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Vanguard Total Bond Market Index Fund Annual Report December 31

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Contents

Your Fund’s Performance at a Glance. . . . . . . . . . . . . . . . . . 1 About Your Fund’s Expenses. . . . . . . . . . . . . . . . . . . . . . . . . 2 Performance Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 Financial Statements. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

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Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

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ETF Shares

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The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.15% for Investor Shares, 0.035% for ETF Shares, 0.05% for Admiral Shares, 0.035% for Institutional Shares, 0.03% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/366).

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Cumulative Performance: December 31, 2010, Through December 31, 2020

Initial Investment of $10,000

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Final Value of a $10,000 Investment
One Year
Five Years
Ten Years

Total Bond Market Index Fund

  • Investor Shares
  • 7.61%

7.75
4.36% 4.53
3.69% 3.89
$14,361
14,644
Bloomberg Barclays U.S. Aggregate Float Adjusted Index

  • •
  • •
  • •
  • •
  • •
  • •
  • •
  • •

Final Value of a $10,000 Investment
One Year
Five Years
Ten Years

Total Bond Market Index Fund

  • ETF Shares Net Asset Value
  • 7.71%

7.69
4.46% 4.45
3.79% 3.80
$14,510
14,521 14,644
Total Bond Market Index Fund ETF Shares Market Price

Bloomberg Barclays U.S. Aggregate Float

  • Adjusted Index
  • 7.75
  • 4.53
  • 3.89

See Financial Highlights for dividend and capital gains information.

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Final Value of a $10,000 Investment
One Year
Five Years
Ten Years

Total Bond Market Index Fund Admiral

  • Shares
  • 7.72%

7.75
4.46% 4.53
3.80% 3.89
$14,514
14,644
Bloomberg Barclays U.S. Aggregate Float Adjusted Index

Final Value of a $5,000,000
Investment
One Year
Five Years
Ten Years

Total Bond Market Index Fund Institutional

  • Shares
  • 7.74%

7.75
4.47% 4.53
3.81% 3.89
$7,268,208
7,321,867
Bloomberg Barclays U.S. Aggregate Float Adjusted Index

Final Value
One Year

  • Five
  • Ten of a $100,000,000

  • Years
  • Years
  • Investment

$145,531,321
146,437,330
Total Bond Market Index Fund Institutional

  • Plus Shares
  • 7.74%

7.75
4.48% 4.53
3.82% 3.89
Bloomberg Barclays U.S. Aggregate Float Adjusted Index

Final Value of a
$3,000,000,000
Investment
Since
Inception
(6/24/2016)
One Year

Total Bond Market Index Fund Institutional

  • Select Shares
  • 7.76%

7.75
3.88% 3.92
$3,562,839,000
3,568,946,700
Bloomberg Barclays U.S. Aggregate Float Adjusted Index

"Since Inception" performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).

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One Year

  • Five
  • Ten

Years

24.33% 24.40
Years
Total Bond Market Index Fund ETF Shares Market

  • Price
  • 7.69%

7.71
45.21% 45.10
Total Bond Market Index Fund ETF Shares Net Asset Value

Bloomberg Barclays U.S. Aggregate Float Adjusted

  • Index
  • 7.75
  • 24.81
  • 46.44

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.

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The table reflects the fund's investments, except for short-term investments. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.

