EDV Fund Description

The Vanguard Extended Duration Treasury ETF tracks a market weighted index of high-duration zero-coupon US Treasury securities.

EDV ETF.com Insight

EDV is not a portfolio for the faint of heart when it comes to interest-rate risk. The fund holds a portfolio of 20-30 year Treasury STRIPS, which are securities that promise a singleby design, EDV has much higher interest-rate risk than our benchmark payment upon maturity in the next 20-30 years without any interim coupon payments. As a result, even though EDV has only a slightly longer weighted average maturity than our benchmark, it has much higher interest-rate risk, and more volatile returns. Note that PIMCO's ZROZ—also focused on long term zero coupons—has even longer duration. EDV charges the lowest expense ratio in its segment. The fund itself makes quarterly distributions (despite the lack of coupons in its basket) from proceeds from bond sales at each rebalance. (Insight updated 09/30/2014)

1 Year
Performance [as of 12/17/14] 1 Month 3 Month YTD 1 Year 3 Years 5 Years 10 Years
EDV 9.91% 20.52% 45.02% 46.11% 5.77% 14.56% --
EDV (NAV) 9.73% 20.25% 45.88% 45.38% -- -- --
-- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

EDV Top 10 Countries

EDV Top 10 Sectors

EDV Top 10 Holdings

EDV Summary Data

Vanguard

A company that produces and manages ETFs.

12/06/07

The first date of a fund's operations, as documented by the issuer.

Open-Ended Fund

The organizational structure of the fund or ETN.

0.12%

The net total annual fee a fund holder pays to the issuer.

$487.11 M

The market value of total assets that a fund has accumulated and now manages on behalf of investors.

$11.46 M

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

0.26%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 60 days, as a percent.

EDV Portfolio Data

26.8

Price sensitivity in percentage to a 100 basis point parallel shift (up or down) in interest rates.

25.3 Years

The weighted average of remaining time until maturity for all securities in the portfolio.

3.31%

The weighted average yield if all securities in the portfolio were held until maturity. Assumes that interest can be reinvested at YTM rate.

--

The date on which a security's price excludes an upcoming dividend.

69

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

EDV Index Data

Barclays U.S. Treasury STRIPS 20-30 Year Equal Par Bond Index

This is the benchmark an ETF is desigend to track or replicate.

Market Value

A set of rules that the underlying index provider follows to weight its constituent securities.

Market Value

A set of rules that the underlying index provider follows to select its constituent securities.

Barclays Long U.S.
Treasury Index

This is the index that we have chosen as the best-in-class gauge for each segment's broad market.

Related ETFs to EDV

TLH, TLO, TLT, ZROZ

ETFs from within the same segment or closely related segments with similar investment objectives or market exposures.

EDV Commentary & News

EDV ETF.com Efficiency Insight

EDV is a reasonably Efficient fund in the context of a STRIPS fund. It charges 12 bp in expense ratio, which is the lowest in its segment, and its $300M in AUM adds to the fund's stability. However, it struggles in consistently tracking its index which is a shared struggle with another STRIPS fund–PIMCO’s ZROZ. (Insight updated 09/30/2014)

Total Return - 09/30/2014
Performance [as of 09/30/14] 1 Month 3 Month YTD 1 Year 3 Years 5 Years 10 Years
EDV -2.97% 5.33% 26.34% 20.63% 1.83% 8.75% --
EDV (NAV) -2.98% 5.31% 27.32% 20.69% 1.92% 8.96% --
Barclays U.S. Treasury STRIPS 20-30 Year Equal Par Bond Index -3.15% 4.97% 26.57% 20.97% 2.14% 9.28% 8.97%
Barclays Long U.S. Treasury Index -1.86% 2.69% 15.15% 11.60% 1.99% 6.98% 6.80%
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

EDV Portfolio Management

0.12%

The net total annual fee a fund holder pays to the issuer.

-0.11%

Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results.

0.96%

Largest deviation in a positive direction of a fund's returns vs. its underlying index over the past 12 months.

-1.28%

Largest deviation in a negative direction of a fund's returns vs. its underlying index over the past 12 months.

EDV Tax exposures

20.00% / 39.60%

The maximum long-term and short-term U.S. tax rates applicable to a realized capital gain.

--

The average capital gains paid out to shareholders in the past 36 months, measured as a percent of net asset value (NAV) at the time.

N/A

IRS treatment of the majority of the fund's distributions.

No

ETFs that are structured as commodities pools and classified as limited partnerships by the IRS will issue K-1 forms to holders.

EDV Fund Structure

Open-Ended Fund

The organizational structure of the fund or ETN.

No

An indicator of whether a fund uses over-the-counter derivatives such as swaps or forwards to achieve its objectives.

No

An indicator of whether or not a fund actively lends its portfolio holdings.

100% / 0%

The division of securities lending revenue between the fund and the issuer.

N/A

The institution responsible for providing the return of the stated index and whose credit is the sole backing of the ETN.

N/A

The risk of default by the ETN counterparty.

Low

The likelihood that an issuer will shut down a fund for business or regulatory reasons.

Monthly

The frequency of an issuer's disclosure of all fund holdings.

