Vanguard’s suite of U.S. stock index funds are benchmarked to CRSP indexes. In addition, Vanguard offers sets of U.S. exchange-traded funds benchmarked to Russell and S&P indexes. In 2015 the CRSP index funds had lower turnover rates in most style categories when compared to the Russell and S&P funds. This continues a trend established […]
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Vanguard bond index fund tracking error
The following tables provide tracking error data for Vanguard bond index funds. Tracking error is the ultimate measure of judging an index fund manager’s performance. Since bond indexes can include huge numbers of illiquid bonds, replicating an index is often…
Under the hood – Vanguard US stock index funds
Vanguard issues annual reports for the firm’s international and global index funds on October 31 of each year. The reports provide information that can highlight some of the underlying conditions affecting a fund’s future capital gains distribution outlook; an indication of a fund’s foreign tax credit; the level of security lending in each fund, and […]
Tagged with: index funds, Security lending, Under the hood
Posted in Indexing, Market statistics, Vanguard
Posted in Indexing, Market statistics, Vanguard
Vanguard US index funds turnover rates in 2015
Vanguard’s suite of U.S. stock index funds are benchmarked to CRSP indexes. In addition, Vanguard offers sets of U.S. exchange-traded funds benchmarked to Russell and S&P indexes. As in 2014, the CRSP index funds once again generally provided lower turnover…
Mutual fund internal loss carryovers
Mutual funds are legally structured as pass-through conduits of investment income. The income can come from dividends and interest received from securities or by profits realized by selling securities. By law, the fund must distribute income and gains to shareholders…
Vanguard stock fund brokerage commission expense (1994 – 2014)
Mutual funds that buy and sell stock incur costs on these transactions. These transactional costs are not included in a fund’s expense ratio. Transaction costs include brokerage commission expense, buy and sell spread costs, and market impact costs, Among these…
Vanguard index fund security lending in 2014
In finance, securities lending involves a transfer of securities (such as stock shares or bonds) to a borrower, who gives the lender collateral (which can include shares, bonds or cash). The borrower pays the lender a fee each month for…
Vanguard CRSP index funds produce low turnover rates in 2014
2014 was the first full year that Vanguard’s suite of U.S.stock index funds were benchmarked to CRSP indexes. In addition, Vanguard offers sets of U.S. exchange-traded funds benchmarked to Russell and S&P indexes. Interestingly, in 2014 the CRSP index funds…
Vanguard Index Fund Security Lending in 2013
In finance, securities lending involves a transfer of securities (such as stock shares or bonds) to a borrower, who gives the lender collateral (which can include shares, bonds or cash). The borrower pays the lender a fee each month for…
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