Inflation-Protected SEC Rate - 05/03/13?

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Inflation-Protected SEC Rate - 05/03/13?

Postby EyeDee » Sat May 04, 2013 4:18 pm

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Vanguard's Inflation-Protected Securities SEC Yield listed for 05/03/13 on Vanguard's web site went from -1.15% previously to positive 0.27% for Investor shares and from -1.05% previously to positive 0.37% for Admiral shares.

I know interest rates went up a little last week, but the yield other funds did not seem to jump as much. Did longer Inflation-Protected Securities yield jump that much last week or does Vanguard perhaps have a data entry error?

Thanks for any insight anyone can provide.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby gerrym51 » Sat May 04, 2013 4:28 pm

I believe I bonds started their latest 6 month cycle may 1. that could be the cause
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby steve roy » Sat May 04, 2013 4:38 pm

I switched from Vanguard's longer term TIPS fund to the shorter term fund several weeks ago. I've noticed that the shorterTIPS fund's return has been worse, then better than its older brother depending on the day you check. I have no idea why it bounces around like it does. Probably it's related to what the fed and markets are doing on any given day.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby EyeDee » Sat May 04, 2013 6:08 pm

steve roy wrote:I switched from Vanguard's longer term TIPS fund to the shorter term fund several weeks ago. I've noticed that the shorterTIPS fund's return has been worse, then better than its older brother depending on the day you check. I have no idea why it bounces around like it does. Probably it's related to what the fed and markets are doing on any given day.
.
I have noticed that also for the daily NAV changes, what I was asking about is the SEC yield which Vanguard generally only updates once a week for their bond funds.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Sat May 04, 2013 6:27 pm

EyeDee,

I see what you mean, and the change seems odd. The notes attendant with the published yield do not appear to have changed. To my eye, it looks like they added either annualized past inflation or estimated near-term inflation to the real yield. The positive yield currently showing on the website looks about what I would expect the nominal return of those TIPS funds to be.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby EyeDee » Sat May 04, 2013 6:35 pm

G-Money wrote:EyeDee,

I see what you mean, and the change seems odd. The notes attendant with the published yield do not appear to have changed. To my eye, it looks like they added either annualized past inflation or estimated near-term inflation to the real yield. The positive yield currently showing on the website looks about what I would expect the nominal return of those TIPS funds to be.
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G-Money,

Possibly, but that should not be the case as one of the notes you referenced point out the listed SEC Yield is the real yield: "G — DOES NOT INCLUDE ANY INCOME ADJUSTMENT RESULTING FROM CHANGE IN INFLATION RATE".
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Sat May 04, 2013 7:05 pm

Agreed. Something's fishy. If it's still up Monday, maybe a call to a vanguard CSR will clear it up.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby ObliviousInvestor » Thu May 09, 2013 10:53 am

Bump.

I asked on twitter and got a non-answer answer. (I could have phrased my question better, admittedly.)

An SEC yield of 0.27% with an ER of 0.2% would mean the underlying bonds have yields of 0.47%. Based on current TIPS yields, that would mean going out past 20 years in terms of maturity. Yet the fund reports an average maturity of just 9.4 years.

And while TIPS yields have increased in the last couple weeks, the increases have been well short of the in-excess-of-one-percent increase that the fund reports.

In other words, I don't understand how the currently stated yield is possible or why it would have moved so significantly upward. Anybody have an idea what's going on here? Am I missing some obvious explanation?
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby YDNAL » Thu May 09, 2013 11:57 am

ObliviousInvestor wrote:In other words, I don't understand how the currently stated yield is possible or why it would have moved so significantly upward. Anybody have an idea what's going on here? Am I missing some obvious explanation?

I looked at VIPSX and the yield fluctuates from -1.04% to -1.21% from the beginning of 2013 (January) to May 2nd. Then, it jumps from -1.15% to +0.27% on Mar 3rd as EyeDee (OP) said. This +1.42% uptick seem unexplainable.
Link: https://personal.vanguard.com/us/funds/ ... &year=#res

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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Thu May 09, 2013 1:40 pm

ObliviousInvestor wrote:In other words, I don't understand how the currently stated yield is possible or why it would have moved so significantly upward. Anybody have an idea what's going on here? Am I missing some obvious explanation?

I emailed Vanguard. I'll post the response here.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby ObliviousInvestor » Thu May 09, 2013 1:57 pm

G-Money wrote:
ObliviousInvestor wrote:In other words, I don't understand how the currently stated yield is possible or why it would have moved so significantly upward. Anybody have an idea what's going on here? Am I missing some obvious explanation?

I emailed Vanguard. I'll post the response here.

Thank you. :)
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby ObliviousInvestor » Fri May 10, 2013 8:45 am

Aaand now it's back to normal (-1.14% SEC yield as of today). I did get a further reply on twitter that there is "more information to come." So we'll see!
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Fri May 10, 2013 8:57 am

ObliviousInvestor wrote:Aaand now it's back to normal (-1.14% SEC yield as of today). I did get a further reply on twitter that there is "more information to come." So we'll see!