EDV ETF.com Tradability Insight

EDV trades well at both retail levels but struggles a bit at institutional levels. On most days, over $6M of EDV changes hands—a reasonable amount—but at surprisingly wide spreads. Use limit orders to control trading costs here. Institutional investors may want to shop around, creation/redemption can impact underlying prices as the STRIPS market is not particularly liquid. However, market makers can always create more STRIPS from coupon-bearing Treasurys if necessary. (Insight updated 09/30/2014)



Average Spread
Premium/Discount
Volume

EDV ETF.com/ Block LiquidityAs of 12/18/2014

5
4
3
2
1

This measurement shows how easy it is to trade 25,000 shares of EDV. EDV is rated a 5 out of 5.

EDV Tradability

96,880

It is the daily number of shares traded, averaged over the past 45 trading days.

$11.46 M

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

67,476

Median number of shares traded over the past 45 trading days.

$7.96 M

Median dollar value of shares traded over the past 45 trading days.

0.26%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent.

$0.29

The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars.

0.46%

The middle value in the ranked set of all premium/discount values over a maximum 12-month period.

1.44% / -0.05%

The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period.

None

This flags whether there is currently a systemic issue that has restricted the ability to create or redeem shares of the fund. This may be imposed by the fund's issuer, or by external circumstances.

100.00%

The percent of time that the underlying securities of an ETF are open to trading while US exchanges are open.

50,000

The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund.

1.35

The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots.

0.00%

The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit.

--

The total number of net outstanding options contracts for an ETF.

$124.9

The total market value of the assets that an ETF holds less fund expenses.

5

An estimate of liquidity for the underlying baskets of securities, scaled 1 to 5.

EDV ETF.com Fit Insight

EDV holds, by design, an extremely long-duration portfolio. It only holds zero-coupon bonds with maturities in the next 20-30 years. Its average maturity is comparable to our benchmark, but the real difference is in its massively long effective duration because zero-coupon bonds carry significantly more interest rate risk than its coupon-bearing counterparts. High interest-rate sensitivity make EDV’s returns more volatile than funds like TLO. (Insight updated 09/30/2014)

EDV Sector/Industry Breakdown

EDV Segment Benchmark
100.00% 99.98%

0.00% 0.02%

EDV Top 5 Countries

100.00% 100.00%

EDV Top 5 Currencies

100.00% 100.00%

100.00% 100.00%

EDV Performance Statistics

0.98

The degree to which the fund and its segment benchmark move up and down in unison.

1.65

The sensitivity of the returns of the fund to the movement of the ETF.com segment benchmark. Beta of 1.0 means magnitude of fund returns equals that of IU benchmark returns.

1.63

The comparison of a fund's return to our benchmark's for days when the benchmark is up. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

1.68

The comparison of a fund's return to our benchmark's for days when the benchmark is down. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

0.41%

A measure of the variability between the fund's returns and the ETF.com segment benchmark returns on days when the fund underperforms the benchmark.

EDV Holdings Statistics

EDV Segment Benchmark
24.82 25.27

The weighted average of remaining time until maturity for all securities in the portfolio.

16.83 26.80

A measure of interest rate risk. Estimates change in value to the portfolio based on a 1% parallel shift in the yield curve.

-0.03 -0.14

A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 2 year interest rates holding other rates constant.

17.72 28.70

A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 10 year interest rates holding other rates constant.

3.08% 3.31%

The weighted average yield if all securities in the portfolio were held until maturity. Assumes that interest can be reinvested at YTM rate.

0.00 0.00

Price sensitivity in percentage to a 100 basis point change (widening or narrowing) of spread relative to Treasury spot curve.

Medium Low

The Herfindahl Index number – a metric of portfolio concentration where higher numbers mean higher concentration of holdings.

43 69

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

AAA AAA

Market–value–weighted average credit quality of the portfolio.

EDV Maturity Distribution

0.00% 0.02%

Percent of the portfolio's exposure to securities with 0 - 1 years until maturity.

0.00% 0.00%

Percent of the portfolio's exposure to securities with 1 - 3 years until maturity.

0.00% 0.00%

Percent of the portfolio's exposure to securities with 3 - 5 years until maturity.

0.00% 0.00%

Percent of the portfolio's exposure to securities with 5 - 7 years until maturity.

0.00% 0.00%

Percent of the portfolio's exposure to securities with 7 - 10 years until maturity

100.00% 99.98%

Percent of the portfolio's exposure to securities with 10+ years until maturity.

EDV Credit Breakdown

100.00% 100.00%

Percent of portfolio's exposure to AAA rated bonds (Investment Grade).

0.00% 0.00%

Percent of portfolio's exposure to AA rated bonds (Investment Grade).

0.00% 0.00%

Percent of portfolio's exposure to A rated bonds (Investment Grade).

0.00% 0.00%

Percent of portfolio's exposure to BBB rated bonds (Investment Grade).

0.00% 0.00%

Percent of portfolio's exposure to BB rated bonds (High Yield).

0.00% 0.00%

Percent of portfolio's exposure to B rated bonds (High Yield).

0.00% 0.00%

Percent of portfolio's exposure to CCC rated bonds (High Yield).

0.00% 0.00%

Percent of portfolio's exposure to CC rated bonds (High Yield).

0.00% 0.00%

Percent of portfolio's exposure to C rated bonds (High Yield).