Data Source: from January 2010 to May 2023 (~13 years)
Consolidated Returns as of 31 May 2023
Consolidated Returns as of 31 May 2023
Category: Fixed Income
ETF: Vanguard Intermediate-Term Treasury (VGIT)
In the last 10 Years, the Vanguard Intermediate-Term Treasury (VGIT) ETF obtained a 0.99% compound annual return, with a 4.18% standard deviation.
In 2022, the ETF granted a 1.54% dividend yield. If you are interested in getting periodic income, please refer to the Vanguard Intermediate-Term Treasury (VGIT) ETF: Dividend Yield page.
The ETF is related to the following investment themes:
- Asset Class: Bond
- Region: North America
- Country: U.S.
- Bond - Duration: Intermediate-Term
Historical Returns as of May 31, 2023
Historical returns and Metrics of Vanguard Intermediate-Term Treasury (VGIT) ETF.
Returns and metrics are calculated based on monthly returns, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends
VANGUARD INTERMEDIATE-TERM TREASURY (VGIT) ETF
Portfolio Metrics
Data Source: 1 January 2010 - 31 May 2023 (~13 years)
Swipe left to see all data
| Metrics as of May 31, 2023 | ||||||||
|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y |
MAX
(~13Y) |
|
| Portfolio Return (%) | -1.06 | 2.72 | 1.63 | -1.60 | -3.76 | 0.94 | 0.99 | 2.09 |
| US Inflation (%) | 0.00 | 0.84 | 1.90 | 3.79 | 5.77 | 3.81 | 2.68 | 2.57 |
| Infl. Adjusted Return (%) | -1.06 | 1.86 | -0.26 | -5.19 | -9.01 | -2.77 | -1.64 | -0.46 |
| Waiting for updates, inflation of May 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | ||||||||
| RISK INDICATORS | ||||||||
| Standard Deviation (%) | 7.35 | 5.12 | 4.93 | 4.18 | 4.11 | |||
| Sharpe Ratio | -0.65 | -0.94 | -0.08 | 0.05 | -0.46 | |||
| Sortino Ratio | -0.93 | -1.32 | -0.11 | 0.08 | -0.66 | |||
| MAXIMUM DRAWDOWN | ||||||||
| Drawdown Depth (%) | -6.74 | -14.96 | -14.96 | -14.96 | -14.96 | |||
| Start (yyyy mm) | 2022 08 | 2020 08 | 2020 08 | 2020 08 | 2020 08 | |||
| Bottom (yyyy mm) | 2022 10 | 2022 10 | 2022 10 | 2022 10 | 2022 10 | |||
| Start to Bottom (# months) | 3 | 27 | 27 | 27 | 27 | |||
| Start to Recovery (# months) in progress |
> 10
|
> 34
|
> 34
|
> 34
|
> 34
|
|||
| ROLLING PERIOD RETURNS - Annualized | ||||||||
| Best Return (%) | 11.97 | 6.40 | 4.24 | 3.78 | ||||
| Worst Return (%) | -12.06 | -3.76 | -0.22 | 0.52 | ||||
| % Positive Periods | 61% | 90% | 98% | 100% | ||||
| MONTHS | ||||||||
| Positive | 0 | 2 | 3 | 5 | 16 | 30 | 60 | 86 |
| Negative | 1 | 1 | 3 | 7 | 20 | 30 | 60 | 75 |
| % Positive | 0% | 67% | 50% | 42% | 44% | 50% | 50% | 53% |
| WITHDRAWAL RATES (WR) | ||||||||
| Safe WR (%) | 29.33 | 20.33 | 10.01 | 8.66 | ||||
| Perpetual WR (%) | 0.00 | 0.00 | 0.00 | 0.00 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
- Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Correlations as of May 31, 2023
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Monthly correlations of Vanguard Intermediate-Term Treasury (VGIT) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).
