Vanguard index fund investor returns
Beginning in 2006 Morningstar has calculated dollar-weighted investor returns for the mutual funds in their database. Vanguard index fund investor returns provides a convenient means of accessing this returns data for Vanguard index funds.
Morningstar limits the data to only one share class, primarily investor shares, per fund. Morningstar reports admiral share class data only for funds--such as Vanguard's tax-managed funds and most of the sector index funds--that do not offer investor shares.
Morningstar defines investor return as:[note 1]
Morningstar Investor Return (also known as dollar-weighted return) measures how the average investor fared in a fund over a period of time.
Investor return incorporates the impact of cash inflows and outflows from purchases and sales and the growth in fund assets. In contrast to total returns, investor returns account for all cash flows into and out of the fund to measure how the average investor performed over time.
Investor return is calculated in a similar manner as internal rate of return. Investor return measures the compound growth rate in the value of all dollars invested in the fund over the evaluation period. Investor return is the growth rate that will link the beginning total net assets plus all intermediate cash flows to the ending total net assets.
When using trailing dollar-weighted investor returns for fund analysis, investors must realize that the calculations are subject to end-point bias,[note 2] meaning that the results tend to be skewed by the most resent market returns. Thus investor return will be higher if recent market returns are high, and investor return will be lower if recent returns are poor.
Morningstar supplies investor returns over 1,3,5,10, and 15 year holding periods and advises that investor returns data are more significant when viewed over the longer-term five-year, ten-year, and fifteen-year holding periods. Morningstar also finds that for funds in similar categories, investor returns for funds with higher volatility of return are lower than the returns of funds with lower volatility of return..
Evidence from investor fund flows
Poor timing of investor purchases and sales of fund shares is one factor that can lead to low investor returns. Investor fund flows into stock funds (see left table), as measured by the Investment Company Institute (ICI), show that fund investors tend to have rising purchases of fund shares in rising markets, colloquially known as "buying high" and tend to liquidate shares when markets produce negative returns, colloquially known as "selling low".[note 3]
Similarly, investor fund flows into bond funds (see right table) tend to track bond fund total returns. Thus investors tend to purchase bond fund shares when bond fund total returns are high, often a result of falling interest rates that increase both bond prices and bond fund net asset values. Investors tend to sell bond fund shares when total returns are low, often a result of rising interest rates that lower both bond prices and bond fund net asset values.
List of Morningstar investor returns for Vanguard index funds
The following lists provide links to Morningstar investor returns for Vanguard index funds. The list also includes Vanguard's index-based tax-managed funds.
U.S. equity index funds
The list tables include Vanguard U.S. equity index funds benchmarked to various index provider indexes.
CRSP benchmark index funds
Vanguard offers index funds, benchmarked to CRSP benchmark indexes, that cover the total U.S. market; large cap, mid cap and small cap stocks; and growth and value stocks. Note that Morningstar does not provide investor returns for the Vanguard mega cap funds.
|Vanguard Total Stock Market Index||link|
|Vanguard Large Cap Index||link|
|Vanguard Growth Index||link|
|Vanguard Value Index||link|
|Vanguard Mid Cap Index||link|
|Vanguard Mid Cap Growth Index||link|
|Vanguard Mid Cap Value Index||link|
|Vanguard Small Cap Index||link|
|Vanguard Small Cap Growth Index||link|
|Vanguard Small Cap Value Index||link|
S&P benchmark index funds
Morningstar provides investor returns for three of Vanguard's index funds that track S&P indexes. Vanguard offers an additional suite of S&P index exchange-traded funds, but Morningstar only provides investor return data for mutual funds[note 4]
|Vanguard 500 Index||link|
|Vanguard Extended Market Index||link|
|Vanguard Tax-Managed Small Cap||link|
Specialty U.S. index funds
|Vanguard Dividend Appreciation Index||link|
|Vanguard High-Yield Dividend Index||link|
|Vanguard Tax-Managed Capital Appreciation||link|
|Vanguard FTSE Social Index||link|
MSCI sector benchmark index funds
Vanguard offers eleven U.S. stock market sector funds tracking indexes provided by MSCI.
|Vanguard Consumer Discretionary Index||link|
|Vanguard Consumer Staples Index||link|
|Vanguard Energy Index||link|
|Vanguard Financials Index||link|
|Vanguard Health Care Index||link|
|Vanguard Industrials Index||link|
|Vanguard Information Technology Index||link|
|Vanguard Materials Index||link|
|Vanguard REIT Index||link|
|Vanguard Telecommunications Index||link|
|Vanguard Utilities Index||link|
FTSE international benchmark index funds
Vanguard's international stock index funds track FTSE indexes.
