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

Key characteristics


VUSUXVFIUX
YTD Return-4.23%1.23%
1Y Return8.21%6.35%
3Y Return (Ann)-11.11%-1.79%
5Y Return (Ann)-6.97%-0.74%
10Y Return (Ann)-1.62%0.67%
Sharpe Ratio0.591.16
Sortino Ratio0.921.73
Omega Ratio1.111.21
Calmar Ratio0.170.38
Martin Ratio1.553.73
Ulcer Index5.20%1.70%
Daily Std Dev13.76%5.47%
Max Drawdown-51.18%-18.44%
Current Drawdown-43.90%-11.29%

Correlation

-0.50.00.51.00.9

The correlation between VUSUX and VFIUX is 0.87, 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

VUSUX vs. VFIUX - Performance Comparison

In the year-to-date period, VUSUX achieves a -4.23% return, which is significantly lower than VFIUX's 1.23% return. Over the past 10 years, VUSUX has underperformed VFIUX with an annualized return of -1.62%, while VFIUX has yielded a comparatively higher 0.67% 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
0.90%
2.18%
VUSUX
VFIUX

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VUSUX vs. VFIUX - Expense Ratio Comparison

Both VUSUX and VFIUX have an expense ratio of 0.10%, making them cost-effective options compared to the broader market, where average expense ratios typically 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 VFIUX: 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. VFIUX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) and Vanguard Intermediate-Term Treasury Fund Admiral Shares (VFIUX). 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 market0.005.0010.0015.0020.0025.000.17
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
VFIUX
Sharpe ratio
The chart of Sharpe ratio for VFIUX, currently valued at 1.16, compared to the broader market0.002.004.001.16
Sortino ratio
The chart of Sortino ratio for VFIUX, currently valued at 1.73, compared to the broader market0.005.0010.001.73
Omega ratio
The chart of Omega ratio for VFIUX, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for VFIUX, currently valued at 0.38, compared to the broader market0.005.0010.0015.0020.0025.000.38
Martin ratio
The chart of Martin ratio for VFIUX, currently valued at 3.73, compared to the broader market0.0020.0040.0060.0080.00100.003.73

VUSUX vs. VFIUX - Sharpe Ratio Comparison

The current VUSUX Sharpe Ratio is 0.59, which is lower than the VFIUX Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of VUSUX and VFIUX, 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-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.59
1.16
VUSUX
VFIUX

Dividends

VUSUX vs. VFIUX - Dividend Comparison

VUSUX's dividend yield for the trailing twelve months is around 3.98%, less than VFIUX's 4.12% 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%
VFIUX
Vanguard Intermediate-Term Treasury Fund Admiral Shares
4.12%3.55%2.07%1.03%1.28%2.42%2.44%1.88%1.70%1.79%1.75%1.62%

Drawdowns

VUSUX vs. VFIUX - Drawdown Comparison

The maximum VUSUX drawdown since its inception was -51.18%, which is greater than VFIUX's maximum drawdown of -18.44%. Use the drawdown chart below to compare losses from any high point for VUSUX and VFIUX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-43.90%
-11.29%
VUSUX
VFIUX

Volatility

VUSUX vs. VFIUX - Volatility Comparison

Vanguard Long-Term Treasury Fund Admiral Shares (VUSUX) has a higher volatility of 4.66% compared to Vanguard Intermediate-Term Treasury Fund Admiral Shares (VFIUX) at 1.49%. This indicates that VUSUX's price experiences larger fluctuations and is considered to be riskier than VFIUX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
4.66%
1.49%
VUSUX
VFIUX