Does this make us whistle-blowers? Or just rabble-rousers?

I haven't received a response yet from Vanguard, but they usually take 2-3 business days to respond.

Glad to see VIPSX is back to its prior yield. (I refuse to call -1% real "normal" :) ).
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Fri May 10, 2013 3:04 pm

I just received a response from Vanguard. I'm a little surprised. Here is the complete response:
Vanguard wrote:Dear [G-Money]:

Thank you for taking the time to contact us.

Upon review of the historical prices and SEC yield of Vanguard
Inflation-Protected Securities Fund, there is not a significant change in
the yield during those days. The SEC yield as of May 2, 2013, was -1.15%
and on May 3, 2012, was -1.15%, based on holdings yield to maturity for 30
days as of end of previous week and does not include any income adjustment
resulting form change inflation rate.

To view this history please follow these steps:

1. Go to Personal Investor at vanguard.com.
2. Type VIPSX in the search bar.
3. Go to "Price & Performance" tab.
4. Then select "Search for more historical price information."
5. Enter search dates

There could possibly have been a one time error in reporting and we do
apologize for any inconvenience that this may have caused.

If you have additional questions, please call us at 888-285-4563. You can
reach us on business days from 8 a.m. to 10 p.m. and on Saturdays from 9
a.m. to 4 p.m., Eastern time.

Sincerely,

[Personally identifying information removed by admin LadyGeek]
Registered Representative
Vanguard Retail Investor Group

(c) 2013 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing
Corporation, Distributor.

**For more information about Vanguard funds, visit http://www.vanguard.com, or
call 888-285-4563, to obtain a prospectus. Investment objectives, risks,
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I went back, and Vanguard has changed the published yield for 5/3/13, 5/6/13, 5/7/13, 5/8/13 (possibly 5/9/13, I hadn't checked what the published yield was yesterday). On each of those days, as recently as yesterday, the published yield was +0.27%. Now, for each of those days, it reads -1.14%. I wish I had done a screen capture yesterday. :x

I have no doubt it was a glitch. But the fact that there is no explanation of the glitch, or even an admission that there was a glitch,* seems odd. Vanguard knows there was a glitch because Vanguard changed the published yield for each of those days. It's not the crime, it's the cover-up.

This sort of thing does not instill a lot of confidence.

* No, I don't consider "There could possibly have been a one time error in reporting and we do apologize for any inconvenience that this may have caused" to be an admission. Anything "could possibly" happen. An admission is a statement that something did, in fact, happen.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby tfb » Fri May 10, 2013 5:06 pm

G-Money wrote:Vanguard knows there was a glitch because Vanguard changed the published yield for each of those days. It's not the crime, it's the cover-up.

Vanguard isn't just one person. By the time this particular rep looked at it, the cover-up already completed. He or she didn't see anything weird him/herself.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby stratton » Fri May 10, 2013 6:18 pm

There is no SEC defined yield for inflation linked bonds. There is for NOMINAL bonds, but not TIPS.

It's indeterminate. Ishares includes the inflation portion of TIPS in the fund yield and Vanguard doesn't.

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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Fri May 10, 2013 6:50 pm

tfb wrote: By the time this particular rep looked at it, the cover-up already completed. He or she didn't see anything weird him/herself.

Maybe. I believe it's equally plausible that the customer relations department was made aware of the glitch with VIPSX. Otherwise, there would be no need to talk about the possibility of reporting error.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Fri May 10, 2013 6:52 pm

stratton wrote:There is no SEC defined yield for inflation linked bonds. There is for NOMINAL bonds, but not TIPS.

It's indeterminate. Ishares includes the inflation portion of TIPS in the fund yield and Vanguard doesn't.

Paul

But I think you'd agree that each fund company should and generally does remain internally consistent, so that a company is not reporting a real yield on Monday, a nominal yield on Tuesday, and something totally different on Wednesday.
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby ObliviousInvestor » Tue May 14, 2013 8:42 am

I promised via PM to update this thread once I received a reply from Vanguard via Twitter. The explanation I received today is simply that "it was a reporting error." (You can see the full conversation here. There's not a lot of depth, of course, given the nature of Twitter.)
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Re: Inflation-Protected SEC Rate - 05/03/13?

Postby G-Money » Tue May 14, 2013 11:00 am

ObliviousInvestor wrote:I promised via PM to update this thread once I received a reply from Vanguard via Twitter. The explanation I received today is simply that "it was a reporting error." (You can see the full conversation here. There's not a lot of depth, of course, given the nature of Twitter.)

Thanks for the update. IMO, the response is disappointing, especially given Vanguard's prior statement that it was "making sure we give you a thorough answer." We still have no idea what caused the "reporting error."

This type of thing is causing me to strongly consider diversifying mutual fund companies/brokerages.
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