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  • ꢊꢕꢁꢂꢕꢄꢄꢀ

ꢂꢄꢕꢁꢂꢕꢄꢄꢀ ꢂꢄꢕꢂꢊꢕꢄꢄꢀ ꢂꢅꢕꢂꢊꢕꢄꢄꢀ ꢂꢂꢕꢁꢅꢕꢄꢊꢀ
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ꢂꢂꢕꢁꢅꢕꢄꢈꢀ ꢂꢂꢕꢂꢊꢕꢊꢅꢀ
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ꢎꢎꢄꢃꢁꢄꢊꢀ ꢎꢈꢁꢃꢁꢄꢊꢀ ꢎꢈꢌꢃꢅꢑꢅꢀ ꢎꢈꢄꢃꢊꢈꢅꢀ ꢎꢆꢑꢃꢈꢆꢅꢀ ꢆꢊꢊꢃꢂꢁꢂꢀ ꢌꢂꢊꢃꢊꢑꢅꢀ ꢎꢅꢆꢃꢑꢑꢅꢀ ꢎꢑꢆꢃꢎꢎꢅꢀ ꢆꢆꢎꢃꢈꢑꢊꢀ ꢆꢆꢈꢃꢅꢅꢊꢀ ꢆꢑꢄꢃꢑꢄꢆꢀ ꢎꢂꢅꢃꢆꢎꢂꢀ ꢈꢂꢆꢃꢈꢂꢂꢀ ꢎꢂꢊꢃꢅꢁꢊꢀ ꢈꢌꢆꢃꢄꢂꢂꢀ ꢆꢆꢈꢃꢑꢄꢅꢀ
ꢌꢅꢄꢃꢑꢊꢂꢀ ꢎꢌꢆꢃꢊꢌꢅꢀ ꢎꢌꢑꢃꢄꢌꢑꢀ ꢎꢎꢂꢃꢆꢅꢅꢀ ꢎꢆꢊꢃꢆꢈꢁꢀ ꢎꢆꢑꢃꢈꢊꢑꢀ ꢎꢈꢈꢃꢁꢁꢅꢀ ꢎꢈꢂꢃꢅꢈꢄꢀ ꢎꢑꢁꢃꢈꢑꢂꢀ ꢎꢁꢑꢃꢂꢄꢁꢀ ꢎꢄꢊꢃꢄꢁꢊꢀ ꢎꢂꢅꢃꢎꢆꢂꢀ ꢎꢂꢅꢃꢄꢆꢎꢀ ꢎꢂꢅꢃꢄꢁꢄꢀ ꢎꢅꢌꢃꢊꢊꢎꢀ ꢎꢅꢅꢃꢅꢊꢅꢀ ꢆꢌꢑꢃꢈꢂꢌꢀ
ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ ꢅꢇꢁꢉꢀ
6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢄꢇꢂꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢈꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢁꢆꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢅꢇꢁꢆꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢄꢇꢎꢆꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢂꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢈꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢈꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢄꢇꢊꢅꢅꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢈꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢄꢇꢄꢊꢅꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢅꢇꢂꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢁꢇꢅꢅꢅꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢅꢇꢊꢅꢅꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢄꢇꢈꢄꢊꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀ/PUFꢕ#POEꢀꢀ ꢂꢇꢆꢊꢅꢉꢀ 6OJUFEꢀ4UBUFTꢀ5SFBTVSZꢀꢀ

  • /PUFꢕ#POEꢀ
  • ꢅꢇꢂꢄꢊꢉoꢎꢇꢂꢄꢊꢉꢀ ꢄꢕꢂꢊꢕꢄꢂoꢄꢕꢂꢊꢕꢊꢅꢀ
  • ꢈꢎꢃꢈꢅꢌꢃꢆꢅꢑꢀ ꢆꢊꢃꢌꢆꢈꢃꢁꢈꢂꢀ
  • ꢄꢊꢇꢅꢉꢀ

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  • ꢐꢉꢂꢃꢄꢀ

"HFODZꢀ#POETꢀBOEꢀ/PUFT

ꢄꢀ 'FEFSBMꢀ)PNFꢀ-PBOꢀꢀ
.PSUHBHFꢀ$PSQꢇꢀ
ꢄꢀ 'FEFSBMꢀ/BUJPOBMꢀꢀ
.PSUHBHFꢀ"TTOꢇꢀ
ꢅꢇꢂꢄꢊꢉoꢈꢇꢆꢊꢅꢉꢀ ꢂꢕꢂꢁꢕꢄꢄoꢆꢕꢂꢊꢕꢁꢄꢀ ꢅꢇꢄꢊꢅꢉoꢆꢇꢄꢊꢅꢉꢀ ꢂꢅꢕꢆꢕꢄꢂoꢆꢕꢂꢊꢕꢁꢆꢀ
ꢂꢃꢂꢅꢎꢃꢊꢁꢁꢀ ꢂꢃꢆꢂꢁꢃꢌꢑꢊꢀ
ꢂꢃꢄꢑꢅꢃꢊꢑꢊꢀ ꢂꢃꢎꢄꢈꢃꢆꢂꢄꢀ
ꢅꢇꢑꢉꢀ ꢅꢇꢈꢉꢀ