VANGUARD INTERMEDIATE-TERM TREASURY (VGIT) ETF
Monthly correlations as of 31 May 2023
Swipe left to see all data
| Correlation vs VGIT | |||||
|---|---|---|---|---|---|
|
|
|||||
| Asset Class | 1 Year | 5 Years | 10 Years | Since Jan 2010 |
|
|
US Total Stock Market VTI |
0.70
|
0.09
|
0.01
|
-0.12
|
|
|
US Large Cap SPY |
0.72
|
0.10
|
0.02
|
-0.11
|
|
|
US Small Cap IJR |
0.46
|
-0.08
|
-0.14
|
-0.23
|
|
|
US REITs VNQ |
0.77
|
0.17
|
0.27
|
0.17
|
|
|
US Technology QQQ |
0.73
|
0.24
|
0.14
|
0.02
|
|
|
Preferred Stocks PFF |
0.65
|
0.22
|
0.26
|
0.19
|
|
|
EAFE Stocks EFA |
0.81
|
0.17
|
0.09
|
-0.04
|
|
|
World All Countries VT |
0.78
|
0.12
|
0.04
|
-0.08
|
|
|
Emerging Markets EEM |
0.80
|
0.17
|
0.13
|
0.00
|
|
|
Europe VGK |
0.75
|
0.15
|
0.08
|
-0.05
|
|
|
Pacific VPL |
0.84
|
0.19
|
0.10
|
-0.01
|
|
|
Latin America FLLA |
0.39
|
-0.13
|
-0.08
|
-0.12
|
|
|
US Total Bond Market BND |
0.98
|
0.86
|
0.88
|
0.88
|
|
|
Long Term Treasuries TLT |
0.93
|
0.88
|
0.88
|
0.85
|
|
|
US Cash BIL |
0.13
|
0.21
|
0.14
|
0.09
|
|
|
TIPS TIP |
0.86
|
0.71
|
0.73
|
0.71
|
|
|
Invest. Grade Bonds LQD |
0.96
|
0.68
|
0.69
|
0.66
|
|
|
High Yield Bonds HYG |
0.73
|
0.25
|
0.21
|
0.12
|
|
|
International Bonds BNDX |
0.89
|
0.73
|
0.73
|
0.72
|
|
|
Emerg. Market Bonds EMB |
0.81
|
0.33
|
0.38
|
0.36
|
|
|
Gold GLD |
0.80
|
0.45
|
0.45
|
0.39
|
|
|
Commodities DBC |
0.52
|
-0.30
|
-0.29
|
-0.27
|
|
Capital Growth as of May 31, 2023
Capital growth, returns, stats are calculated assuming a reinvestment of dividends.
If you are interested in getting periodic income, please refer to the Vanguard Intermediate-Term Treasury (VGIT) ETF: Dividend Yield page.
An investment of 1000$, since June 2013,
now would be worth 1104.04$, with a total return of 10.40% (0.99% annualized).
The Inflation Adjusted Capital now would be 847.77$, with a net total return of -15.22% (-1.64% annualized).
The Inflation Adjusted Capital now would be 847.77$, with a net total return of -15.22% (-1.64% annualized).
An investment of 1000$, since January 2010,
now would be worth 1320.58$, with a total return of 32.06% (2.09% annualized).
The Inflation Adjusted Capital now would be 940.06$, with a net total return of -5.99% (-0.46% annualized).
The Inflation Adjusted Capital now would be 940.06$, with a net total return of -5.99% (-0.46% annualized).
Readings that may interest you
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
VANGUARD INTERMEDIATE-TERM TREASURY (VGIT) ETF
Drawdown periods
Updated to May 2023
Worst drawdowns since June 2013.