|Vanguard Total World Index||link|
|Vanguard Total International Index||link|
|Vanguard FTSE All-World ex-US Index||link|
|Vanguard Developed Market Index||link|
|Vanguard European Index||link|
|Vanguard Pacific Index||link|
|Vanguard Emerging Market Index||link|
|Vanguard FTSE All-World ex-US Small Cap Index||link|
Balanced index funds
|Vanguard Balanced Index||link|
|Vanguard Tax Managed Balanced||link|
|Vanguard Life Strategy Growth||link|
|Vanguard Life Strategy Moderate Growth||link|
|Vanguard Life Strategy Conservative Growth||link|
|Vanguard Life Strategy Income||link|
|Vanguard Target Retirement 2060||link|
|Vanguard Target Retirement 2055||link|
|Vanguard Target Retirement 2050||link|
|Vanguard Target Retirement 2045||link|
|Vanguard Target Retirement 2040||link|
|Vanguard Target Retirement 2035||link|
|Vanguard Target Retirement 2030||link|
|Vanguard Target Retirement 2025||link|
|Vanguard Target Retirement 2020||link|
|Vanguard Target Retirement 2015||link|
|Vanguard Target Retirement 2010||link|
|Vanguard Target Retirement Income||link|
Bond index funds
|Vanguard Short-Term Bond||link|
|Vanguard Short-Term Government Bond||link|
|Vanguard Short-Term Corporate Bond||link|
|Vanguard Short-Inflation Protected Bond||link|
|Vanguard Intermediate-Term Bond||link|
|Vanguard Intermediate-Term Government Bond||link|
|Vanguard Intermediate-Term Corporate Bond||link|
|Vanguard Total Bond||link|
|Vanguard Mortgage-Backed Securities||link|
|Vanguard Long-Term Bond||link|
|Vanguard Long-Term Government Bond||link|
|Vanguard Long-Term Corporate Bond||link|
|Vanguard Total International Bond||link|
|Vanguard Emerging Market Government Bond||link|
- See Fact Sheet Investor Returns for a fuller discussion of how the return is calculated
- See Spatrick, Alan D. and Benham, Frank, Endpoint Bias (December 12, 2011), SSRN. They assess end-point bias as
Examinations of data from only the longest period available, from inception to the present day, may suffer from endpoint bias. Statistically, endpoint bias refers to the inclusion or exclusion of data that significantly influence results. Practically speaking, endpoint bias refers to investors’ tendency to place undue significance on results for measurement periods ending in the present.
End-point bias can be the result of changing market conditions and/or insufficient data. The paper suggests four analytical approaches to both gauge and mitigate the effects of endpoint bias:
- Examine the longest time period available.
- Examine periods that contain a variety of market and economic conditions.
- Examine sub-periods or calculate trimmed means.
- Examine the underlying drivers of asset class returns.
- Investor returns are often lower than mutual fund total returns. Vanguard in a white paper, Quantifying the impact of chasing fund performance, reports the following return gaps for equity styles over the 2004 - 2013 period:
- In addition to a suite of S&P U.S stock index exchange-traded funds Vanguard also manages a suite of Russell U.S stock index exchange-traded funds. Morningstar does not provide investor returns for these funds.
- Did You Do as Well as Your Fund?, Rachel Haig, Morningstar, August 7, 2009, Reviewed 26 February 2015.
- Mind the Gap, Russel Kinnel,Morningstar, February 27, 2014, Reviewed 2 March, 2015.
- Quantifying the impact of chasing fund performance, Wimmer,Brian, Wallick,Daniel and Pakula,David, Vanguard Institutional, August 22, 2014.
- Advisor's alpha, Bennyhoff, Donald and Kinnery Jr., Francis, Vanguard Institutional, April 22, 2013.
- Putting a value on your value: Quantifying Vanguard Advisor's Alpha, Kinniry Jr., Francis M., Jaconetti, Colleen M., DiJoseph, Michael A., and Zilbering, Yan, Vanguard Institutional, March 10, 2014.
- Hackethal, Andreas and Haliassos, Michael and Jappelli, Tullio, Financial Advisors: A Case of Babysitters? (June 8, 2011), SSRN.
- Hsu, Jason C. and Myers, Brett W. and Whitby, Ryan J., Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies (July 1, 2014),SSRN.
- Maymin, Philip and Fisher, Gregg S.,Past Performance is Indicative of Future Beliefs, (April 11, 2011). Risk and Decision Analysis, Forthcoming; NYU Poly Research Paper, SSRN.