Vanguard, Fidelity, and Schwab security lending historical data

Vanguard, Fidelity, Charles Schwab have a small number of stock index funds with roughly parallel histories which allow us to examine the historical security lending income generated by the respective funds. The five funds include a US total stock market index fund; an S&P 500 index fund; an extended market index fund; a US small cap index fund; and an international index fund. The Fidelity histories, with the exception of the Fidelity Small Cap Index Fund, and the Vanguard funds. with the exception of the international fund (the FTSE All-World ex US fund) have histories going back to 1998. Charles Schwab has four funds which parallel the other two mutual fund families.

We measure the security lending income by calculating the percentage of fund expenses covered by the net security lending income distributed by each fund.

Fidelity security lending

The table below provides the annual percentage of expenses covered by each fund’s security lending net income. [1]

YearTotal MktExtended MktInternational500 IndexSmall Cap
201998.64%227.14%24.23%5.65%445.43%
201883.82%222.49%22.96%8.34%386.68%
2017103.28%288.15%21.99%17.49%306.73%
201694.17%287.18%15.74%17.49%324.52%
201574.57%252.82%18.60%15.03%301.65%
201460.20%217.91%20.07%15.04%213.31%
201374.25%281.04%26.55%22.78%116.84%
201250.12%173.16%28.11%16.39%1.88%
201147.94%156.30%25.37%14.20%
201098.39%176.88%35.53%62.90%
200999.08%338.64%64.34%48.84%
200843.48%200.78%31.43%10.15%
200743.89%184.67%28.88%5.89%
200635.19%161.65%17.40%6.06%
200510.16%31.80%6.05%1.15%
20046.84%15.20%11.34%1.07%
200313.42%29.75%22.67%8.26%
200221.56%58.90%29.35%15.10%
200114.80%48.66%13.08%6.23%
200016.14%53.07%5.02%6.03%
199920.87%50.17%5.42%3.97%
19984.31%12.76%0.82%1.51%

The table below provides the composite percentage of total fund expenses covered by the total security lending income over the measurement period.

Total MktExtended MktInternational500 IndexSmall CapComposite
Total SL income105,973,845231,774,50634,160,19276,788,00029,658,099372,380,797
Total expenses152,027,364105,403,794143,020,185493,451,0008,461,453750,336,432
Percentage69.71%219.89%23.88%15.56%350.51%49.63%

Vanguard security lending

The table below provides the annual percentage of expenses covered by each fund’s security lending net income.

YearTotal MktExtended MktInternational500 IndexSmall cap
201939.13%218.99%45.70%4.50%109.41%
201835.42%173.99%45.62%2.10%75.23%
201734.24%151.12%47.08%2.80%100.43%
201639.10%169.37%81.78%7.89%136.92%
201531.36%128.68%64.36%5.51%107.72%
201425.23%105.83%48.79%2.56%71.48%
201320.82%94.11%45.53%3.23%75.55%
201226.89%114.75%61.52%8.05%121.33%
201127.13%89.54%54.27%11.16%95.22%
201026.37%81.60%35.19%6.13%78.85%
200964.77%91.52%50.57%56.44%95.89%
200860.26%162.43%56.72%24.16%188.08%
200730.58%111.83%0.62%1.49%89.58%
200623.56%87.88%1.97%65.92%
200517.70%54.20%2.28%43.54%
20049.30%28.27%0.55%21.42%
20036.54%31.36%0.58%25.99%
20026.55%23.01%0.76%26.77%
200111.45%50.48%0.27%32.55%
200023.75%80.06%2.11%44.47%
199917.77%69.65%2.11%41.14%
199820.11%66.14%0.90%42.89%

The table below provides the composite percentage of total fund expenses covered by the total security lending income over the measurement period.

Total MktExtended MktInternational500 IndexSmall CapComposite
Total SL income1,087,204,000547,016,000150,000,000169,339,000497,415,0002,450,974,000
Total expenses3,452,116,000469,441,000285,690,0002,978,963,000564,459,0007,750,669,000
Percentage31.49%116.52%52.50%5.68%88.12%27.18%

Charles Schwab security lending

The table below provides the annual percentage of expenses covered by each fund’s security lending net income.

YearTotal MktInternational500 IndexSmall cap
201978.01%29.78%8.04%265.80%
201847.90%58.38%4.55%288.33%
201745.05%26.99%3.83%198.01%
201630.24%27.93%6.27%128.52%
201525.24%23.37%4.63%127.82%
201426.19%26.67%1.99%118.07%
201329.37%27.41%4.89%134.42%
201231.99%45.05%8.43%159.36%
201121.90%49.53%9.60%85.02%
201022.09%54.91%8.44%70.53%
20094.67%0.00%12.11%29.76%
200818.47%31.27%10.35%100.70%
20074.83%12.85%1.07%35.44%
20063.29%15.11%1.05%24.68%
20053.92%15.01%3.39%21.37%
20043.56%13.74%4.99%8.08%
20037.06%14.23%6.10%9.95%
200221.07%11.33%7.40%9.72%
200124.36%17.71%5.46%13.19%
200012.81%6.00%3.56%0.93%
199910.16%0.00%4.43%2.88%
199815.91%16.40%4.26%0.58%

The table below provides the composite percentage of total fund expenses covered by the total security lending income over the measurement period.

Total MktInternational500 IndexSmall CapComposite
Total SL income13,103,2701,345,00018,116,71563,044,29395,609,278
Total expenses66,749,6788,903,000348,032,701107,800,985531,486,364
Percentage19.63%%15.11%5.21%58.48%17.99%

Annual data

The following links provide annual data for each Fidelity and Vanguard index fund.

Fidelity fund data

Annual security lending income data for selected Fidelity index funds.

Vanguard fund data

Annual security lending income data for selected Vanguard index funds.

Schwab fund data

Annual security lending income data for selected Schwab index funds.

Notes

[1] Data is derived from annual reports from EDGAR. Calculations, including annual year data is available on the following spreadsheets:

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