Vanguard Government Index Funds Benchmark Change - Update

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Doc
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Vanguard Government Index Funds Benchmark Change - Update

Post by Doc » Wed Nov 15, 2017 11:44 am

As previously posted the three Vanguard Government Index funds are becoming pure Treasury funds:
Vanguard August 8, 2017 wrote:3 fixed income index funds to change benchmarks & names ... The benchmark changes will occur over several days in the fourth quarter of 2017 ...
There are not making much progress.

The following data for the short term fund is for the last 3 months. I've included the August & September data which is from before the change as a reference. I also included data for the short active Treasury fund for comparison.

Code: Select all

Vanguard Short-Term Government Bond Index Fund Admiral Shares (VSBSX)	
		
	Non Treasury	Count	Duration
			
8/30/2017	5.3%	38	1.9
9/31/17		7.8%	51	1.9
10/31/2017	7.4%	49	1.9
			
Vanguard Short-Term Treasury Fund (VFIRX)
			
	Non Treasury	Count	Duration
			
8/30/2017	10.1%	16	2.2
9/31/17		10.5%	24 	2.2
10/31/2017	14.3%	27	2.7
(I included TIPS as "non-Treasury" for the active fund but it doesn't make a lot of difference.)
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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc » Wed Dec 13, 2017 12:41 pm

New Target Indexes and New Fund Names

Effective immediately, Vanguard Short-Term Government Bond Index Fund, Vanguard Intermediate-Term Government Bond Index Fund, and Vanguard Long-Term Government Bond Index Fund have begun tracking their new target indexes, as set forth in the following table and as previously approved by the Funds’ board of trustees. The board believes that the new indexes are more closely aligned with each Fund’s investment strategy.
Supplement To Prospectus Effective Date 12/12/2017 from Morningstar

I can't find anything on Vanguard's investors site in the last month. But there is a "IAM Overview" on the Institutional site dated today, December 13, 2017.

So we don't know when the holding change was actually effected.

Maybe it was the end of November "* Bloomberg Barclays U.S. 1-3 Year Government Float Adjusted Index through November 28, 2017; Bloomberg Barclays U.S. Treasury 1-3 Year Index thereafter."
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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by jhfenton » Wed Dec 13, 2017 1:02 pm

Thanks. I officially changed the name for VSIGX in my spreadsheet to Vanguard Intermediate-Term Treasury Index Fund Admiral Shares. I don't expect to see much else in the way of a difference. :beer

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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by dkturner » Wed Dec 13, 2017 1:09 pm

On Friday Vanguard should release the November 30 portfolio construction information for all of its funds.

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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc » Wed Dec 13, 2017 1:46 pm

jhfenton wrote:
Wed Dec 13, 2017 1:02 pm
Thanks. I officially changed the name for VSIGX in my spreadsheet to Vanguard Intermediate-Term Treasury Index Fund Admiral Shares. I don't expect to see much else in the way of a difference. :beer
:D Vanguard is still showing the "old" name on the holdings page but when you click on the name it opens a screen with the "new" name.
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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by jhfenton » Wed Dec 13, 2017 2:01 pm

Doc wrote:
Wed Dec 13, 2017 1:46 pm
jhfenton wrote:
Wed Dec 13, 2017 1:02 pm
Thanks. I officially changed the name for VSIGX in my spreadsheet to Vanguard Intermediate-Term Treasury Index Fund Admiral Shares. I don't expect to see much else in the way of a difference. :beer
:D Vanguard is still showing the "old" name on the holdings page but when you click on the name it opens a screen with the "new" name.
Good catch. :beer

And I think you're right about the footnote telling the story. The intermediate index fund has a similar footnote reflecting a November 28, 2017 index change.

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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by triceratop » Wed Dec 13, 2017 2:13 pm

Great news, thanks Doc, even if we were one of only a few who cared! :beer The name change has been visible on the advisors page for quite a few days now, in fact.

My google spreadsheet, using GoogleFinance APIs, still displays "Vanguard Intmdte Tm Govt Bd ETF" though. It will be interesting to see when this updates.
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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc » Sat Dec 16, 2017 12:27 pm

dkturner wrote:
Wed Dec 13, 2017 1:09 pm
On Friday Vanguard should release the November 30 portfolio construction information for all of its funds.
Alright, the November EOM portfolio has been published. And at least for the short-term Treasury Index fund (VSBSX) there is still virtually no change in the portfolio. There is 7.5% non us-treasury notes/bonds by dollar volume and 35% by count.

I checked two Treasury ETF's (SPTS and SHY) and a Fidelity Treasury Index fund (FVSTX) and they have nothing but US Treasury notes/bonds

From the original announcement:
Each fund will track a pure Treasury benchmark and no longer hold government agency-issued securities. This includes debt issuance from Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, known as Freddie Mac and Fannie Mae, respectively.

The benchmark changes will occur over several days in the fourth quarter of 2017 and aren’t expected to affect the funds’ expense ratios. And while the fund names will change, their tickers will stay the same.

...

With the new pure Treasury benchmarks, the funds will offer investors a more risk-controlled way to express duration views.
https://investornews.vanguard/3-fixed-i ... rks-names/

OK from the announcement they have still another month but they changed the benchmark and the name already.

What am I missing?
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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by dkturner » Sun Dec 17, 2017 2:21 pm

Doc wrote:
Sat Dec 16, 2017 12:27 pm
dkturner wrote:
Wed Dec 13, 2017 1:09 pm
On Friday Vanguard should release the November 30 portfolio construction information for all of its funds.
Alright, the November EOM portfolio has been published. And at least for the short-term Treasury Index fund (VSBSX) there is still virtually no change in the portfolio. There is 7.5% non us-treasury notes/bonds by dollar volume and 35% by count.

I checked two Treasury ETF's (SPTS and SHY) and a Fidelity Treasury Index fund (FVSTX) and they have nothing but US Treasury notes/bonds

From the original announcement:
Each fund will track a pure Treasury benchmark and no longer hold government agency-issued securities. This includes debt issuance from Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, known as Freddie Mac and Fannie Mae, respectively.

The benchmark changes will occur over several days in the fourth quarter of 2017 and aren’t expected to affect the funds’ expense ratios. And while the fund names will change, their tickers will stay the same.

...

With the new pure Treasury benchmarks, the funds will offer investors a more risk-controlled way to express duration views.
https://investornews.vanguard/3-fixed-i ... rks-names/

OK from the announcement they have still another month but they changed the benchmark and the name already.

What am I missing?
You're not missing anything. It appears that the changes had not been made by the close of business on November 30. We are going to have to wait until mid Jamusry to see what the funds will look like on December 31. I wonder how many $ Vanguard will leave on the table dumping all those positions in Agency securities over a short number of days?

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Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc » Sun Dec 17, 2017 3:18 pm

dkturner wrote:
Sun Dec 17, 2017 2:21 pm
I wonder how many $ Vanguard will leave on the table dumping all those positions in Agency securities over a short number of days?
Yeh. :(

I thought they would do smaller trades more frequently.
A scientist looks for THE answer to a problem, an engineer looks for AN answer and lawyers ONLY have opinions. Investing is not a science.

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