CRSP Tax Efficiency Study

 

This report summarizes the 5-year history using the Year over Year Tax Efficiency Report of the Vanguard US Total Stock Market Index and its sub-components defined by the CRSP Index set used by Vanguard.

The Google Sheet can be found here: 2024 YoY Vanguard Tax Efficiency

This is a great small sample to discuss what you can learn from the report. I will describe each column:

• Gross Yield % - This is the Gross yield before taxes that the fund experienced in the past year. For this report, the yield includes all distributions between 1/1/24 and 12/31/24. Generally lower yields imply high tax efficiency.
• Ranking 5 - years (Best and Worst) - this gives you an idea how much variability the fund showed over the past 5 years in relative tax efficiency. The ranges for the CRSP funds are very tight, but in the larger group of funds, especially, ex-US funds, these rankings can range much more widely. This is a measure of predictability.
• 10 Price CAGR - This represents the 10 year cumulative average growth rate of the PRICE only for the fund (if the fund has been available for at least 10 years.). Generally, relatively high price CAGR implies more tax efficiency.
• Growth/Yield Ratio - This is simply 10 year CAGR divided by Gross yield. The higher the ratio, the more likely you are to see higher tax efficiency.
• Tax Drag Taxable - This represents the absolute reduction in net yield experience by the a taxpayer with tax rates specified in the Tax Parameters tab. The lower the better.
• Rank - This is a numerical ranking of the Tax Drag column.

Note, the full Report in the tab 2024TaxEfficiency includes a Tax Drag and ranking for Tax-Advantaged accounts as well.