Fund Performance Analysis

Select mutual fund or ETF for analysis. You can also choose the benchmark to compare the fund against.

Fund Information (May 2007 - Oct 2018)

Fund information
NameVanguard Total Bond Market ETF (BND)
Asset ClassTaxable Bond
CategoryIntermediate Core Bond
Fund BenchmarkBBgBarc US Agg Float Adj TR USD
Selected BenchmarkVanguard Total Stock Market ETF (VTI)
Effective Duration6.79
Yield (SEC)1.36%
Yield (TTM)2.02%
Assets312.15 B
Equity Holdings0
Bond Holdings18479
Total Holdings18620
Turnover79%
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% 0.801.400.02
Vanguard Total Stock Market ETF$10,000$23,640 7.77% 15.13%33.45%-36.98%-50.84% 0.530.751.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Vanguard Total Bond Market ETF-0.74%-2.15%0.94%1.75%3.73%3.54%2.87%2.91%
Vanguard Total Stock Market ETF-4.05%6.61%11.26%10.76%13.39%7.77%9.82%10.30%
Trailing annualized return and volatility are for full months ending in October 2018 excluding portfolio cashflows.
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 07/28/2021. (c) 2021 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Vanguard Total Bond Market ETF vs. Vanguard Total Stock Market ETF

Up vs. Down Market Performance - Vanguard Total Bond Market ETF vs. Vanguard Total Stock Market ETF
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market884929%0.92%-3.17%-2.81%
Down Market4514698%4.44%-0.22%4.34%
Total538513838%3.91%-3.13%-0.43%

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 Growth1.03%43.88%
Mid-cap Value1.87%5.39%
Mid-cap Growth0.00%7.03%
Small-cap Value0.00%2.97%
Small-cap Growth0.00%2.73%
Global ex-US Developed Markets0.63%0.60%
Emerging Markets1.62%0.50%
Corporate Bonds13.02%0.00%
Long-Term Treasuries6.63%0.00%
Intermediate-Term Treasuries25.75%0.00%
Short-Term Treasuries49.46%0.00%
R Squared91.08%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.

Holdings Based Style Analysis for Vanguard Total Bond Market ETF

Holdings Based Style Analysis for Vanguard Total Bond Market ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond100.00%1.36%0.04%6.79$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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%1.21%0.03%25.59$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 Ratio0.800.53
Sortino Ratio1.400.75
Treynor Ratio (%)617.398.00
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%)-1.25%-7.62%
Analytical Value-at-Risk (5%)-1.41%-6.46%
Conditional Value-at-Risk (5%)-1.99%-9.90%
Upside Capture Ratio (%)7.96100.00
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 year3.72%13.42%-3.62%10.37%56.27%-43.33%
3 years3.83%8.67%0.94%11.53%26.70%-9.16%
5 years3.63%6.84%1.35%12.54%23.99%-0.48%
7 years3.69%5.17%1.69%12.24%17.40%6.00%
10 years3.80%4.35%3.37%9.27%13.39%7.09%