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -14.96% | Aug 2020 | Oct 2022 | 27 | in progress | 7 | 34 |
| -4.34% | Aug 2016 | Apr 2018 | 21 | Mar 2019 | 11 | 32 |
| -2.22% | Jun 2013 | Aug 2013 | 3 | May 2014 | 9 | 12 |
| -1.79% | Feb 2015 | Jun 2015 | 5 | Sep 2015 | 3 | 8 |
| -1.18% | Sep 2019 | Dec 2019 | 4 | Jan 2020 | 1 | 5 |
| -1.04% | Oct 2015 | Dec 2015 | 3 | Jan 2016 | 1 | 4 |
| -0.64% | Sep 2014 | Sep 2014 | 1 | Oct 2014 | 1 | 2 |
| -0.63% | Jun 2014 | Jul 2014 | 2 | Aug 2014 | 1 | 3 |
| -0.34% | Apr 2016 | May 2016 | 2 | Jun 2016 | 1 | 3 |
| -0.13% | Apr 2019 | Apr 2019 | 1 | May 2019 | 1 | 2 |
| -0.10% | Jul 2019 | Jul 2019 | 1 | Aug 2019 | 1 | 2 |
| -0.08% | Dec 2014 | Dec 2014 | 1 | Jan 2015 | 1 | 2 |
| -0.02% | Apr 2020 | Apr 2020 | 1 | May 2020 | 1 | 2 |
Worst drawdowns since January 2010.
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -14.96% | Aug 2020 | Oct 2022 | 27 | in progress | 7 | 34 |
| -4.34% | Aug 2016 | Apr 2018 | 21 | Mar 2019 | 11 | 32 |
| -3.93% | May 2013 | Aug 2013 | 4 | Oct 2014 | 14 | 18 |
| -3.49% | Nov 2010 | Mar 2011 | 5 | Jul 2011 | 4 | 9 |
| -1.79% | Feb 2015 | Jun 2015 | 5 | Sep 2015 | 3 | 8 |
| -1.72% | Feb 2012 | Mar 2012 | 2 | May 2012 | 2 | 4 |
| -1.18% | Sep 2019 | Dec 2019 | 4 | Jan 2020 | 1 | 5 |
| -1.07% | Dec 2012 | Jan 2013 | 2 | Apr 2013 | 3 | 5 |
| -1.04% | Oct 2015 | Dec 2015 | 3 | Jan 2016 | 1 | 4 |
| -0.69% | Mar 2010 | Mar 2010 | 1 | Apr 2010 | 1 | 2 |
| -0.49% | Oct 2011 | Oct 2011 | 1 | Nov 2011 | 1 | 2 |
| -0.39% | Sep 2012 | Oct 2012 | 2 | Nov 2012 | 1 | 3 |
| -0.34% | Apr 2016 | May 2016 | 2 | Jun 2016 | 1 | 3 |
| -0.13% | Jun 2012 | Jun 2012 | 1 | Jul 2012 | 1 | 2 |
| -0.13% | Apr 2019 | Apr 2019 | 1 | May 2019 | 1 | 2 |
| -0.10% | Jul 2019 | Jul 2019 | 1 | Aug 2019 | 1 | 2 |
| -0.08% | Dec 2014 | Dec 2014 | 1 | Jan 2015 | 1 | 2 |
| -0.02% | Apr 2020 | Apr 2020 | 1 | May 2020 | 1 | 2 |
Rolling Returns ( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
VANGUARD INTERMEDIATE-TERM TREASURY (VGIT) ETF
Annualized Rolling Returns
Data Source: from January 2010 to May 2023
Swipe left to see all data
| Rolling Period |
Annualized Return (%) | Negative Periods |
|||
|---|---|---|---|---|---|
| Average | Latest | Best | Worst | ||
| 1 Year |
1.87 | -1.60 |
11.97 May 2019 - Apr 2020 |
-12.06 Nov 2021 - Oct 2022 |
38.67% |
| 2 Years |
2.09 | -4.59 |
8.87 Aug 2018 - Jul 2020 |
-7.38 Nov 2020 - Oct 2022 |
21.01% |
| 3 Years |
2.17 | -3.76 |
6.40 Jan 2010 - Dec 2012 |
-3.76 Jun 2020 - May 2023 |
10.32% |
| 5 Years |
2.15 | 0.94 |
4.24 Feb 2010 - Jan 2015 |
-0.22 Nov 2017 - Oct 2022 |
1.96% |
| 7 Years |
2.05 | 0.45 |
3.46 Sep 2013 - Aug 2020 |
0.04 Mar 2016 - Feb 2023 |
0.00% |
| 10 Years |
2.19 | 0.99 |
3.78 Apr 2010 - Mar 2020 |
0.52 Nov 2012 - Oct 2022 |
0.00% |
Annualized rolling and average returns over full calendar month periods
If you need a deeper detail about rolling returns, please refer to the Vanguard Intermediate-Term Treasury (VGIT) ETF: Rolling Returns page.
