Vanguard Government Index Funds Benchmark Change - Update

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
Post Reply
User avatar
Topic Author
Doc
Posts: 10606
Joined: Sat Feb 24, 2007 12:10 pm
Location: Two left turns from Larry

Vanguard Government Index Funds Benchmark Change - Update

Post by Doc »

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.)
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.
User avatar
Topic Author
Doc
Posts: 10606
Joined: Sat Feb 24, 2007 12:10 pm
Location: Two left turns from Larry

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc »

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."
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.
User avatar
jhfenton
Posts: 4754
Joined: Sat Feb 07, 2015 10:17 am
Location: Ohio

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by jhfenton »

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
dkturner
Posts: 1936
Joined: Sun Feb 25, 2007 6:58 pm

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by dkturner »

On Friday Vanguard should release the November 30 portfolio construction information for all of its funds.
User avatar
Topic Author
Doc
Posts: 10606
Joined: Sat Feb 24, 2007 12:10 pm
Location: Two left turns from Larry

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc »

jhfenton wrote: Wed Dec 13, 2017 12:02 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.
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.
User avatar
jhfenton
Posts: 4754
Joined: Sat Feb 07, 2015 10:17 am
Location: Ohio

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by jhfenton »

Doc wrote: Wed Dec 13, 2017 12:46 pm
jhfenton wrote: Wed Dec 13, 2017 12:02 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.
User avatar
triceratop
Posts: 5838
Joined: Tue Aug 04, 2015 8:20 pm
Location: la la land

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by triceratop »

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.
"To play the stock market is to play musical chairs under the chord progression of a bid-ask spread."
User avatar
Topic Author
Doc
Posts: 10606
Joined: Sat Feb 24, 2007 12:10 pm
Location: Two left turns from Larry

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc »

dkturner wrote: Wed Dec 13, 2017 12:09 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?
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.
dkturner
Posts: 1936
Joined: Sun Feb 25, 2007 6:58 pm

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by dkturner »

Doc wrote: Sat Dec 16, 2017 11:27 am
dkturner wrote: Wed Dec 13, 2017 12:09 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?
User avatar
Topic Author
Doc
Posts: 10606
Joined: Sat Feb 24, 2007 12:10 pm
Location: Two left turns from Larry

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc »

dkturner wrote: Sun Dec 17, 2017 1:21 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.
User avatar
Topic Author
Doc
Posts: 10606
Joined: Sat Feb 24, 2007 12:10 pm
Location: Two left turns from Larry

Re: Vanguard Government Index Funds Benchmark Change - Update

Post by Doc »

Looks like they have completed the transition. As of 12/31/17 the holdings were all US Treasury at least for the short term fund. They had 91 bonds in the fund compared to 93 in the index.

It looks like they made the transition on December 13. There was no cap gains distribution in December so I guess they did ok there also.

**Bloomberg Barclays U.S. 1-3 Year Government Float Adjusted Index through December 12, 2017; Bloomberg Barclays U.S. Treasury 1-3 Year Index thereafter.

I didn't bother to look at the intermediate and long term funds.

FWIW I sold all my Vanguard Treasury funds this month and replaced them with non-Vanguard ETF's and or actual Treasury notes. I just get frustrated with changing the index used for index funds every few years. How is changing your index any different from low turnover, low fee active management?
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.
Post Reply