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-Term Bond
Fund BenchmarkBBgBarc US Agg Float Adj TR USD
Selected BenchmarkVanguard Total Stock Market ETF (VTI)
Effective Duration6.24
Yield (SEC)3.35%
Yield (TTM)2.75%
Assets199.35 B
Expense Ratio0.05%
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:
  • Fund fundamentals data as of 11/05/2018. © 2018 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.
  • Past performance is not a guarantee of future returns and data and other errors may exist
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included

Portfolio Returns Based Style Analysis

Portfolio 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 Oct 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Vanguard Total Bond Market ETF

Holdings Based Exposures for Vanguard Total Bond Market ETF
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate-Term Bond6.240.05%100.00%$4,921100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Vanguard Total Stock Market ETF

Holdings Based Exposures for Vanguard Total Stock Market ETF
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend0.04%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
Information Ratio-0.33N/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
Sustainable Withdrawal Rate10.86%9.63%
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%