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  • "HFODZꢀ#POETꢀBOEꢀꢀ

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  • ꢅꢇꢊꢉꢀ

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  • ꢐꢇꢐꢏꢅꢇꢅꢐꢉꢀ
  • ꢆꢂꢃꢄꢀ

$POWFOUJPOBMꢀ.PSUHBHFꢊ#BDLFEꢀ4FDVSJUJFT

ꢄꢃꢁꢃꢑꢀ'BOOJFꢀ.BFꢀ1PPMꢀ ꢂꢇꢊꢅꢅꢉoꢌꢇꢊꢅꢅꢉꢀ ꢄꢃꢁꢀ 'SFEEJFꢀ.BDꢀ(PMEꢀ1PPMꢀ ꢄꢇꢅꢅꢅꢉoꢂꢅꢇꢅꢅꢅꢉꢀ
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ꢄꢇꢅꢅꢅꢉꢀ ꢂꢕꢂꢕꢊꢂꢀ
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ꢁꢀ (JOOJFꢀ.BFꢀ*ꢀ1PPMꢀ ꢁꢃꢑꢀ (JOOJFꢀ.BFꢀ**ꢀ1PPMꢀꢀ ꢁꢃꢑꢀ (JOOJFꢀ.BFꢀ**ꢀ1PPMꢀ ꢄꢃꢁꢃꢑꢀ6.#4ꢀ1PPMꢀꢀ
ꢆꢊꢑꢃꢊꢂꢂꢀ ꢆꢆꢅꢃꢊꢈꢅꢀ
ꢎꢄꢑꢃꢊꢆꢎꢀ ꢎꢅꢊꢃꢊꢊꢈꢀ
ꢄꢇꢅꢅꢅꢉoꢎꢇꢊꢅꢅꢉꢀ ꢆꢕꢄꢅꢕꢄꢁoꢂꢕꢂꢕꢊꢂꢀ ꢂꢄꢃꢑꢌꢂꢃꢁꢎꢑꢀ ꢂꢁꢃꢁꢆꢎꢃꢎꢎꢄꢀ
ꢄꢇꢅꢅꢅꢉꢀ ꢄꢇꢊꢅꢅꢉꢀ ꢄꢇꢅꢅꢅꢉꢀ
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ꢎꢊꢌꢃꢊꢑꢌꢀ
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ꢎꢌꢎꢃꢌꢈꢌꢀ
ꢄꢃꢁꢃꢑꢀ6.#4ꢀ1PPMꢀꢀ ꢄꢃꢁꢃꢑꢀ6.#4ꢀ1PPMꢀꢀ

  • ꢄꢃꢁꢃꢑꢀ6.#4ꢀ1PPMꢀ
  • ꢂꢇꢊꢅꢅꢉoꢈꢇꢅꢅꢅꢉꢀ

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ꢆꢕꢂꢕꢄꢈoꢂꢕꢂꢕꢊꢂꢀ
ꢂꢂꢕꢂꢕꢁꢁoꢂꢕꢂꢕꢊꢂꢀ
ꢎꢃꢑꢊꢂꢃꢎꢑꢆꢀ ꢂꢃꢈꢑꢆꢃꢈꢑꢌꢀ
ꢎꢃꢌꢂꢂꢃꢎꢊꢊꢀ

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  • SVO-Identified Bond ETF List

    SVO-Identified Bond ETF List

    SVO-Identified Bond ETF List ETFs Eligible to be Reported as Bonds February 28, 2021 The NAIC is the authoritative source for insurance industry information. Our expert solutions support the efforts of regulators, insurers and researchers by providing detailed and comprehensive insurance information. The NAIC offers a wide range of publications in the following categories: Accounting & Reporting Special Studies Information about statutory accounting principles and Studies, reports, handbooks and regulatory the procedures necessary for fi ling financial annual research conducted by NAIC members on a statements and conducting risk-based capital variety of insurance related topics. calculations. Consumer Information Statistical Reports Important answers to common questions about auto, Valuable and in-demand insurance industry- home, health and life insurance — as well as buyer’s wide statistical data for various lines of guides on annuities, long-term care insurance and business, including auto, home, health and life Medicare supplement plans. insurance. Financial Regulation Supplementary Products Useful handbooks, compliance guides and reports on Guidance manuals, handbooks, surveys and financial analysis, company licensing, state audit research on a wide variety of issues. requirements and receiverships. Legal Capital Markets & Investment Analysis Comprehensive collection of NAIC model laws, Information regarding portfolio values and regulations and guidelines; state laws on insurance procedures for complying with NAIC reporting topics;
  • Vanguard Total Bond Market Index Fund Annual Report December 31

