Name | Vanguard Total Bond Market ETF (BND) |
---|---|
Asset Class | Taxable Bond |
Category | Intermediate Core Bond |
Fund Benchmark | Bloomberg US Agg Float Adj TR USD (100.00%) |
Selected Benchmark | Vanguard Total Stock Market ETF (VTI) |
Effective Duration | 6.56 |
Yield (SEC) | 4.02% |
Yield (TTM) | 2.60% |
Assets | 297.93 B |
Equity Holdings | 0 |
Bond Holdings | 17680 |
Total Holdings | 17684 |
Turnover | 40% |
Expense Ratio | 0.03% |
Inception Date | 04/03/2007 |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Vanguard Total Bond Market ETF | $10,000 | $14,921 | 3.54% | 3.59% | 7.92% | -2.57% | -4.01% | 0.80 | 1.40 | 0.02 |
Vanguard Total Stock Market ETF | $10,000 | $23,640 | 7.77% | 15.13% | 33.45% | -36.98% | -50.84% | 0.53 | 0.75 | 1.00 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Vanguard Total Bond Market ETF | -0.74% | -2.57% | -2.15% | 0.94% | 1.75% | 3.73% | 3.54% | 2.87% | 2.91% |
Vanguard Total Stock Market ETF | -4.05% | 2.29% | 6.61% | 11.26% | 10.76% | 13.39% | 7.77% | 9.82% | 10.30% |
Trailing return and volatility are as of last full calendar month ending October 2018 |
Market Type | Occurrences | Average Active Return | |||||
---|---|---|---|---|---|---|---|
Above Benchmark | Below Benchmark | Total | % Above Benchmark | Above Benchmark | Below Benchmark | Total | |
Up Market | 8 | 84 | 92 | 9% | 0.92% | -3.17% | -2.81% |
Down Market | 45 | 1 | 46 | 98% | 4.44% | -0.22% | 4.34% |
Total | 53 | 85 | 138 | 38% | 3.91% | -3.13% | -0.43% |
Style Category | Vanguard Total Bond Market ETF | Vanguard Total Stock Market ETF |
---|---|---|
Large-cap Value | 0.00% | 36.90% |
Large-cap Growth | 1.03% | 43.88% |
Mid-cap Value | 1.87% | 5.39% |
Mid-cap Growth | 0.00% | 7.03% |
Small-cap Value | 0.00% | 2.97% |
Small-cap Growth | 0.00% | 2.73% |
Global ex-US Developed Markets | 0.63% | 0.60% |
Emerging Markets | 1.62% | 0.50% |
Corporate Bonds | 13.02% | 0.00% |
Long-Term Treasuries | 6.63% | 0.00% |
Intermediate-Term Treasuries | 25.75% | 0.00% |
Short-Term Treasuries | 49.46% | 0.00% |
R Squared | 91.08% | 99.89% |
Style analysis is based on monthly returns from May 2007 to October 2018 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings. |
Ticker | Name | Category | Weight | Yield | Expense Ratio | Duration | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | |||||
BND | Vanguard Total Bond Market ETF | Intermediate Core Bond | 100.00% | 4.02% | 2.60% | 0.03% | 0.03% | 6.56 | $4,921 | 100.00% |
Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | |||||
VTI | Vanguard Total Stock Market ETF | Large Blend | 100.00% | 1.55% | 1.58% | 0.03% | 0.03% | 20.09 | $13,640 | 100.00% |
Metric | Vanguard Total Bond Market ETF | Vanguard Total Stock Market ETF |
---|---|---|
Arithmetic Mean (monthly) | 0.30% | 0.72% |
Arithmetic Mean (annualized) | 3.61% | 9.01% |
Geometric Mean (monthly) | 0.29% | 0.63% |
Geometric Mean (annualized) | 3.54% | 7.77% |
Standard Deviation (monthly) | 1.04% | 4.37% |
Standard Deviation (annualized) | 3.59% | 15.13% |
Downside Deviation (monthly) | 0.57% | 3.03% |
Maximum Drawdown | -4.01% | -50.84% |
Stock Market Correlation | 0.02 | 1.00 |
Beta(*) | 0.00 | 1.00 |
Alpha (annualized) | 3.51% | 0.00% |
R2 | 0.04% | 100.00% |
Sharpe Ratio | 0.80 | 0.53 |
Sortino Ratio | 1.40 | 0.75 |
Treynor Ratio (%) | 617.39 | 8.00 |
Calmar Ratio | 0.26 | 1.46 |
Active Return | -4.23% | N/A |
Tracking Error | 15.49% | N/A |
Information Ratio | -0.27 | N/A |
Skewness | 0.52 | -0.75 |
Excess Kurtosis | 4.09 | 1.85 |
Historical Value-at-Risk (5%) | 1.25% | 7.62% |
Analytical Value-at-Risk (5%) | 1.41% | 6.46% |
Conditional Value-at-Risk (5%) | 1.99% | 9.90% |
Upside Capture Ratio (%) | 7.96 | 100.00 |
