Fund Performance Analysis

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Fund Information (Dec 2006 - Sep 2019)

Fund information
TickerVHDYX
NameVanguard High Dividend Yield Index Inv
Asset ClassU.S. Equity
CategoryLarge Value
Fund BenchmarkFTSE High Dividend Yield TR USD
Selected BenchmarkVanguard Total Stock Mkt Idx Adm (VTSAX)
Yield (SEC)3.31%
Yield (TTM)3.08%
Assets34.79 B
Expense Ratio0.14%
Inception Date11/16/2006

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard High Dividend Yield Index Inv$10,000$25,752 7.65% 14.10%30.13%-32.51%-51.99% 0.530.760.95
Vanguard Total Stock Mkt Idx Adm$10,000$28,018 8.36% 15.11%33.52%-36.99%-50.84% 0.550.791.00
   
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

Portfolio Returns Based Style Analysis
Style CategoryVanguard High Dividend Yield Index InvVanguard Total Stock Mkt Idx Adm
Large-cap Value83.91%37.53%
Large-cap Growth6.56%43.94%
Mid-cap Value0.00%5.00%
Mid-cap Growth0.00%7.44%
Small-cap Value0.00%2.18%
Small-cap Growth0.00%3.17%
Global ex-US Developed Markets0.00%0.16%
Emerging Markets0.00%0.58%
Corporate Bonds0.00%0.00%
Long-Term Treasuries9.54%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared95.82%99.89%
Style analysis is based on monthly returns from Dec 2006 to Sep 2019 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 High Dividend Yield Index Inv

Holdings Based Exposures for Vanguard High Dividend Yield Index Inv
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VHDYXVanguard High Dividend Yield Index InvLarge Value0.14%100.00%$15,752100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Vanguard Total Stock Mkt Idx Adm

Holdings Based Exposures for Vanguard Total Stock Mkt Idx Adm
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%100.00%$18,018100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricVanguard High Dividend Yield Index InvVanguard Total Stock Mkt Idx Adm
Arithmetic Mean (monthly)0.70%0.77%
Arithmetic Mean (annualized)8.73%9.61%
Geometric Mean (monthly)0.62%0.67%
Geometric Mean (annualized)7.65%8.36%
Volatility (monthly)4.07%4.36%
Volatility (annualized)14.10%15.11%
Downside Deviation (monthly)2.83%3.02%
Max. Drawdown-51.99%-50.84%
US Market Correlation0.951.00
Beta(*)0.881.00
Alpha (annualized)0.26%-0.00%
R289.77%100.00%
Sharpe Ratio0.530.55
Sortino Ratio0.760.79
Treynor Ratio (%)8.518.33
Calmar Ratio1.080.90
Active Return-0.71%N/A
Tracking Error4.84%N/A
Information Ratio-0.15N/A
Skewness-0.88-0.76
Excess Kurtosis2.241.80
Historical Value-at-Risk (5%)-5.87%-7.89%
Analytical Value-at-Risk (5%)-5.99%-6.41%
Conditional Value-at-Risk (5%)-10.63%-10.16%
Upside Capture Ratio (%)87.29100.00
Downside Capture Ratio (%)87.89100.00
Safe Withdrawal Rate8.50%8.69%
Perpetual Withdrawal Rate5.28%5.89%
Positive Periods97 out of 154 (62.99%)105 out of 154 (68.18%)
Gain/Loss Ratio0.910.74
* Vanguard Total Stock Mkt Idx Adm is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Vanguard High Dividend Yield Index Inv Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20062.49%2.49%
20070.44%-1.46%1.33%4.01%3.01%-1.91%-3.55%2.13%3.18%0.05%-3.56%-1.74%1.54%
2008-3.35%-4.99%0.84%2.52%-0.26%-10.39%1.89%1.79%-4.78%-14.56%-5.70%-0.01%-32.51%
2009-12.82%-13.67%10.20%9.93%5.85%-0.48%8.65%5.01%2.92%-2.88%5.94%1.28%17.52%
2010-3.12%2.47%5.38%1.79%-7.77%-4.35%7.16%-3.34%7.44%3.24%-0.56%6.25%14.02%
20111.44%3.48%0.74%4.10%-0.55%-1.20%-2.80%-2.77%-4.40%8.19%1.27%3.06%10.35%
20121.79%3.13%2.79%0.00%-4.74%5.06%2.10%0.67%2.62%-1.00%-0.30%0.15%12.59%
20135.68%2.18%3.61%2.95%0.81%-0.08%4.25%-3.86%2.30%4.70%2.31%2.13%30.13%
2014-4.01%3.63%2.47%2.08%1.57%2.01%-1.71%3.80%-1.24%2.62%2.82%-1.08%13.38%
2015-2.90%4.96%-2.14%1.97%0.36%-2.60%0.97%-5.64%-1.55%8.38%0.19%-0.93%0.30%
2016-2.84%0.54%6.54%0.69%1.45%2.14%2.44%-0.38%-0.39%-1.33%4.18%2.88%16.75%
20170.10%3.57%-0.33%-0.07%0.39%1.07%1.58%-0.10%3.00%1.68%3.12%1.33%16.37%
20184.16%-4.67%-2.17%0.09%1.59%-0.29%4.13%1.14%0.34%-4.41%3.64%-8.80%-5.96%
20196.12%3.78%0.51%2.92%-6.39%6.62%0.72%-2.01%3.79%16.49%

