Vanguard year end distributions - updated estimates

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talzara
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Re: Vanguard year end distributions - updated estimates

Post by talzara » Fri Dec 15, 2017 8:42 pm

Doc wrote:
Fri Dec 15, 2017 5:29 pm
talzara wrote:
Fri Dec 15, 2017 12:18 pm
What's the creation/redemption volume for VOO? How many Vanguard S&P 500 ETF shares are created each year?
There are table in annual and semi annual reports from which you can get that kind of information.

Also look at the ownership tab on Morningstar. For example: http://investors.morningstar.com/owners ... ture=en_US
I've read the annual and semi-annual reports many times. They report the net shares created, not the gross.

Morningstar's ownership tab reports the net trading activity for mutual funds and institutional investors. This is also net, not gross.

How many VOO shares were created in a year, and how many VOO shares were redeemed in a year? The reports and Morningstar are only giving shares created minus shares redeemed.

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Doc
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Re: Vanguard year end distributions - updated estimates

Post by Doc » Sat Dec 16, 2017 9:25 am

talzara wrote:
Fri Dec 15, 2017 8:42 pm
Doc wrote:
Fri Dec 15, 2017 5:29 pm
talzara wrote:
Fri Dec 15, 2017 12:18 pm
What's the creation/redemption volume for VOO? How many Vanguard S&P 500 ETF shares are created each year?
There are table in annual and semi annual reports from which you can get that kind of information.

Also look at the ownership tab on Morningstar. For example: http://investors.morningstar.com/owners ... ture=en_US
I've read the annual and semi-annual reports many times. They report the net shares created, not the gross.

Morningstar's ownership tab reports the net trading activity for mutual funds and institutional investors. This is also net, not gross.

How many VOO shares were created in a year, and how many VOO shares were redeemed in a year? The reports and Morningstar are only giving shares created minus shares redeemed.
OK, I missed the reasoning behind your question.

Find the table "Capital Shares Transactions ...." in the fine print near the end. Shares issue 20.7 million, shares redeemed 20.0 million.
Last edited by Doc on Sat Dec 16, 2017 9:34 am, edited 1 time in total.
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Re: Vanguard year end distributions - updated estimates

Post by mouses » Sat Dec 16, 2017 9:32 am

HongKonger wrote:
Tue Dec 12, 2017 6:12 pm
Really annoying they don't list them by ticker code. Like people remember the full name of their funds.
Thank goodness they list them by name, who remembers the ticker symbol.

talzara
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Re: Vanguard year end distributions - updated estimates

Post by talzara » Sat Dec 16, 2017 12:47 pm

Doc wrote:
Sat Dec 16, 2017 9:25 am
OK, I missed the reasoning behind your question.

Find the table "Capital Shares Transactions ...." in the fine print near the end. Shares issue 20.7 million, shares redeemed 20.0 million.
Thank you. The data is in Note G to the fund's annual and semi-annual reports.

I just realized that I was talking about the wrong fund. The S&P 500 Fund actually has 100% QDI.

It's the Total Stock Market Fund that has 94% QDI. That fund has much lower ETF redemption activity than I expected. In fact, a higher percentage of Admiral shares are redeemed than ETF shares!

Total redemptions across all share classes was 4.7% of NAV for the first half of 2017. The annual redemption rate would be close to 10%. That's easily enough to explain an extra 1% of non-qualified dividends.

For the Total Stock Market Fund, Vanguard is still relying on traditional tax-management techniques to avoid paying out capital gains. There are not enough ETF shares to make a difference.

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Re: Vanguard year end distributions - updated estimates

Post by Doc » Sat Dec 16, 2017 12:55 pm

talzara wrote:
Sat Dec 16, 2017 12:47 pm
For the Total Stock Market Fund, Vanguard is still relying on traditional tax-management techniques to avoid paying out capital gains.
What do you consider to be "traditional tax-management techniques"?

FWIW I don't have a dog in this "fight". The QDI's are something I don't care about except for REIT funds which I wouldn't own in taxable and for foreign in which case the non QDI's are somewhat offset by the foreign tax credit.
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talzara
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Re: Vanguard year end distributions - updated estimates

Post by talzara » Sat Dec 16, 2017 1:16 pm

Doc wrote:
Sat Dec 16, 2017 12:55 pm
talzara wrote:
Sat Dec 16, 2017 12:47 pm
For the Total Stock Market Fund, Vanguard is still relying on traditional tax-management techniques to avoid paying out capital gains.
What do you consider to be "traditional tax-management techniques"?

FWIW I don't have a dog in this "fight". The QDI's are something I don't care about except for REIT funds which I wouldn't own in taxable and for foreign in which case the non QDI's are somewhat offset by the foreign tax credit.
"Traditional" would be what Vanguard did before ETFs. They meet redemptions by selling shares with the highest cost basis, which would be the newly-acquired shares. Many of these shares haven't been held for 60 days, so the dividend would be non-qualified.

ETFs work the other way. Instead of selling the highest-basis shares, they redeem in-kind with the lowest-basis shares.