Downside Capture Ratio (%) | -8.79 | 100.00 |
Safe Withdrawal Rate | 10.86% | 9.63% |
Perpetual Withdrawal Rate | 1.79% | 5.81% |
Positive Periods | 88 out of 138 (63.77%) | 92 out of 138 (66.67%) |
Gain/Loss Ratio | 1.25 | 0.77 |
* Vanguard Total Stock Market ETF is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | -0.79% | -0.31% | 0.92% | 1.48% | 0.60% | 0.92% | 1.96% | 0.84% | 5.74% | ||||
2008 | 1.25% | 0.09% | 0.40% | -0.34% | -0.99% | 0.04% | 0.02% | 0.84% | -0.52% | -2.95% | 3.92% | 5.13% | 6.86% |
2009 | -2.08% | -0.59% | 1.09% | 0.46% | 0.67% | 0.62% | 1.31% | 1.01% | 1.00% | 0.27% | 1.30% | -1.45% | 3.64% |
2010 | 1.29% | 0.33% | -0.22% | 1.07% | 1.13% | 1.45% | 0.86% | 1.56% | -0.00% | 0.32% | -0.68% | -1.02% | 6.20% |
2011 | 0.09% | 0.29% | -0.15% | 1.46% | 1.18% | -0.38% | 1.63% | 1.66% | 0.66% | 0.11% | -0.06% | 1.18% | 7.92% |
2012 | 0.63% | 0.04% | -0.51% | 1.10% | 0.93% | 0.07% | 1.23% | 0.16% | 0.18% | -0.10% | 0.27% | -0.88% | 3.16% |
2013 | -0.69% | 0.54% | 0.08% | 1.01% | -1.93% | -1.65% | 0.38% | -0.86% | 1.11% | 0.86% | -0.29% | -0.64% | -2.10% |
2014 | 1.55% | 0.47% | -0.17% | 0.80% | 1.05% | 0.08% | -0.28% | 1.14% | -0.57% | 0.72% | 0.83% | 0.06% | 5.82% |
2015 | 2.40% | -1.31% | 0.55% | -0.32% | -0.50% | -1.11% | 0.88% | -0.25% | 0.81% | 0.03% | -0.39% | -0.18% | 0.56% |
2016 | 1.20% | 0.85% | 0.88% | 0.40% | -0.01% | 2.02% | 0.60% | -0.31% | 0.11% | -0.94% | -2.57% | 0.33% | 2.52% |
2017 | 0.19% | 0.62% | -0.04% | 0.80% | 0.71% | 0.05% | 0.40% | 0.86% | -0.47% | -0.03% | -0.11% | 0.54% | 3.57% |
2018 | -1.24% | -1.04% | 0.69% | -0.85% | 0.68% | -0.04% | -0.04% | 0.67% | -0.55% | -0.86% | -2.57% | ||
Annual return for 2007 is from 05/01/2007 to 12/31/2007 and annual return for 2018 is from 01/01/2018 to 10/31/2018 |
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | 3.72% | -1.76% | -3.53% | 1.47% | 3.85% | 1.79% | -4.52% | -0.70% | -0.03% | ||||
2008 | -6.17% | -2.50% | -0.90% | 4.89% | 2.02% | -8.12% | -0.62% | 1.46% | -9.24% | -17.48% | -8.01% | 1.78% | -36.98% |
2009 | -8.05% | -10.53% | 8.26% | 10.99% | 5.46% | 0.36% | 7.74% | 3.71% | 4.14% | -2.63% | 5.69% | 2.86% | 28.89% |
2010 | -3.57% | 3.44% | 6.40% | 2.18% | -7.88% | -5.83% | 7.02% | -4.71% | 9.45% | 4.03% | 0.51% | 6.96% | 17.42% |
2011 | 2.05% | 3.70% | 0.42% | 2.90% | -1.06% | -1.79% | -2.27% | -6.09% | -7.57% | 11.37% | -0.37% | 0.98% | 0.97% |
2012 | 5.07% | 4.22% | 3.06% | -0.64% | -6.23% | 4.05% | 0.88% | 2.70% | 2.49% | -1.81% | 0.77% | 1.29% | 16.45% |
2013 | 5.42% | 1.28% | 3.95% | 1.61% | 2.44% | -1.43% | 5.75% | -3.03% | 3.90% | 4.27% | 2.70% | 2.73% | 33.45% |
2014 | -3.17% | 4.87% | 0.51% | 0.06% | 2.10% | 2.62% | -1.99% | 4.15% | -2.10% | 2.75% | 2.48% | -0.04% | 12.54% |
2015 | -2.74% | 5.74% | -1.16% | 0.62% | 1.30% | -1.67% | 1.70% | -6.09% | -2.92% | 7.91% | 0.60% | -2.13% | 0.36% |
2016 | -5.72% | -0.01% | 7.11% | 0.66% | 1.73% | 0.27% | 3.98% | 0.21% | 0.21% | -2.19% | 4.49% | 1.98% | 12.83% |
2017 | 1.86% | 3.69% | 0.06% | 1.06% | 1.01% | 0.95% | 1.88% | 0.15% | 2.44% | 2.17% | 3.03% | 1.16% | 21.21% |
2018 | 5.23% | -3.76% | -1.95% | 0.45% | 2.72% | 0.70% | 3.32% | 3.43% | 0.20% | -7.41% | 2.29% | ||
Annual return for 2007 is from 05/01/2007 to 12/31/2007 and annual return for 2018 is from 01/01/2018 to 10/31/2018 |
Roll Period | Vanguard Total Bond Market ETF | Vanguard Total Stock Market ETF | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 3.72% | 13.42% | -3.62% | 10.37% | 56.27% | -43.33% |
3 years | 3.83% | 8.67% | 0.94% | 11.53% | 26.70% | -9.16% |
5 years | 3.63% | 6.84% | 1.35% | 12.54% | 23.99% | -0.48% |
7 years | 3.69% | 5.17% | 1.69% | 12.24% | 17.40% | 6.00% |
10 years | 3.80% | 4.35% | 3.37% | 9.27% | 13.39% | 7.09% |