Vanguard Total Stock Mkt Idx Adm Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
20061.13%1.13%
20071.88%-1.61%1.13%4.04%3.69%-1.68%-3.38%1.45%3.61%1.82%-4.46%-0.61%5.57%
2008-6.08%-3.04%-0.59%5.02%2.12%-8.20%-0.77%1.61%-9.28%-17.63%-7.86%1.83%-36.99%
2009-8.26%-10.45%8.73%10.60%5.33%0.37%7.87%3.63%4.25%-2.61%5.66%2.85%28.83%
2010-3.46%3.36%6.26%2.21%-8.00%-5.67%7.03%-4.75%9.50%3.94%0.58%6.83%17.26%
20112.19%3.63%0.45%2.99%-1.16%-1.79%-2.22%-6.02%-7.75%11.54%-0.29%0.82%1.08%
20125.08%4.26%3.07%-0.63%-6.23%3.94%1.03%2.51%2.58%-1.76%0.74%1.22%16.38%
20135.50%1.28%3.91%1.70%2.35%-1.24%5.46%-2.80%3.67%4.25%2.88%2.66%33.52%
2014-3.11%4.75%0.52%0.06%2.17%2.57%-1.98%4.18%-2.11%2.74%2.43%0.00%12.56%
2015-2.77%5.76%-1.01%0.42%1.39%-1.70%1.65%-6.00%-2.94%7.86%0.56%-2.04%0.39%
2016-5.65%-0.04%7.03%0.65%1.77%0.25%3.95%0.28%0.15%-2.21%4.45%1.93%12.66%
20171.93%3.71%0.08%1.05%1.02%0.93%1.87%0.16%2.46%2.17%3.04%1.01%21.17%
20185.32%-3.71%-1.98%0.38%2.82%0.67%3.35%3.45%0.16%-7.40%2.08%-9.30%-5.17%
20198.60%3.51%1.45%3.98%-6.43%6.99%1.44%-2.01%1.70%20.00%

Vanguard High Dividend Yield Index Inv Factor Regression

Vanguard High Dividend Yield Index Inv Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.88-0.240.270.85%93.68%
Carhart 4-factor model0.88-0.240.26-0.020.88%93.70%
Fama-French 5-factor model0.92-0.210.240.140.21-0.02%94.26%
Factor regression from Dec 2006 to Aug 2019. Statistically significant values in bold.

Vanguard Total Stock Mkt Idx Adm Factor Regression

Vanguard Total Stock Mkt Idx Adm Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.00-0.00-0.00-0.12%99.87%
Carhart 4-factor model1.00-0.00-0.00-0.00-0.11%99.87%
Fama-French 5-factor model1.01-0.00-0.000.010.01-0.17%99.87%
Factor regression from Dec 2006 to Aug 2019. Statistically significant values in bold.
Rolling returns summary
Roll PeriodVanguard High Dividend Yield Index InvVanguard Total Stock Mkt Idx Adm
AverageHighLowAverageHighLow
1 year7.87%30.13%-32.51%8.94%33.52%-36.99%
3 years9.50%18.43%-6.96%9.97%20.49%-5.02%
5 years10.64%16.72%0.26%10.92%18.86%0.31%
7 years11.01%13.97%5.81%11.41%15.13%6.74%
10 years9.22%12.15%7.02%9.73%13.25%7.23%
Result statistics are based on annualized rolling returns over full calendar year periods