Vanguard municipal bond fund tracking error

Tracking error is one means of measuring active manager performance against an appropriate market index.

Vanguard’s national municipal bond funds are actively managed, defined asset class funds. The funds include four municipal bond funds structured across four bond maturity levels: short, limited, intermediate, and long term bonds. In addition to these four portfolios, Vanguard manages state specific municipal bond funds and a high yield municipal bond fund.

Since 2000 Vanguard, in its annual reports, has reported the “most comparative benchmark” for each of the funds; prior to 2000 Vanguard measured all funds against the broad Municipal Bond Index. In 2012 Vanguard changed each fund’s benchmark index.

Table. Municipal Bond Market
Fund Former Benchmark New Benchmark Retrofitted time series
Vanguard Short Term Municipal Fund Barclays 3 year Municipal Bond Index Barclays 1 year Municipal Bond Index 1998-forward
Vanguard Limited Term Municipal Fund Barclays 3 year Municipal Bond Index Barclays 1-5 year Municipal Bond Index 2001-forward
Vanguard Intermediate Term Municipal Fund Barclays 7 year Municipal Bond Index Barclays 1-15 year Municipal Bond Index 2003-forward
Vanguard Long Term Municipal Fund Barclays 10 year Municipal Bond Index Barclays Municipal Bond Index 1998-forward

Short-Term Tax Exempt

Historical annual tracking error for investor and admiral shares. Vanguard used a longer duration benchmark for the fund from 1993 – 1997.

Limited-Term Tax Exempt

Historical annual tracking error for investor and admiral shares.

Intermediate-Term Tax Exempt

Historical annual tracking error for investor and admiral shares.

Long-Term Tax Exempt

Historical annual tracking error for investor and admiral shares

About

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

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Posted in Bonds, Mutual funds
March 2017
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