Theoretically, Vanguard could use the ETF shares to get rid of low-basis shares, and they could use the mutual fund shares to realize a capital loss on high-basis shares. They could use the capital loss to offset future capital gains realized during index changes. (For example, when they moved from to MSCI to FTSE indexes.)

I assumed that ETF shares trade so frequently that even a small percentage of ETFs could make a big difference to tax-efficiency. However, the numbers show that's not true. There isn't enough ETF redemption activity in the Total Stock Market Fund to make a big difference.

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Doc
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Re: Vanguard year end distributions - updated estimates

Post by Doc » Sat Dec 16, 2017 1:42 pm

Thanks for the explanation.
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Thesaints
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Re: Vanguard year end distributions - updated estimates

Post by Thesaints » Sat Dec 16, 2017 2:32 pm

Those numbers are the yearly totals of shares sold and bought, not the number of shares created and redeemed.

For instance, bouncing an ETF share between two investors daily for a year would result in
252 shares sold
252 shares bought
1 share outstanding
0 shares created/redeemed (assuming that share already existed and was not redeemed at year's end)

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Doc
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Re: Vanguard year end distributions - updated estimates

Post by Doc » Sat Dec 16, 2017 2:48 pm

Thesaints wrote:
Sat Dec 16, 2017 2:32 pm
Those numbers are the yearly totals of shares sold and bought, not the number of shares created and redeemed.

For instance, bouncing an ETF share between two investors daily for a year would result in
252 shares sold
252 shares bought
1 share outstanding
0 shares created/redeemed (assuming that share already existed and was not redeemed at year's end)
You lost me completely.

As you wrote, ETF shares traded on the stock exchange have no effect at all on the ETF itself. And there are no shares created /redeemed - right.

But what did you mean by "those numbers"?

The numbers that talazar and I have been trying to get a fix on are not traded on any stock exchange but between the fund and an authorized participant.

https://www.investopedia.com/terms/a/au ... cipant.asp
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matty89
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Re: Vanguard year end distributions - updated estimates

Post by matty89 » Sat Dec 16, 2017 10:44 pm

Long time browser and noobie boglehead with a very basic question.

How do I take the info from the table to estimate how much capital gains will be distributed to me?

talzara
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Re: Vanguard year end distributions - updated estimates

Post by talzara » Sun Dec 17, 2017 1:48 pm

Thesaints wrote:
Sat Dec 16, 2017 2:32 pm
Those numbers are the yearly totals of shares sold and bought, not the number of shares created and redeemed.

For instance, bouncing an ETF share between two investors daily for a year would result in
252 shares sold
252 shares bought
1 share outstanding
0 shares created/redeemed (assuming that share already existed and was not redeemed at year's end)
No, those numbers are the shares created and redeemed.

The number of shares bought and sold is much higher. For example, the Total Stock Market ETF (VTI) has daily volume of over 2 million shares on NYSE. That works out to:
  • 500 million shares bought
  • 500 million shares sold
The Vanguard Total Stock Market annual report (2016) gives the capital share transactions for the ETF shares as:
  • 118 million shares created
  • 62 million shares redeemed
This means that only about 10-20% of the ETF trades made it to Vanguard through the Authorized Participants. The remaining 85-90% was transferred directly from sellers to buyers.

talzara
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Re: Vanguard year end distributions - updated estimates

Post by talzara » Sun Dec 17, 2017 1:51 pm

matty89 wrote:
Sat Dec 16, 2017 10:44 pm
Long time browser and noobie boglehead with a very basic question.

How do I take the info from the table to estimate how much capital gains will be distributed to me?
Multiply by the number of shares you own. The table gives the per-share estimates.

matty89
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Re: Vanguard year end distributions - updated estimates

Post by matty89 » Sun Dec 17, 2017 9:49 pm

talzara wrote:
Sun Dec 17, 2017 1:51 pm
matty89 wrote:
Sat Dec 16, 2017 10:44 pm
Long time browser and noobie boglehead with a very basic question.

How do I take the info from the table to estimate how much capital gains will be distributed to me?
Multiply by the number of shares you own. The table gives the per-share estimates.
Thank you very much!

kd2008
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Re: Vanguard year end distributions - updated estimates

Post by kd2008 » Mon Dec 18, 2017 6:09 pm

Total International Admiral (VTIAX) dividend is increasing from $0.209/share (in Dec 2016) to $0.28/share. That is a big increase.

Total Stock market Admiral (VTSAX) dividend is decreasing from $0.354/share (in Dec 2016) to $0.30/share. That is a big drop.

Any idea why this might be happening?

livesoft
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Re: Vanguard year end distributions - updated estimates

Post by livesoft » Mon Dec 18, 2017 6:17 pm

Yes, I have a very good idea, but the thread will get locked if I tell you.
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kd2008
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Re: Vanguard year end distributions - updated estimates

Post by kd2008 » Mon Dec 18, 2017 10:07 pm

livesoft wrote:
Mon Dec 18, 2017 6:17 pm
Yes, I have a very good idea, but the thread will get locked if I tell you.
LOL. I guessed it from your answer. How pathetic that companies do this!

