Bloomberg’s benchmark methodology

 

Bloomberg is the leading provider of fixed income indexes, offering unmatched market coverage and a full suite of customized solutions for client benchmarking/beta needs. The index platform brings together the family of broad-based fixed income benchmarks published by Lehman Brothers since 1973 and Bloomberg Barclays’ market leading family of inflation-linked and swaps indexes. In 2016, Bloomberg acquired these assets from Barclays, with a five-year co-branding agreement. As of August 2021, the indices were branded as Bloomberg indices.

To ensure accurate reflection of a given market, the Bloomberg indexes we seek to track contain only those bonds that are available on the open market. Bonds must also pass screens for liquidity (in most cases a minimum size of CAD 300 million) and quality (minimum of BBB_ or higher) to be included in an index. Bloomberg Barclays rebalances its indexes monthly.

Bloomberg website

 

Vanguard ETFs and their Bloomberg benchmarks

Vanguard ETF	Ticker	Target index	Management fee1	Management expense ratio2
Vanguard Canadian Aggregate Bond Index ETF	VAB	Bloomberg Global Aggregate Canadian Float Adjusted Bond Index	0.08%	0.09%
Vanguard Canadian Government Bond Index ETF	VGV	Bloomberg Global Aggregate Canadian Government Float Adjusted Bond Index	0.15%	0.20%
Vanguard Canadian Corporate Bond Index ETF	VCB	Bloomberg Global Aggregate Canadian Credit Float Adjusted Bond Index	0.15%	0.19%
Vanguard Canadian Short-Term Bond Index ETF	VSB	Bloomberg Global Aggregate Canadian Gov/Cr 1-5Yr Float Adjusted Bond Index	0.10%	0.11%
Vanguard Canadian Short-Term Corporate Bond Index ETF	VSC	Bloomberg Global Aggregate Canadian Credit 1-5Yr Float Adjusted Bond Index	0.10%	0.11%
Vanguard Canadian Long-Term Bond Index ETF	VLB	Bloomberg Global Aggregate Canadian 10+Year Float Adjusted Bond Index	0.15%	0.17%
Vanguard U.S. Aggregate Bond Index ETF (CAD-hedged)	VBU	Bloomberg U.S. Aggregate Float Adjusted Bond Index (CAD Hedged)	0.20%	0.22%
Vanguard Global ex-U.S. Aggregate Bond Index ETF (CAD-hedged)	VBG	Bloomberg Global Aggregate ex-USD Float Adjusted RIC Capped Index (CAD Hedged)	0.35%	0.38%
Vanguard Global Aggregate Bond Index ETF (CAD-Hedged)	VGAB	Bloomberg Global Aggregate Float Adjusted Composite Index (CAD Hedged)	0.30%	0.34%

¹ The management fee is equal to the fee paid by the fund to Vanguard Investments Canada Inc. to manage the fund and does not include applicable taxes or other fees and expenses of the fund. For any fund which invests in underlying Vanguard fund(s), there shall be no duplication of management fees chargeable in connection with the Vanguard fund and its investment in the Vanguard fund(s).

² The management expense ratio (“MER”) is as of December 31, 2020, including waivers and absorptions and is expressed as an annualized percentage of the daily average NAV. The MER would have been 0.09% for VAB, 0.20% for VGV, 0.20% for VCB, 0.11% for VSB, 0.11% for VSC, 0.18% for VLB, 0.22% for VBU, 0.38% for VBG, and 0.35% for VGAB. Vanguard Investments Canada Inc. expects to continue absorbing or waiving certain fees indefinitely but may, in its discretion, discontinue this practice at any time.

All investments, including those that seek to track indexes, are subject to risk, including the possible loss of principal. Diversification does not ensure against a profit or protect against a loss in a declining market. While ETFs are designed to be as diversified as the original indexes they seek to track and can provide greater diversification than an individual investor may achieve independently, any given ETF may not be a diversified investment. Investments in bonds are subject to call risk, credit risk, income risk and interest rate risk. Please see the Vanguard ETFs’ prospectus for a description of the unique risks applicable to bond investing. Foreign investing involves additional risks, including currency fluctuations and political uncertainty.