Vanguard stock index fund turnover in 2017

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.

In 2017 the CRSP index funds had lower turnover rates  in most style categories when compared to the Russell and S&P funds. This continues a trend seen in  2014 ,  2015 , and 2016 data. 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 Russell 1000 growth and value funds, as well as the Russell 2000 and Russell 2000 growth and value funds. Vanguard does not provide 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 consistently ranked among the lowest turnover funds. The low turnover rates are especially notable in the growth and value style indexes. 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.

2017 Turnover rates

Asset class CRSP Russell S&P
Large Cap 5.10% 10.60% 4.10%
Large Growth 10.70% 21.20% 18.80%
Large Value 6.80% 22.30% 16.30%
Mid Cap 15.00% 12.60%
Mid Growth 20.70% 39.60%
Mid Value 20.40% 38.70%
Small Cap 14.30% 22.80% 22.30%
Small Growth 27.00% 34.30% 48.10%
Small Value 18.20% 36.00% 45.70%

 Average turnover

The four  year average turnover for each fund category is tabulated below:

Average turnover rates (2014 -2017)

Asset class CRSP Russell S&P
Large Cap 4.28% 7.55% 3.55%
Large Growth 9.93% 17.30% 20.80%
Large Value 6.95% 18.60% 21.45%
Mid Cap 14.00% 12.40%
Mid Growth 20.35% 40.75%
Mid Value 18.70% 36.60%
Small Cap 12.33% 19.28% 16.08%
Small Growth 25.75% 34.10% 50.83%
Small Value 16.05% 32.75% 40.73%

Data compiled on  Vanguard US stock index fund turnover google spreadsheet.

About

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

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