Vanguard market neutral fund holdings

[cute fuzzy bunny]

I thought the contents of the 'market neutral' fund were pretty interesting. The fund both invests in and shorts a variety of stocks. Fun to see what the fund managers think will be doing well and what they think is going to crater.


Nice performance, but dang the 2% ER is pretty shocking for a long term vanguard investor...


Apple Inc. 3,067 $470,907
Cisco Systems, Inc. 13,900 $460,229
Pfizer Inc. 18,000 $439,740
Amazon.com, Inc. 4,600 $428,490
Bank of America Corp. 7,420 $373,003
NII Holdings, Inc. 4,470 $367,211
Loews Corp. 7,300 $352,955
NVIDIA Corp. 9,442 $342,178
Bristol-Myers Squibb Co. 11,830 $340,941
Sun Microsystems, Inc. 60,240 $337,946
Regions Financial Corp. 11,304 $333,242
MEMC Electronic Materials, Inc. 5,600 $329,616
YUM! Brands, Inc. 9,240 $312,589
ACE Ltd. 4,800 $290,736
Raytheon Co. 4,425 $282,404
GlobalSantaFe Corp. 3,700 $281,274
Precision Castparts Corp. 1,840 $272,283
Noble Corp. 5,400 $264,870
Genworth Financial, Inc. 8,291 $254,782
Humana Inc. 3,400 $237,592
The DIRECTV Group, Inc. 9,510 $230,903
Google Inc. 400 $226,908
PACCAR Inc. 2,600 $221,650
Kellogg Co. 3,800 $212,800
IntercontinentalExchange, Inc. 1,380 $209,622
Ingersoll-Rand Co. Ltd. 3,800 $206,986
CVS/Caremark Corp. 5,212 $206,552
ConAgra Foods, Inc. 7,900 $206,427
Electronic Data Systems Corp. 9,340 $203,986
McDonald’s Corp. 3,720 $202,628
Gannett Co., Inc. 4,370 $190,969
Coach, Inc. 3,900 $184,353
W.W. Grainger, Inc. 2,000 $182,380
ENSCO International Inc. 3,100 $173,910
Accenture Ltd. 4,300 $173,075
Jacobs Engineering Group Inc. 2,100 $158,718
Harris Corp. 2,710 $156,611
Diamond Offshore Drilling, Inc. 1,370 $155,207
Amphenol Corp. 3,800 $151,088
Waters Corp. 2,207 $147,692
Fiserv, Inc. 2,900 $147,494
L-3 Communications Holdings, Inc. 1,400 $142,996
Abercrombie & Fitch Co. 1,765 $142,436
Southern Copper Corp. 1,100 $136,213
Cadence Design Systems, Inc. 5,953 $132,097
Avnet, Inc. 3,200 $127,552
Owens-Illinois, Inc. 2,900 $120,205
Schlumberger Ltd. 1,100 $115,500
Pride International, Inc. 3,110 $113,671
Baxter International Inc. 1,922 $108,170
Union Pacific Corp. 900 $101,754
Tyson Foods, Inc. 5,645 $100,763
Energizer Holdings, Inc. 900 $99,765
JPMorgan Chase & Co. 2,100 $96,222
Eastman Kodak Co. 3,500 $93,660
The Estée Lauder Cos., Inc. 2,200 $93,412
Biogen Idec Inc. 1,326 $87,954
Discovery Holding Co. 2,800 $80,780
Franklin Resources, Inc. 600 $76,500
Verizon Communications Inc. 1,700 $75,276
Chevron Corp. 800 $74,864
IAC/InterActiveCorp 2,492 $73,938
Cameron International Corp. 800 $73,832
AutoZone, Inc. 600 $69,684
PG&E Corp. 1,200 $57,360
Cooper Industries, Ltd. 1,080 $55,177
Seagate Technology LLC 2,110 $53,974
Comerica Inc. 1,000 $51,280
American Standard Cos. Inc. 1,200 $42,744
Consolidated Edison, Inc. 700 $32,410
Comcast Corp. 1,260 $30,467
MeadWestvaco Corp. 830 $24,510
FPL Group, Inc. 280 $17,046
Colgate-Palmolive Co. 200 $14,264
Thermo Fisher Scientific Inc. 220 $12,698
Computer Sciences Corp. 153 $8,553
Sunoco, Inc. 110 $7,786
Transocean Inc. 50 $5,653
Darden Restaurants, Inc. 120 $5,023
DENTSPLY International Inc. 63 $2,623
Coca-Cola Enterprises Inc. 55 $1,332
Quest Diagnostics Inc. (100) –$5,777
International Game Technology (510) –$21,981
PPL Corp. (700) –$32,410
Corning Inc. (1,670) –$41,166
General Motors Corp. (1,200) –$44,040
National Semiconductor Corp. (1,800) –$48,816
Expeditors International of Washington, Inc. (1,175) –$55,578
Xilinx, Inc. (2,334) –$61,011
