Fund Performance

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Fund information
Ticker	BND
Name	Vanguard Total Bond Market ETF
Asset Class	Taxable Bond
Category	Intermediate Core Bond
Fund Benchmark	BBgBarc US Agg Float Adj TR USD
Selected Benchmark	Vanguard Total Stock Market ETF (VTI)
Effective Duration	6.20
Yield (SEC)	2.29%
Yield (TTM)	2.74%
Assets	241.31 B
Expense Ratio	0.04%
Inception Date	04/03/2007

Fund performance summary
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Vanguard Total Bond Market ETF	$10,000	$14,921	3.54%	3.59%	7.92%	-2.57%	-4.01%	0.81	1.42	0.02
Vanguard Total Stock Market ETF	$10,000	$23,640	7.77%	15.13%	33.45%	-36.98%	-50.84%	0.53	0.76	1.00

Notes on results:

Fund fundamentals data as of 10/03/2019. © 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.
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
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 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 Exposures for Vanguard Total Bond Market ETF
Ticker	Name	Category	Duration	ER	Weight	Return Contribution	Risk Contribution
BND	Vanguard Total Bond Market ETF	Intermediate Core Bond	6.20	0.04%	100.00%	$4,921	100.00%

Holdings Based Exposures for Vanguard Total Stock Market ETF
Ticker	Name	Category	ER	Weight	Return Contribution	Risk Contribution
VTI	Vanguard Total Stock Market ETF	Large Blend	0.03%	100.00%	$13,640	100.00%

Portfolio return and risk metrics
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%
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 Correlation	0.02	1.00
Beta^(*)	0.00	1.00
Alpha (annualized)	3.51%	0.00%
R²	0.04%	100.00%
Sharpe Ratio	0.81	0.53
Sortino Ratio	1.42	0.76
Treynor Ratio (%)	624.89	8.04
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%)	-1.31%	-7.89%
Analytical Value-at-Risk (5%)	-1.41%	-6.46%
Conditional Value-at-Risk (5%)	-2.10%	-10.24%
Upside Capture Ratio (%)	7.96	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 based on monthly values.

Annual and monthly fund returns
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 and monthly fund returns
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%

Rolling returns summary
Roll Period	Vanguard Total Bond Market ETF			Vanguard Total Stock Market ETF
Roll Period	Average	High	Low	Average	High	Low
1 year	3.81%	7.92%	-2.10%	10.72%	33.45%	-36.98%
3 years	3.61%	5.90%	1.37%	11.98%	20.48%	-1.56%
5 years	3.40%	5.54%	1.96%	13.21%	18.88%	2.32%
7 years	3.60%	4.45%	3.02%	12.33%	15.14%	7.73%
10 years	3.77%	3.77%	3.77%	8.74%	8.74%	8.74%
Result statistics are based on annualized rolling returns over full calendar year periods

Fund Performance Analysis