

-4.58%

1M

-1.73%

6M

1.64%

1Y

4.59%

5Y (annualized)

-7.30%

10Y (annualized)

-1.70%

SGOV

YTD

4.75%

1M

0.38%

6M

2.53%

1Y

5.31%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


VUSUXSGOV
Sharpe Ratio0.3721.74
Sortino Ratio0.61523.74
Omega Ratio1.07524.74
Calmar Ratio0.11537.55
Martin Ratio0.928,533.31
Ulcer Index5.43%0.00%
Daily Std Dev13.54%0.25%
Max Drawdown-51.18%-0.03%
Current Drawdown-44.10%0.00%

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VUSUX vs. SGOV - Expense Ratio Comparison

VUSUX has a 0.10% expense ratio, which is higher than SGOV's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VUSUX
Vanguard Long-Term Treasury Fund Admiral Shares
Expense ratio chart for VUSUX: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for SGOV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.0

The correlation between VUSUX and SGOV is 0.03, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

VUSUX vs. SGOV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 VUSUX, currently valued at 0.37, compared to the broader market-1.000.001.002.003.004.005.000.3721.74
The chart of Sortino ratio for VUSUX, currently valued at 0.61, compared to the broader market0.005.0010.000.61523.74
The chart of Omega ratio for VUSUX, currently valued at 1.07, compared to the broader market1.002.003.004.001.07524.74
The chart of Calmar ratio for VUSUX, currently valued at 0.11, compared to the broader market0.005.0010.0015.0020.0025.000.11537.55
The chart of Martin ratio for VUSUX, currently valued at 0.92, compared to the broader market0.0020.0040.0060.0080.00100.000.928,533.31
VUSUX
SGOV

The current VUSUX Sharpe Ratio is 0.37, which is lower than the SGOV Sharpe Ratio of 21.74. The chart below compares the historical Sharpe Ratios of VUSUX and SGOV, 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 Ratio0.005.0010.0015.0020.00JuneJulyAugustSeptemberOctoberNovember
0.37
21.74
VUSUX
SGOV

Dividends

VUSUX vs. SGOV - Dividend Comparison

VUSUX's dividend yield for the trailing twelve months is around 3.99%, less than SGOV's 5.24% yield.


TTM20232022202120202019201820172016201520142013
VUSUX
Vanguard Long-Term Treasury Fund Admiral Shares
3.99%3.42%3.03%1.97%2.10%2.63%2.92%2.74%2.96%2.99%2.96%3.53%
SGOV
iShares 0-3 Month Treasury Bond ETF
5.24%4.87%1.45%0.03%0.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VUSUX vs. SGOV - Drawdown Comparison

The maximum VUSUX drawdown since its inception was -51.18%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for VUSUX and SGOV. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-44.10%
0
VUSUX
SGOV

Volatility

VUSUX vs. SGOV - Volatility Comparison

Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) has a higher volatility of 4.10% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.08%. This indicates that VUSUX's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.10%
0.08%
VUSUX
SGOV