Seasonality
Vanguard Intermediate-Term Treasury (VGIT) ETF: in which months is it better to invest?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.60
60% |
-0.53
20% |
0.68
60% |
-0.24
40% |
0.47
80% |
0.13
80% |
0.63
60% |
-0.07
40% |
-1.13
20% |
-0.37
20% |
0.75
80% |
0.13
40% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.60
|
100.07
|
100.75
|
100.50
|
100.98
|
101.11
|
101.75
|
101.68
|
100.53
|
100.16
|
100.91
|
101.04
|
| Best |
2.4 2023 |
2.1 2020 |
3.1 2023 |
0.7 2023 |
2.1 2019 |
0.9 2019 |
1.9 2022 |
2.5 2019 |
0.1 2020 |
0.3 2019 |
2.5 2022 |
2.1 2018 |
| Worst |
-1.6 2022 |
-2.6 2023 |
-3.2 2022 |
-2.5 2022 |
-1.1 2023 |
-0.6 2022 |
-0.3 2018 |
-2.8 2022 |
-3.3 2022 |
-0.7 2022 |
-0.4 2019 |
-0.7 2022 |
Monthly Seasonality over the period Jun 2018 - May 2023
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.82
70% |
-0.31
40% |
0.45
70% |
-0.11
40% |
0.45
70% |
-0.02
50% |
0.41
70% |
0.01
40% |
-0.43
40% |
-0.19
30% |
0.09
50% |
-0.11
30% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.82
|
100.51
|
100.96
|
100.85
|
101.31
|
101.29
|
101.70
|
101.71
|
101.28
|
101.09
|
101.18
|
101.08
|
| Best |
2.5 2015 |
2.1 2020 |
3.1 2023 |
0.8 2017 |
2.1 2019 |
2.1 2016 |
1.9 2022 |
2.5 2019 |
1.3 2013 |
1.1 2014 |
2.5 2022 |
2.1 2018 |
| Worst |
-1.6 2022 |
-2.6 2023 |
-3.2 2022 |
-2.5 2022 |
-1.1 2023 |
-1.5 2013 |
-0.5 2014 |
-2.8 2022 |
-3.3 2022 |
-0.9 2016 |
-2.6 2016 |
-1.4 2013 |
Monthly Seasonality over the period Jun 2013 - May 2023
Swipe left to see all data
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.75
71% |
-0.24
43% |
0.20
57% |
0.28
57% |
0.53
71% |
0.14
46% |
0.61
77% |
0.38
54% |
-0.26
46% |
-0.18
31% |
0.09
54% |
-0.18
31% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.75
|
100.51
|
100.71
|
100.99
|
101.53
|
101.67
|
102.28
|
102.67
|
102.41
|
102.22
|
102.31
|
102.12
|
| Best |
2.5 2015 |
2.1 2020 |
3.1 2023 |
1.7 2012 |
2.1 2019 |
2.3 2010 |
2.2 2011 |
2.8 2011 |
1.3 2013 |
1.1 2014 |
2.5 2022 |
2.1 2018 |
| Worst |
-1.6 2022 |
-2.6 2023 |
-3.2 2022 |
-2.5 2022 |
-1.8 2013 |
-1.5 2013 |
-0.5 2014 |
-2.8 2022 |
-3.3 2022 |
-0.9 2016 |
-2.6 2016 |
-1.8 2010 |
Monthly Seasonality over the period Jan 2010 - May 2023
Monthly/Yearly Returns
Vanguard Intermediate-Term Treasury (VGIT) ETF data source starts from January 2010: let's focus on monthly and yearly returns.