    Vanguard Total Bond Market Index Fund Annual Report December 31

    Annual Report]%FDFNCFS 7BOHVBSE5PUBM#POE.BSLFU*OEFY'VOE Contents Your Fund’s Performance at a Glance. 1 About Your Fund’s Expenses. 2 Performance Summary. .4 Financial Statements. 8 Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus. :PVS'VOET1FSGPSNBODFBUB(MBODF t 'PSUIFNPOUITFOEFE%FDFNCFS SFUVSOTGPS7BOHVBSE5PUBM#POE .BSLFU*OEFY'VOESBOHFEGSPNGPS*OWFTUPS4IBSFTUPGPS*OTUJUVUJPOBM 4FMFDU4IBSFT5IJTQFSGPSNBODFXBTJOMJOFXJUIUIFSFUVSOPGUIFCFODINBSL JOEFYBGUFSUBLJOHUIFDPTUTPGSVOOJOHUIFGVOEJOUPBDDPVOU t 5IFFNFSHFODFPG$07*%JOFBSMZUVSOFEJOUPBHMPCBMIFBMUIDSJTJT BOE BHHSFTTJWFBUUFNQUTUPDPOUBJOJUSFTVMUFEJOBTIBSQEPXOUVSOJOFDPOPNJDBDUJWJUZ 6OFNQMPZNFOUTQJLFE BOETFDUPSTXIFSFTPDJBMEJTUBODJOHJTOUQPTTJCMFXFSFIJUIBSE 1PMJDZNBLFSTXFSFRVJDLUPQSPWJEFSPCVTUGJTDBMBOENPOFUBSZTUJNVMVTUPCMVOUUIF QBOEFNJDTFDPOPNJDJNQBDU.BOZDFOUSBMCBOLTTMBTIFETIPSUUFSNJOUFSFTUSBUFT BOEFYQBOEFEPSFYUFOEFEBTTFUQVSDIBTFQSPHSBNT t 8JUIZJFMETGBMMJOHBOEQSJDFTSJTJOH 645SFBTVSJFTQPTUFEBSFUVSOPG .PSUHBHFCBDLFETFDVSJUJFTSFUVSOFEMFTTUIBOUIBU BTMPXNPSUHBHFSBUFTMFEUPQMFOUZ PGTVQQMZCVUDPSQPSBUFCPOETGBSFEFWFOCFUUFSUIBO5SFBTVSJFT SFUVSOJOH t #ZDSFEJURVBMJUZ MPXFSSBUFEJOWFTUNFOUHSBEFCPOETHFOFSBMMZEJECFUUFSUIBO IJHIFSSBUFEPOFTCZNBUVSJUZ CPOETXJUINBUVSJUJFTPGZFBSTPSNPSFTJHOJGJDBOUMZ PVUQFSGPSNFE .BSLFU#BSPNFUFS "WFSBHF"OOVBM5PUBM3FUVSOT
  • Stock Index Investments