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InvestorNewb
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Re: Vanguard year end distributions - updated estimates

Post by InvestorNewb » Tue Dec 19, 2017 7:39 am

It's December 19th and I don't see the amounts posted for the ETFs.
My Portfolio: VTI [US], VXUS [Int'l], VNQ [REIT], VCN [Canada] (largest to smallest)

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Re: Vanguard year end distributions - updated estimates

Post by Longdog » Tue Dec 19, 2017 7:55 am

livesoft wrote:
Mon Dec 18, 2017 6:17 pm
Yes, I have a very good idea, but the thread will get locked if I tell you.
Will you likely be able to tell us tomorrow (Wednesday, Dec. 20), or perhaps right after Christmas without fear of getting locked?
Steve

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Re: Vanguard year end distributions - updated estimates

Post by Longdog » Tue Dec 19, 2017 7:57 am

InvestorNewb wrote:
Tue Dec 19, 2017 7:39 am
It's December 19th and I don't see the amounts posted for the ETFs.
They won't be posted until after they are formally declared. Most likely won't show up online until the ex-dividend date for each ETF.
Steve

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Re: Vanguard year end distributions - updated estimates

Post by InvestorNewb » Tue Dec 19, 2017 8:52 am

Longdog wrote:
Tue Dec 19, 2017 7:57 am
InvestorNewb wrote:
Tue Dec 19, 2017 7:39 am
It's December 19th and I don't see the amounts posted for the ETFs.
They won't be posted until after they are formally declared. Most likely won't show up online until the ex-dividend date for each ETF.
The PDF lists today (12/19) as the declaration date for VTI, VXUS, and VNQ:
https://personal.vanguard.com/pdf/YEETF_122017.pdf

I'm convinced that when I first read the PDF on Friday, December 8th, the declaration date was 12/18 for the ETFs that I listed.

I really wish Vanguard would simply state 12/20 as the declaration date because they are never announced on the day that they are supposed to be declared. It is always on the day after and I have no idea why they do this.
My Portfolio: VTI [US], VXUS [Int'l], VNQ [REIT], VCN [Canada] (largest to smallest)

livesoft
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Re: Vanguard year end distributions - updated estimates

Post by livesoft » Tue Dec 19, 2017 9:50 am

I discussed ETF distributions more than a week ago: viewtopic.php?p=3655019#p3655019
Many of the payable dates will be 12/27 or later.

Declaration date is not the same as ex-dividend date, too.
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jainn
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Re: Vanguard year end distributions - updated estimates

Post by jainn » Tue Dec 19, 2017 11:38 am

Looking at US Total Stock Index....declaration/record date is today.

If we sell shares today, do we effectively not own the shares for the declaration/record date, and hence do not receive the dividend on those shares and the related tax implications in a taxable account?

Does the date count what shares you own the morning of, or at close of business?

Thanks!

livesoft
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Re: Vanguard year end distributions - updated estimates

Post by livesoft » Tue Dec 19, 2017 12:52 pm

jainn wrote:
Tue Dec 19, 2017 11:38 am
Looking at US Total Stock Index....declaration/record date is today.
What ticker symbol are you writing about? Things are different today for mutual fund and ETF.
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Re: Vanguard year end distributions - updated estimates

Post by jainn » Tue Dec 19, 2017 1:29 pm

livesoft wrote:
Tue Dec 19, 2017 12:52 pm
jainn wrote:
Tue Dec 19, 2017 11:38 am
Looking at US Total Stock Index....declaration/record date is today.
What ticker symbol are you writing about? Things are different today for mutual fund and ETF.

Sorry, VTSAX us total stock admiral mutual fund.

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Re: Vanguard year end distributions - updated estimates

Post by livesoft » Tue Dec 19, 2017 1:45 pm

If you sell before or on the Record Date, then you will not own them at 4 pm on the Record Date and will not get the distribution.
viewtopic.php?t=65205
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jainn
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Re: Vanguard year end distributions - updated estimates

Post by jainn » Tue Dec 19, 2017 1:59 pm

livesoft wrote:
Tue Dec 19, 2017 1:45 pm
If you sell before or on the Record Date, then you will not own them at 4 pm on the Record Date and will not get the distribution.
viewtopic.php?t=65205
thank you. I just finished reading the other thread you referenced too, much appreciated, livesoft!

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Re: Vanguard year end distributions - updated estimates

Post by TIAX » Sat Jan 27, 2018 2:41 pm

I see that in the final QDI figures, the Total Stock Market Index included 94.78% QDI. It seems to me that since the statute uses the language "95 percent" without a decimal point or trailing zeros, 94.78% could appropriately be rounded to 95%.

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Re: Vanguard year end distributions - updated estimates

Post by Doc » Sat Jan 27, 2018 3:36 pm

TIAX wrote:
Sat Jan 27, 2018 2:41 pm
I see that in the final QDI figures, the Total Stock Market Index included 94.78% QDI. It seems to me that since the statute uses the language "95 percent" without a decimal point or trailing zeros, 94.78% could appropriately be rounded to 95%.
OK, if that's what you think. But please let us know when you get your 1099-DIV.

I have no idea myself, but when it comes to the IRS I doubt that assumptions are going to get you through an audit unscathed. :wink:
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