CRSP Index Percentages as of 8/31/2026

 

Using 12 Mos. Factor table vs. Historical REFCPI-based ratios.

September 4, 2026 provided a nifty natural experiment on how the market prices seasonal adjustments for dates in the near future. In particular near dates beyond the max REFPI date (1-OCT-2026).

I traditionally used a 12 month table with a day 1 value and daily increment based distance to the next month (1-SEP to 1-OCT). This used either historical averages or the last 12 mos. ending on the max REFCPI date. Thus in in the 12mos. model, for today's case, the 1-OCT value is based upon the most recent July 2026 CPI report. The daily increments in OCT are calculated against 1-NOV-25 REFCPI. Giving a daily increment of -0.0000387.

KevinM's Treasury Portal uses historical values only, not a 12 mos. table. For 11 months a year, the recent table approach and the historical approach produce identical results. Except for the month of October (at this test point). The reason is that the table tool calculates the daily delta based on the value for 1-OCT-26, and 1-NOV-2025 and historical approach calculates them based upon the daily delta between 1-OCT-25 and 1-NOV-25. The daily increment for this historical model would be -0.0000197 or about half of the amount.

For context, a larger decrement will reduce the price more, and thus produce a higher adjusted yield. In months with positive daily changes yield impact will be reversed.

This results in meaningfully different SA Factors for 15-OCT.

Normally, these values are not that different. This year the deltas between OCT-NOV for 2025 were quite a bit different than for the historical averages, coming in at half the daily increment. The table model is the highest increment for any of my historical averages, and the 2025 REFCPI value is the smallest of any of my historical averages.

If the curve is fitted against the historical REFCPI model better than the monthly Factor model, it is a good case that the market is more closely pricing to the history model, not a table model.

If both were off the curve significantly, that may imply a better factor would to use an average. Since the shorter-term averages are closer to the REFCPI value, more back-tests may be necessary to completely rule out historical averages.

And below is what happened yesterday (I have seen this hook on previous days as well, but did not have the tools to investigate). It appears that the historical value matches better. Now, this is just one date, but it does provide a reasonable explanation for some well known misbehavior in at least I have seen in very short-term maturities. I am going to continue to watch this a bit more before deciding it is completely settled. 

Note there are visibly better matches to the yield curve on both the 15-OCT-26, and 15-OCT-27 points on the curve.

Cash Plus Tiers

 As of OCT 1, 2026:

BOXX Site broken

 This is a nearly daily occurrence:

Break Even Inflation rates vs. Realized CPI-U for the remaining Terms

Here is the calculation of the BEI (using FRED published calculation T5YIE)

Any date the realized CPI is less than the BEI, then Nominals won over the next 5 years.

Source: https://docs.google.com/spreadsheets/d/1fEai9bvDmV6SdLrDwk_3ktLClTifhg-Gme3xRCD0v5I/edit?gid=1036876000#gid=1036876000

Prospectus Text for Expenses

BEI as of 5/8/26

 

NY State After Tax yield for Vanguard MM funds at the highest tax rates

 

4Q25 CRSP Growth/Value Split Summary

 Here the 4Q2025 CRSP Value/Growth Splits. The tracking of the daily snapshot with the reported values continue to be very very close.

VUSXX vs, 4 and 13 week T-bills (After-tax

 

VUSXX USGO History

 

I plead guilty as charged

 

Deeper Comparison of Vanguard and Fidelity Index Fund Securities Lending.

I have done additional analysis of the securities lending of the various Vanguard and Fidelity standard and Zero Index funds.

The results are quite interesting. After looking at a broader set of indexes, it looks like Fidelity does provide marginally better total net income as a % of AUM than Vanguard on like indexes as noted earlier.

My first analysis did not carefully align AUM measurement dates with the SAI reported dates. Once that was rectified the differences between net lending income narrowed significantly, but with the zero funds lagging all comparable funds.

It is done with a significantly higher volume of lending at a lower margin.

What comes out of the analysis that shaded my earlier analysis is that the structure of the index and the fund's holdings has a MAJOR impact on the net income.

It appears that S&P500 stocks have almost no opportunity to produce income for the funds.

Secondly, it appears that overall small cap with evidence that larger small cap names are the sweet spot for high margin income (VCLAX relative higher income).

On a related note, both the VSMAX and the Fidelity funds apparently are missing the very smallest names that existing the Vanguard Total funds thus also have less high margin opportunities.

Vanguard does seem to do better on lending ex-US, but not sure that holds up in a larger sampling.

Lastly, the Zero Total and Total International funds both lag badly against both their Fidelity counterparts and the Vanguard funds. I believe this is strong evidence that the sampling model of the indexes greatly reduces the opportunity to profit from securities lending.

VTSAX vs. FZROX securities lending practices

 Using lending data from 2 recent SAIs calculate gross, net income of these funds.

https://www.actionsxchangerepository.fidelity.com/ShowDocument/919035/FaxToCDocument.htm?clientId=Fidelity&applicationId=MFL&docType=SAI&docFormat=html&securityId=31635T708&securityIdType=CUSIP&collectionId=919035&docName=ITM-SPKG2405239625186882682.htm&criticalIndicator=N&tocIndicator=true&extraId=1751646361242#Sec_SecuritiesLending_ITM-PTB

https://personal1.vanguard.com/pub/Pdf/sai040.pdf

Bear/Bull MegaCycles since 1929 using S&P500 (Shiller) index value (not total return) on an inflation adjusted basis.

 

VUSXX vs. WMPXX backtest for No Income Tax investors - 12 mos. ending 11/18/25

 

3Q25 CRSP Growth/Value Split Summary

 

Vanguard Minimum Bond purchase Increase

 

MM Study, Fidelity investor, with $500K, and 40.8% tax rate and 8.75% State

 

Alternate view of the VCCM June 2025 Data using a Candlestick chart

 This is a chart using the VCCM 5/25/50/75/95 percentile data to see the ranges of the various asset classes.

This represents the 10 year horizon data found here: Vanguard Capital Markets Model® forecasts

The High/Low (narrow vertical line) represent the range of the 5th to 95th percentile.

The open/close (the range of the box in the middle) represents the range of the 25th to 75th percentile.

I think this give a pretty nice look at the range of their estimates and may be more useful to see the "expected outcomes" the meat of the 50% in the middle seems like a reasonable path.