the following is from a summary of my findings when I looked at Vanguard active funds, 15 years ending 9/15, in my series. Draw your own conclusions
• In the four asset classes for which there are comparable DFA funds, the Vanguard active funds outperformed in one.
• In the five asset classes for which there are comparable index funds from Vanguard, the firm’s active funds outperformed in four.
• A portfolio of Vanguard’s actively managed funds, equal-weighted in the four asset classes for which there are comparable DFA funds, returned 5.4% a year. The average expense ratio was 0.38%. An equal-weighted portfolio of DFA funds in the same four asset classes returned 6.6% a year, outperforming the comparable Vanguard portfolio by 1.2 percentage points a year. The DFA portfolio’s average expense ratio was 0.25%. The underperformance of the Vanguard actively managed portfolio was well in excess of the difference (0.13 percentage points) in the average expense ratios.
• In the five asset classes for which comparable Vanguard index funds are available, an equal-weighted portfolio of Vanguard’s actively managed funds returned 5.9% a year. The average expense ratio was 0.39%, well below the expense ratio of the typical actively managed fund. An equal-weighted portfolio of Vanguard index funds in the same five asset classes returned 5.6% a year, underperforming the actively managed portfolio by 0.3 percentage points a year. The Vanguard index fund portfolio’s average expense ratio was 0.08%. Vanguard’s actively managed funds were able to outperform despite the disadvantage of an expense ratio 0.31 percentage points higher.
I then as is my practice looked at the risk adjusted returns to see if there was alpha. Here's the summary
When we examine the results from the three-factor analysis, we find that eight of the 12 Vanguard funds generated positive alphas, with the average annual alpha coming in at 0.8%. Only two of the 12 funds showed statistically significant alpha at the 5% level, one being positive and the other being negative.
When we look at results from the four-factor analysis, we again find that eight of the 12 Vanguard funds generated positive alphas. The average annual alpha was slightly smaller at 0.6%. One of the 12 funds showed statistically significant positive alpha at the 5% level.
When we include all six factors in our analysis, we find that just four of the 12 Vanguard funds now showed positive alphas. The average annual alpha, however, was still positive at 0.1%.
Here's the full piece if interested https://www.advisorperspectives.com/articles/2016/01/12/has-vanguard-added-value-as-an-active-manager