Mortgage-Backed Securities Index Fund Institutional Shares (VMBIX)

Also available in 

more share classes

, including an 

ETF

.

Indexed to Barclays US MBS Float Adj Index

  Fact sheet (12/31/2013)

Summary of this fund

Vanguard Mortgage-Backed Securities Index Fund seeks to track the performance of a market-weighted U.S mortgage-backed securities index with a intermediate-term dollar-weighted average maturity.

Investment approach

  • Seeks to track the performance of the Barclays U.S. Mortgage Backed Securities Float Adjusted Index.
  • Diversified exposure to the intermediate-term U.S. mortgage-backed securities market.
  • Follows a passively managed, index-sampling approach.
  • Provides current income with high credit quality.

About the benchmark

  • The Barclays U.S. Mortgage Backed Securities Float Adjusted Index measures the investment return of U.S. agency mortgage-backed pass through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). To be included in the index, pool aggregates must have at least $250 million currently outstanding and a weighted average maturity of at least 1 year.

PRICE AND DISTRIBUTIONS

Price and distributions

as of 04/17/2014

NAV

The market value of a mutual fund's total assets, minus liabilities, divided by the number of shares outstanding. The value of a single share is called its share value or share price.

Change $/%
$28.06
– $0.10 negative change   – 0.36%
SEC yield

A non-money market fund's SEC yield is based on a formula mandated by the Securities and Exchange Commission (SEC) that calculates a fund's hypothetical annualized income, as a percentage of its assets. A security's income, for the purposes of this calculation, is based on the current market yield to maturity (in the case of bonds) or projected dividend yield (for stocks) of the fund's holdings over a trailing 30 day period. This hypothetical income will differ (at times, significantly) from the fund's actual experience; as a result, income distributions from the fund may be higher or lower than implied by the SEC yield.



The SEC yield for a money market fund is calculated by annualizing its daily income distributions for the previous seven days.

1.72% J

BASED ON HOLDINGS' ACTUAL INCOME FOR THE PRIOR 30 DAYS;DISTRIBUTION MAY DIFFER

Distribution yield

The fund's current monthly income dividend per share, annualized (by dividing by the number of days in the month and multiplying by 365) as a percentage of the fund's average NAV during the month.

 as of —

KEY FUND FACTS

Key fund facts

Expense ratio
0.09% as of 12/20/2013
Lipper peer average
expense ratio
0.87% as of 12/31/2013
Designation
Intermediate Government
Inception on
10/31/2013
Earliest share class
inception on
11/19/2009
Total net assets

This represents the total net assets for all share classes of Vanguard's U.S. funds that share the same investment strategy, management and holdings, but does not include any collective trusts sharing the same investment mandate.

$803.4 million as of 03/31/2014
Net assets for
VMBIX
 
$107.1 million as of 03/31/2014
Holdings 
443 as of 03/31/2014
Management style
Index
Benchmark
Barclays US MBS Float Adj Index (LMBGTRUU)
Turnover rate 
—(Fiscal year-end  08/31/2013)

Fees and minimums

Fees and minimums

Purchase fee:

A fee charged by some mutual funds when an investor buys shares. This fee is not a sales charge or load because it is paid directly to the fund to offset the costs of trading certain securities.

None
Redemption fee:

A fee charged by some mutual funds when an investor sells shares. A redemption fee differs from a back-end load because the money is paid back into the fund. Many funds charge redemption fees only when shares are bought and then sold within a specific period of time, generally in an effort to discourage market-timing and short-term trading. Some brokers also charge their clients redemption fees for the sale of securities.

None
Minimum investment:
$5,000,000

ETF Knowledge Center™   

STYLEBOX

Stylebox

Bond
Portfolio of mortgage-backed securities.



Expected range
Central tendency

About our styleboxes  

Objective

Vanguard Mortgage-Backed Securities Index Fund seeks to track the performance of a market-weighted U.S mortgage-backed securities index with a intermediate-term dollar-weighted average maturity.

Investment approach

  • Seeks to track the performance of the Barclays U.S. Mortgage Backed Securities Float Adjusted Index.
  • Diversified exposure to the intermediate-term U.S. mortgage-backed securities market.
  • Follows a passively managed, index-sampling approach.
  • Provides current income with high credit quality.

About the benchmark

  • The Barclays U.S. Mortgage Backed Securities Float Adjusted Index measures the investment return of U.S. agency mortgage-backed pass through securities issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). To be included in the index, pool aggregates must have at least $250 million currently outstanding and a weighted average maturity of at least 1 year.

Total returns

as of 03/31/2014

View as:

as of 03/31/2014

View as:
2%
1
0%
 
 
  YTD 1 year 5 year 10 year Since inception

10/31/2013

NAV *
1.60% 0.57%
Benchmark

Barclays U.S. MBS Float Adjusted Index

**
1.49%

Note: Fee adjusted for mutual funds where applicable.

Note: This fund does not have a long enough history to provide annual performance data.

** Includes U.S. agency mortgage-backed pass-through securities.

The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so investors' shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited.


Distribution by credit quality(% of fund) as of 03/31/2014

(% of fund) as of 03/31/2014
  Credit rating  VMBIX
U.S. Government 100.0%
Aaa 0.0%
Aa 0.0%
A 0.0%
Baa 0.0%
< Baa 0.0%
0%
100%
Total 100.0%
* Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “NR” is used to classify securities for which a rating is not available. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings for each issue are obtained from Barclays using ratings derived from Moody’s Investors Service, Fitch Ratings, and Standard & Poor’s. When ratings from all three agencies are available, the median rating is used. When ratings are available from two of the agencies, the lower rating is used. When one rating is available, that rating is used.

Fundamentals

Bondas of 03/31/2014 VMBIX Benchmark

Barclays U.S. MBS Float Adjusted Index

Number of bonds 443 765
Yield to maturity 3.04% 3.05%
Short-term reserves 0.00% N/A
Average duration 5.1 (years) 5.2 (years)
Average maturity 7.1 (years) 7.2 (years)
Average coupon 4.03% 4.02%

Risk and volatility as of 03/31/2014

as of 03/31/2014
  VMBIX Benchmark

Barclays U.S. MBS Float Adjusted Index

R-squared N/A 0.99
Beta N/A 1.07
Alpha – 0.02 N/A
Standard deviation 2.21% 2.05%
Sharpe ratio 1.19 1.34

Risk and volatility are based on the share class with the earliest inception date.

Risk measures are calculated from trailing 36-month fund returns relative to the associated benchmarks.

An investment in the fund could lose money over short or even long periods. You should expect the fund’s share price and total return to fluctuate within a wide range, like the fluctuations of the overall bond market. The fund’s performance could be hurt by:

  • Interest rate risk: The chance that bond prices overall will decline because of rising interest rates.
  • Income risk: The chance that the fund’s income will decline because of falling interest rates.
  • Prepayment risk: The chance that during periods of falling interest rates, homeowners will refinance their mortgages before their maturity dates, resulting in prepayment of mortgage securities held by the fund. The fund would then lose potential price appreciation and would be forced to reinvest the unanticipated proceeds at lower interest rates, resulting in a decline in the fund’s income. Prepayment risk is high for the fund.
  • Index sampling risk: The chance that the securities selected for the fund, in the aggregate, will not provide investment performance matching that of the index. Index sampling risk for the fund should be low.



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