Vanguard Total Bond Market
ALTAR
Score™
2.0% info Median Credit
S&P/Moody's
AA+/Aaa
 
Yield to
Maturity
2.2% Current
Yield
3.0%
Macaulay
Duration
6.3 yrs Modified
Duration
6.2%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
Vanguard Total Bond Market ETF is an exchange-traded fund incorporated in the USA. The Fund seeks to track the performance of the Barclays Capital Aggregate Bond Index, which measures a wide spectrum of public, investment-grade, taxable, fixed income securities in the U.S.

FUND BASICS
Category Aggregate
Fund Sponsor Vanguard Group
Website www.vanguard.com
Inception date Apr 10, 2007
Assets (mns) $35,149
Currency USD
Expense ratio 7 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian JPMorgan Chase Bank
Weighting Market Cap
Index replication Full

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 61
No of distinct issuers 51
Inflation protected 0%
Variable/Fixed coupon 38% /62%
Non-standard maturity (callable, etc.) 58%

TOP TEN HOLDINGS
TREASURY NOTE 3.6% 8/15/19 8.5 %
US TREASURY N/B 1.8% 2/28/22 7.3 %
U.S. TREASURY 1.0% 9/15/18 3.1 %
TREASURY BOND 2.8% 8/15/42 2.4 %
U.S. TREASURY 1.6% 5/15/26 2.3 %
U.S. TREASURY 2.5% 5/15/46 2.2 %
TREASURY BOND 3.5% 2/15/39 2.0 %
GOLDMAN SACHS GROUP I 6.8% 1/01/37 1.9 %
ANHEUSER BUSCH INBEV 3.7% 2/01/26 1.9 %
ENERGY TRANSFER PARTN 6.5% 2/01/42 1.7 %
   
TOTAL 33.2 %

TOP ISSUERS
U.S. TREASURY29.4%
GOLDMAN SACHS GROUP INC1.9%
ANHEUSER BUSCH INBEV FINANCE, INC.1.9%
ENERGY TRANSFER PARTNERS LP1.7%
FREDDIE MAC1.7%

TOP COUNTRY EXPOSURE
UNITED STATES 55.9 %
CANADA 2.6 %
GERMANY 1.5 %
UNITED KINGDOM 1.3 %
SUPRA-NATIONAL 1.2 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru July 31)
Year-to-date 1 year 5 years 10 years Since Incep.
2.8% -0.7% 2.1% 4.5% 4.4%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 1.07 96%
S&P500 -0.03 1%
MSCI EAFE 0.01 0%
MSCI Emg. Mkts. 0.04 5%

Technical Indicators
Recent close $82.35
30d moving avg. $81.99
Annualized volatility 3.2%
Short interest (ETF) 0.1%
Relative strength (RSI) 62
Liquidity measures
Avg. volume (thou.) 1,644
Avg. daily value traded (mns) $135
Turnover 0.4%
Bid/Ask (% of price) 0.01

Distributions


Yield Comparison

*Fund Category: AGGREGATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
BND 6.3 yrs Category
Avg.*
5.0 yrs
 

Modified Duration info
 
BND 6.2% Category
Avg.*
4.9%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 5.21% -14.2% $70.69
+200 bp 4.21% -10.4% $73.76
+150 bp 3.71% -8.2% $75.60
+100 bp 3.21% -5.7% $77.64
+75 bp 2.96% -4.4% $78.74
+50 bp 2.71% -3.0% $79.89
+25 bp 2.46% -1.5% $81.10
0 bp 2.21% 0% $82.35
-25 bp 1.96% 1.6% $83.65
-50 bp 1.71% 3.2% $85.01
-75 bp 1.46% 4.9% $86.42
-100 bp 1.21% 6.7% $87.87
-150 bp 0.71% 10.4% $90.94
-200 bp 0.21% 14.4% $94.22
-300 bp -0.79% 23.1% $101.38

*Fund Category: AGGREGATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 221 bp
Less: Annual "default factor" info 13 bp
Less: Expense ratio 7 bp
Equals: ALTAR Score 2.01 %
 

Average ALTAR Score™ by Category
Aggregate 1.5%
Corporate 1.9%
Emerging Market 3.7%
Government 1.3%
Inflation Protected 1.5%
Mortgage 2.7%
Municipals 2.4%
 
*Note: The Vanguard Total Bond Market is classified as a Aggregate fund.

 

Our estimate of the impact of potential defaults on investor returns, based on historical default and recovery rates for bonds of similar credit rating and maturities.
See RATING tab for calculations of ALTAR Score™
Estimate of fund sensitivity to interest rate changes based on modified duration and convexity adjustment applied to underlying bonds. Note: Less meaningful for inflation-indexed bonds.
Adds expected inflation to real YTM for inflation-linked bonds so that all instruments are compared on a nominal basis
Weighted-average term to maturity of the cash flows from a bond. All else being equal, bonds of longer duration are more sensitive to changes in interest rates than bonds of shorter duration.
Approximation of the change in bond prices given a 100 basis point shift in interest rates. A better estimate, particularly for larger moves in interest rates, is provided by the Rate Sensitivity Analysis below.