We are providing two different views:
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 2010 - May 2023
86 Positive Months (53%) - 75 Negative Months (47%)
MONTHLY RETURNS TABLE
Jan 2010 - May 2023
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2023 |
+2.38 | +0.17 | 2.4 | -2.6 | 3.1 | 0.7 | -1.1 | |||||||
| 2022 |
-10.53 | -15.96 | -1.6 | -0.5 | -3.2 | -2.5 | 0.7 | -0.6 | 1.9 | -2.8 | -3.3 | -0.7 | 2.5 | -0.7 |
| 2021 |
-2.64 | -9.04 | -0.4 | -1.4 | -1.2 | 0.7 | 0.3 | 0.2 | 1.2 | -0.3 | -1.0 | -0.7 | 0.4 | -0.4 |
| 2020 |
+7.71 | +6.26 | 2.2 | 2.1 | 2.9 | 0.0 | 0.4 | 0.1 | 0.5 | -0.4 | 0.1 | -0.6 | 0.2 | 0.0 |
| 2019 |
+6.19 | +3.82 | 0.4 | -0.2 | 1.8 | -0.1 | 2.1 | 0.9 | -0.1 | 2.5 | -0.7 | 0.3 | -0.4 | -0.3 |
| 2018 |
+1.35 | -0.54 | -1.5 | -0.5 | 0.7 | -0.9 | 0.8 | 0.1 | -0.3 | 0.7 | -0.8 | 0.0 | 1.0 | 2.1 |
| 2017 |
+1.71 | -0.39 | 0.4 | 0.4 | 0.1 | 0.8 | 0.6 | -0.5 | 0.4 | 0.9 | -0.9 | -0.2 | -0.4 | 0.0 |
| 2016 |
+0.84 | -1.21 | 2.1 | 0.8 | 0.2 | -0.2 | -0.2 | 2.1 | 0.1 | -0.7 | 0.4 | -0.9 | -2.6 | -0.2 |
| 2015 |
+1.62 | +0.88 | 2.5 | -1.5 | 0.8 | -0.2 | -0.1 | -0.8 | 0.9 | -0.1 | 1.2 | -0.6 | -0.4 | 0.0 |
| 2014 |
+4.57 | +3.78 | 1.7 | 0.3 | -0.7 | 0.6 | 1.0 | -0.1 | -0.5 | 1.1 | -0.6 | 1.1 | 0.7 | -0.1 |
| 2013 |
-2.69 | -4.13 | -0.5 | 0.7 | 0.2 | 0.8 | -1.8 | -1.5 | 0.1 | -0.8 | 1.3 | 0.6 | -0.2 | -1.4 |
| 2012 |
+2.19 | +0.45 | 0.6 | -0.7 | -1.0 | 1.7 | 1.2 | -0.1 | 0.8 | 0.1 | 0.0 | -0.4 | 0.6 | -0.5 |
| 2011 |
+9.62 | +6.46 | 0.1 | -0.6 | -0.2 | 1.6 | 1.9 | -0.2 | 2.2 | 2.8 | 0.5 | -0.5 | 0.6 | 1.1 |
| 2010 |
+7.52 | +5.93 | 2.1 | 0.5 | -0.7 | 0.9 | 1.6 | 2.3 | 0.8 | 2.0 | 0.4 | 0.4 | -1.1 | -1.8 |