Dell Inc. (2,300) –$63,480
Bed Bath & Beyond Inc. (1,901) –$64,862
Pulte Homes, Inc. (5,130) –$69,819
Simon Property Group, Inc. (800) –$80,000
D.R. Horton, Inc. (6,500) –$83,265
The Hershey Co. (1,800) –$83,538
Broadcom Corp. (2,500) –$91,100
State Street Corp. (1,350) –$92,016
Windstream Corp. (6,800) –$96,016
American Express Co. (1,730) –$102,710
E*TRADE Financial Corp. (8,300) –$108,398
CB Richard Ellis Group, Inc. (3,900) –$108,576
Adobe Systems Inc. (2,600) –$113,516
Maxim Integrated Products, Inc. (4,400) –$129,140
Whole Foods Market, Inc. (2,700) –$132,192
Nabors Industries Ltd. (4,400) –$135,388
Commerce Bancorp, Inc. (3,500) –$135,730
Hospira, Inc. (3,400) –$140,930
Amylin Pharmaceuticals, Inc. (2,900) –$145,000
Advanced Micro Devices, Inc. (11,300) –$149,160
Network Appliance, Inc. (5,610) –$150,965
Viacom Inc. (3,900) –$151,983
Citrix Systems, Inc. (3,800) –$153,216
Southwestern Energy Co. (3,800) –$159,030
Hertz Global Holdings, Inc. (7,000) –$159,040
Apollo Group, Inc. (2,700) –$162,405
Public Storage, Inc. (2,110) –$165,952
BJ Services Co. (6,300) –$167,265
Marvell Technology Group Ltd. (11,400) –$186,618
AvalonBay Communities, Inc. (1,600) –$188,896
General Growth Properties, Inc. (3,800) –$203,756
Eli Lilly and Co. (3,600) –$204,948
Boston Properties, Inc. (1,990) –$206,761
Equity Residential (5,100) –$216,036
The Progressive Corp. (12,200) –$236,802
Medtronic, Inc. (4,300) –$242,563
Peabody Energy Corp. (5,100) –$244,137
Las Vegas Sands Corp. (1,900) –$253,498
Ultra Petroleum Corp. (4,200) –$260,568
Weyerhaeuser Co. (3,630) –$262,449
The Bear Stearns Cos. Inc. (2,180) –$267,726
Electronic Arts Inc. (4,900) –$274,351
Genentech, Inc. (3,620) –$282,432
Amgen Inc. (5,100) –$288,507
Liberty Global, Inc. (7,300) –$299,446
EOG Resources, Inc. (4,200) –$303,786
QUALCOMM Inc. (7,300) –$308,498
Starbucks Corp. (11,900) –$311,780
Ford Motor Co. (37,600) –$319,224
Allergan, Inc. (5,100) –$328,797
The Procter & Gamble Co. (4,700) –$330,598
Newmont Mining Corp. (7,500) –$335,475
PepsiCo, Inc. (4,600) –$336,996
Yahoo! Inc. (12,600) –$338,184
Costco Wholesale Corp. (6,600) –$405,042
Wm. Wrigley Jr. Co. (6,375) –$409,466
Motorola, Inc. (22,226) –$411,848
Intel Corp. (16,400) –$424,104
Baker Hughes Inc. (4,810) –$434,680
General Electric Co. (10,900) –$451,260

 

[twaddle]

Market neutral means that they balance long/short for each sector, right?

So, in tech, they think NVIDIA will do better than Intel, Google will do better than Yahoo, etc. Probably reasonable bets. Something I might do with my mad money, but not at the fund level.

 

[bamsphd]

Nice performance, but dang the 2% ER is pretty shocking for a long term vanguard investor...

If you dig into the actual prospectus, you will find that it only has a roughly 0.5% ER in terms of management fees. The other 1.5% is their estimate of payments the fund will make to cover dividends paid by the stocks they short.

On the one hand, one of the articles linked to by the "Asset Allocation Tutorial" thread really loves market neutral as an uncorrelated asset class.

On the other hand, I believe in at least the weak form of the Efficient Market theory. Which suggests to me that market neutral funds based on matching long/short bets such as this fund must be the equivalent of betting on someone playing roulette. Sure their returns are uncorrelated, but only because you are betting on a random process. Over the long run only the house seems likely to win.