PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VUSUX vs. USFR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VUSUXUSFR
YTD Return-4.23%4.69%
1Y Return8.21%5.26%
3Y Return (Ann)-11.11%3.94%
5Y Return (Ann)-6.97%2.51%
10Y Return (Ann)-1.62%2.37%
Sharpe Ratio0.5914.84
Sortino Ratio0.9254.23
Omega Ratio1.1113.20
Calmar Ratio0.1789.28
Martin Ratio1.55737.46
Ulcer Index5.20%0.01%
Daily Std Dev13.76%0.36%
Max Drawdown-51.18%-1.36%
Current Drawdown-43.90%0.00%

Correlation

-0.50.00.51.0-0.0

The correlation between VUSUX and USFR is -0.00. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

VUSUX vs. USFR - Performance Comparison

In the year-to-date period, VUSUX achieves a -4.23% return, which is significantly lower than USFR's 4.69% return. Over the past 10 years, VUSUX has underperformed USFR with an annualized return of -1.62%, while USFR has yielded a comparatively higher 2.37% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.26%
2.44%
VUSUX
USFR

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VUSUX vs. USFR - Expense Ratio Comparison

VUSUX has a 0.10% expense ratio, which is lower than USFR's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
Expense ratio chart for USFR: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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%

Risk-Adjusted Performance

VUSUX vs. USFR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR). 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.


VUSUX
Sharpe ratio
The chart of Sharpe ratio for VUSUX, currently valued at 0.59, compared to the broader market0.002.004.000.59
Sortino ratio
The chart of Sortino ratio for VUSUX, currently valued at 0.92, compared to the broader market0.005.0010.000.92
Omega ratio
The chart of Omega ratio for VUSUX, currently valued at 1.11, compared to the broader market1.002.003.004.001.11
Calmar ratio
The chart of Calmar ratio for VUSUX, currently valued at 0.17, compared to the broader market0.005.0010.0015.0020.000.17
Martin ratio
The chart of Martin ratio for VUSUX, currently valued at 1.55, compared to the broader market0.0020.0040.0060.0080.00100.001.55
USFR
Sharpe ratio
The chart of Sharpe ratio for USFR, currently valued at 14.84, compared to the broader market0.002.004.0014.84
Sortino ratio
The chart of Sortino ratio for USFR, currently valued at 54.23, compared to the broader market0.005.0010.0054.23
Omega ratio
The chart of Omega ratio for USFR, currently valued at 13.20, compared to the broader market1.002.003.004.0013.20
Calmar ratio
The chart of Calmar ratio for USFR, currently valued at 89.28, compared to the broader market0.005.0010.0015.0020.0089.28
Martin ratio
The chart of Martin ratio for USFR, currently valued at 737.46, compared to the broader market0.0020.0040.0060.0080.00100.00737.46

VUSUX vs. USFR - Sharpe Ratio Comparison

The current VUSUX Sharpe Ratio is 0.59, which is lower than the USFR Sharpe Ratio of 14.84. The chart below compares the historical Sharpe Ratios of VUSUX and USFR, 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 Ratio0.005.0010.0015.00JuneJulyAugustSeptemberOctoberNovember
0.59
14.84
VUSUX
USFR

Dividends

VUSUX vs. USFR - Dividend Comparison

VUSUX's dividend yield for the trailing twelve months is around 3.98%, less than USFR's 5.30% yield.


TTM20232022202120202019201820172016201520142013
VUSUX
Vanguard Long-Term Treasury Fund Admiral Shares
3.98%3.42%3.03%1.97%2.10%2.63%2.92%2.74%2.96%2.99%2.96%3.53%
USFR
WisdomTree Bloomberg Floating Rate Treasury Fund
5.30%5.12%1.78%0.01%0.40%2.08%1.67%1.04%0.29%0.00%0.00%0.00%

Drawdowns

VUSUX vs. USFR - Drawdown Comparison

The maximum VUSUX drawdown since its inception was -51.18%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for VUSUX and USFR. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-43.90%
0
VUSUX
USFR

Volatility

VUSUX vs. USFR - Volatility Comparison

Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) has a higher volatility of 4.66% compared to WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) at 0.09%. This indicates that VUSUX's price experiences larger fluctuations and is considered to be riskier than USFR 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
4.66%
0.09%
VUSUX
USFR