Fund Performance Analysis

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Fund Information (May 2007 - Oct 2018)

Fund information
TickerBND
NameVanguard Total Bond Market ETF
Asset ClassTaxable Bond
CategoryIntermediate Core Bond
Fund BenchmarkBBgBarc US Agg Float Adj TR USD
Selected BenchmarkVanguard Total Stock Market ETF (VTI)
Effective Duration6.18
Yield (SEC)2.26%
Yield (TTM)2.73%
Assets247.26 B
Expense Ratio0.04%
Inception Date04/03/2007

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Total Bond Market ETF$10,000$14,921 3.54% 3.59%7.92%-2.57%-4.01% 0.811.420.02
Vanguard Total Stock Market ETF$10,000$23,640 7.77% 15.13%33.45%-36.98%-50.84% 0.530.761.00
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 12/04/2019. (c) 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Bond Market ETFVanguard Total Stock Market ETF
Large-cap Value0.00%36.90%
Large-cap Growth1.58%43.88%
Mid-cap Value0.00%5.39%
Mid-cap Growth0.00%7.03%
Small-cap Value0.00%2.97%
Small-cap Growth0.00%2.73%
Global ex-US Developed Markets0.01%0.60%
Emerging Markets1.77%0.50%
REITs1.72%0.00%
Corporate Bonds12.51%0.00%
Long-Term Treasuries6.08%0.00%
Intermediate-Term Treasuries25.47%0.00%
Short-Term Treasuries50.86%0.00%
R Squared91.52%99.89%
Style analysis is based on monthly returns from May 2007 to Oct 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.

Holdings Based Style Analysis for Vanguard Total Bond Market ETF

Holdings Based Style Analysis for Vanguard Total Bond Market ETF
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.180.04%100.00%$4,921100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Total Stock Market ETF

Holdings Based Style Analysis for Vanguard Total Stock Market ETF
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.03%100.00%$13,640100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricVanguard Total Bond Market ETFVanguard 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%
Volatility (monthly)1.04%4.37%
Volatility (annualized)3.59%15.13%
Downside Deviation (monthly)0.57%3.03%
Max. Drawdown-4.01%-50.84%
US Market Correlation0.021.00
Beta(*)0.001.00
Alpha (annualized)3.51%0.00%
R20.04%100.00%
Sharpe Ratio0.810.53
Sortino Ratio1.420.76
Treynor Ratio (%)624.898.04
Calmar Ratio0.261.46
Active Return-4.23%N/A
Tracking Error15.49%N/A
Information Ratio-0.27N/A
Skewness0.52-0.75
Excess Kurtosis4.091.85
Historical Value-at-Risk (5%)-1.31%-7.89%
Analytical Value-at-Risk (5%)-1.41%-6.46%
Conditional Value-at-Risk (5%)-2.10%-10.24%
Upside Capture Ratio (%)7.96100.00
Downside Capture Ratio (%)-8.79100.00
Safe Withdrawal Rate10.86%9.63%
Perpetual Withdrawal Rate1.79%5.81%
Positive Periods88 out of 138 (63.77%)92 out of 138 (66.67%)
Gain/Loss Ratio1.250.77
* Vanguard Total Stock Market ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Vanguard Total Bond Market ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2007-0.79%-0.31%0.92%1.48%0.60%0.92%1.96%0.84%5.74%
20081.25%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%
20101.29%0.33%-0.22%1.07%1.13%1.45%0.86%1.56%-0.00%0.32%-0.68%-1.02%6.20%
20110.09%0.29%-0.15%1.46%1.18%-0.38%1.63%1.66%0.66%0.11%-0.06%1.18%7.92%
20120.63%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%
20141.55%0.47%-0.17%0.80%1.05%0.08%-0.28%1.14%-0.57%0.72%0.83%0.06%5.82%
20152.40%-1.31%0.55%-0.32%-0.50%-1.11%0.88%-0.25%0.81%0.03%-0.39%-0.18%0.56%
20161.20%0.85%0.88%0.40%-0.01%2.02%0.60%-0.31%0.11%-0.94%-2.57%0.33%2.52%
20170.19%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%

Vanguard Total Stock Market ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20073.72%-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%
20112.05%3.70%0.42%2.90%-1.06%-1.79%-2.27%-6.09%-7.57%11.37%-0.37%0.98%0.97%
20125.07%4.22%3.06%-0.64%-6.23%4.05%0.88%2.70%2.49%-1.81%0.77%1.29%16.45%
20135.42%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%
20171.86%3.69%0.06%1.06%1.01%0.95%1.88%0.15%2.44%2.17%3.03%1.16%21.21%
20185.23%-3.76%-1.95%0.45%2.72%0.70%3.32%3.43%0.20%-7.41%2.29%
Rolling returns summary
Roll PeriodVanguard Total Bond Market ETFVanguard Total Stock Market ETF
AverageHighLowAverageHighLow
1 year3.81%7.92%-2.10%10.72%33.45%-36.98%
3 years3.61%5.90%1.37%11.98%20.48%-1.56%
5 years3.40%5.54%1.96%13.21%18.88%2.32%
7 years3.60%4.45%3.02%12.33%15.14%7.73%
10 years3.77%3.77%3.77%8.74%8.74%8.74%
Result statistics are based on annualized rolling returns over full calendar year periods