Vanguard US index funds turnover rates in 2015

Vanguard’s suite of U.S. stock index funds are benchmarked to CRSP indexes. In addition, Vanguard offers sets of U.S. exchange-traded funds benchmarked to Russell and S&P indexes.

As in 2014,  the CRSP index funds once again generally provided lower turnover rates than the Russell and S&P funds.

Low turnover rates can lead to lower fund transaction costs and can also help reduce the realization of taxable capital gains.

The fiscal years for the Russell and S&P index funds end in August, while the CRSP index funds’ fiscal year ends in December.

The funds include the CRSP large cap, mid cap, and small cap index funds, along with the corresponding growth and value funds. The Russell funds comprise the Russell 1000 and R1000 growth and value funds, as well as the Russell 2000 and R2000 growth and value funds. Vanguard does not provided Russell mid-cap funds. The S&P funds are indexed to the S&P 500, S&P 400, and S&P 600 indexes, as well as to the growth and value indexes for each capitalization band.

As can be seen in the following table, CRSP based index funds predominately ranked among the lowest turnover funds. The low turnover rates are especially notable in the growth and value style indexes.

2015 Turnover rates

Asset class CRSP Russell S&P
Large Cap 4% 4% 3%
Large Growth 9% 15% 21%
Large Value 8% 18% 23%
Mid Cap 15% 12%
Mid Growth 23% 47%
Mid Value 20% 47%
Small Cap 11% 19% 11%
Small Growth 23% 34% 63%
Small Value 16% 28% 43%

The factor most likely behind these lower turnover rates is the technique of “packeting” which is an exclusive methodological feature of the CRSP index suite. Packeting is a procedure which is applied to stock migration across both capitalization and style dimensions. Once a stock migrates out of transition band, a packet of 50% of the security is shifted. If the security stays beyond the outer threshold in the following period, the remaining 50% is moved.


Barry Barnitz, administrator of both the Bogleheads® wiki and of Financial Page, a Bogleheads® blog

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March 2016
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