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 Category
Vanguard Total Bond Market ETF
Vanguard Total Stock Market ETF
Large-cap Value
0.00%
36.90%
Large-cap Growth
1.58%
43.88%
Mid-cap Value
0.00%
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
0.01%
0.60%
Emerging Markets
1.77%
0.50%
REITs
1.72%
0.00%
Corporate Bonds
12.51%
0.00%
Long-Term Treasuries
6.08%
0.00%
Intermediate-Term Treasuries
25.47%
0.00%
Short-Term Treasuries
50.86%
0.00%
R Squared
91.52%
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
Ticker
Name
Category
Duration
ER
Weight
Return Contribution
Risk Contribution
BND
Vanguard Total Bond Market ETF
Intermediate Core Bond
6.18
0.04%
100.00%
$4,921
100.00%
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
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%
Asset Allocation
Equity Market Capitalization
Equity Sectors
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.
Vanguard Total Bond Market ETF Returns
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%
Vanguard Total Stock Market ETF Returns
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
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