    Stock Index Investments

    Stock Index Investments Index US ID EM Mutual Name expense Fund or ETF ratio* S&P500 Mutual Fidelity ZERO Large Cap Index (FNILX) -0- fund Fidelity 500 Index (FXAIX) 0.015% Schwab S&P500 Index (SWPPX) 0.02% Vanguard 500 Index, Admiral shares (VFIAX) 0.04% ETF iShares Core S&P500 (IVV) 0.04% Vanguard S&P500 (VOO) 0.03% Total market Mutual Fidelity ZERO Total Market Index (FZROX) -0- fund Fidelity Total Market Index (FSKAX) 0.015% Schwab Total Stock Market Index (SWTSX) 0.03% Vanguard Total Stock Market Index, Admiral 0.04% shares (VTSAX) ETF iShares Core S&P Total US Stock Market (ITOT) 0.03% Schwab Multi-cap Core (SCHB) 0.03% Vanguard Total Stock Market (VTI) 0.03% Extended market Mutual Fidelity ZERO Extended Market Index (FZIPX) -0- (small- and mid- fund Fidelity Extended Market Index (FSMAX) 0.045% cap) Vanguard Extended Market Index, Admiral 0.07% shares (VEXAX) ETF Vanguard Extended Market (VXF) 0.07% International Mutual Fidelity International Index (FSPSX) 0.035% (no US) fund Schwab International Index (SWISX) 0.06% —Developed Vanguard Developed Markets Index, Admiral 0.07% countries only shares (VTMGX) ETF iShares Core MSCI International Developed 0.05% Markets (IDEV) SPDR Portfolio Developed World Ex US (SPDW) 0.04% Vanguard FTSE Developed Markets (VEA) 0.05% International Mutual Fidelity ZERO International Index (FZILX) -0- (no US) fund Fidelity Total International Index (FTIHX) 0.06% — Developed + Emerging ETF Vanguard Total International Stock (VXUS) 0.09% Global (+US) Mutual Vanguard Total World Stock Index, Admiral 0.10% fund shares (VTWAX) ETF Vanguard Total World Stock (VT) 0.09% Emerging markets Mutual Fidelity Emerging Markets Index (FPADX) 0.075% fund ETF Schwab Emerging Markets (SCHE) 0.13% Vanguard FTSE Emerging Markets (VWO) 0.12% This information is for educational purposes only and is not intended to be investment advice.
  • SVO-Identified Bond ETF List

    SVO-Identified Bond ETF List

    SVO-Identified Bond ETF List ETFs Eligible to be Reported as Bonds December 31, 2020 The NAIC is the authoritative source for insurance industry information. Our expert solutions support the efforts of regulators, insurers and researchers by providing detailed and comprehensive insurance information. The NAIC offers a wide range of publications in the following categories: Accounting & Reporting Special Studies Information about statutory accounting principles and Studies, reports, handbooks and regulatory the procedures necessary for fi ling financial annual research conducted by NAIC members on a statements and conducting risk-based capital variety of insurance related topics. calculations. Consumer Information Statistical Reports Important answers to common questions about auto, Valuable and in-demand insurance industry- home, health and life insurance — as well as buyer’s wide statistical data for various lines of guides on annuities, long-term care insurance and business, including auto, home, health and life Medicare supplement plans. insurance. Financial Regulation Supplementary Products Useful handbooks, compliance guides and reports on Guidance manuals, handbooks, surveys and financial analysis, company licensing, state audit research on a wide variety of issues. requirements and receiverships. Legal Capital Markets & Investment Analysis Comprehensive collection of NAIC model laws, Information regarding portfolio values and regulations and guidelines; state laws on insurance procedures for complying with NAIC reporting topics;
  • Vanguard Total Bond Market Index Fund Summary Prospectus

    Vanguard Total Bond Market Index Fund Summary Prospectus

    Vanguard Total Bond Market Index Fund Summary Prospectus April 29, 2021 Investor Shares Vanguard Total Bond Market Index Fund Investor Shares (VBMFX) The Fund’s statutory Prospectus and Statement of Additional Information dated April 29, 2021, as may be amended or supplemented, are incorporated into and made part of this Summary Prospectus by reference. Before you invest, you may want to review the Fund’s Prospectus, which contains more information about the Fund and its risks. You can find the Fund’s Prospectus and other information about the Fund online at www.vanguard.com/prospectus and https://personal.vanguard.com/ us/literature/reports/MFs. You can also obtain this information at no cost by calling 800-662-7447 or by sending an email request to [email protected]. The Securities and Exchange Commission (SEC) has not approved or disapproved these securities or passed upon the adequacy of this prospectus. Any representation to the contrary is acriminaloffense. Investment Objective The Fund seeks to track the performance of a broad, market-weighted bond index. Fees and Expenses The following table describes the fees and expenses you may pay if you buy, hold, and sell Investor Shares of the Fund. You may pay other fees, such as brokerage commissions and other fees to financial intermediaries, which are not reflected in the table and example below. Shareholder Fees (Fees paid directly from your investment) Sales Charge (Load) Imposed on Purchases None Purchase Fee None Sales Charge (Load) Imposed on Reinvested Dividends None Redemption Fee None Account Service Fee Per Year (for certain fund account balances below $10,000) $20 Annual Fund Operating Expenses (Expenses that you pay each year as a percentage of the value of your investment) Management Fees 0.14% 12b-1 Distribution Fee None Other Expenses 0.01% Total Annual Fund Operating Expenses 0.15% 1 Example The following example is intended to help you compare the cost of investing in the Fund’s Investor Shares with the cost of investing in other mutual funds.
  • Are VIX Futures Etps Effective Hedges? Geng Deng, Phd, FRM, Craig Mccann, Phd, CFA, and Olivia Wang, Phd 1

    Are VIX Futures Etps Effective Hedges? Geng Deng, Phd, FRM, Craig Mccann, Phd, CFA, and Olivia Wang, Phd 1

    Are VIX Futures ETPs Effective Hedges? Geng Deng, PhD, FRM, Craig McCann, PhD, CFA, and Olivia Wang, PhD 1 Exchange-traded products (ETPs) linked to futures contracts on the CBOE S&P 500 Volatility Index (VIX) have grown in volume and assets under management in recent years, in part because of their perceived potential to hedge against stock market losses. In this paper we study whether VIX-related ETPs can effectively hedge a portfolio of stocks. We find that while the VIX increases when large stock market losses occur, ETPs which track short term VIX futures indices are not effective hedges for stock portfolios because of the negative roll yield accumulated by such futures-based ETPs. ETPs which track medium term VIX futures indices suffer less from negative roll yield and thus appear somewhat better hedges for stock portfolios. Our findings cast doubt on the potential diversification benefit from holding ETPs linked to VIX futures contracts. We also study the effectiveness of VIX ETPs in hedging Leveraged ETFs (LETFs) in which rebalancing effects lead to significant losses for buy-and-hold investors during periods of high volatility. We find that VIX futures ETPs are usually not effective hedges for LETFs. I. Introduction Exchange-traded products (ETPs) linked to futures contracts on the CBOE S&P 500 Volatility Index (VIX) first launched 2009 have become one of the most heavily traded ETP types. The VIX is an estimate of the future stock market volatility calculated by the Chicago Board Options Exchange (CBOE) based on prices of put and call options on the S&P 500 Index.
  • Etfs and Asset Allocation

    Etfs and Asset Allocation

    ETFs and Asset Allocation Michael Rawson, CFA ETF Analyst [email protected] © 2006 Morningstar, Inc. All rights reserved. <#> Increasing Acceptance of ETFs “Anticipating that the U.S. Federal Reserve will resume large-scale purchases of U.S. Treasury bonds and confronted with strong domestic political pressure to spur growth and restrain a rising yen, the Japanese central bank launched a bond-buying program. It said it would spend 5 trillion yen ($60 billion) to buy government bonds, corporate IOUs, real-estate investment trust funds and exchange- traded funds—the latter two a departure from past.” From The Wall Street Journal 10/6/2010 2 © 2006 Morningstar, Inc. All rights reserved. 1 Agenda × Introduction to ETFs × Overview of ETF Market × ETFs vs. Mutual Funds × Advantages and Disadvantages × Asset Allocation × Strategic × Tactical × Tactical Investing Ideas × List of ETF Providers with a wide selection of funds 3 ETFs: A Growth Story × Industry evolving beyond domestic equity × Democratization of “difficult-to-access” asset classes Source: Morningstar Direct Fund Flows 4 © 2006 Morningstar, Inc. All rights reserved. 2 iShares leads, but Vanguard is gaining… 5 Ten Largest ETFs Fund Ticker Total Net Assets (Billion) Standard & Poor's Depositary Receipts SPY 78 SPDR Gold Trust GLD 55 iShares MSCI Emerging Markets Index Fund EEM 45 Vanguard Emerging Markets Stock Index VWO 36 iShares MSCI EAFE Index EFA 35 iShares S&P 500 Index IVV 23 PowerShares QQQ Trust QQQQ 22 iShares Barclays TIPS Bond TIP 20 iShares iBoxx $ Invest Grade Corp Bond LQD 15 Vanguard Total Stock Market Index Fund VTI 15 6 © 2006 Morningstar, Inc.