Stocks are most tax efficient. Municipal bonds are acceptable for marginal tax rates over ~30%. Regular bonds are not tax efficient and should be generally minimized here. Exception: Ibonds. Mutual funds at Vanguard are tax efficient, and at other places they are not. ETF's are the only road if you do not invest with Vanguard. I prefer ETF's anyhow because they are more flexible to harvest tax losses and gains, but avoid limit orders except under hypothetical dire circumstances.
I am ok with deviating widely in tax sheltered accounts because I can easily transfer to another company if for-profit-investment-firm suddenly jacks things up. In taxable accounts I prefer Vanguard, because there might be big tax implications if a fund company turns sour and I need to sell and leave.
What makes Vanguard mutual funds more tax efficient? Theoretically any index fund that does minimal buying and selling and thus has minimal capital gains distributions should be pretty tax efficient, yeah?
I think this is why...
Vanguard has a patent that, as I understand it, allows their mutual funds and ETFs to be exchanged without it being a taxable event. This essentially makes there mutual funds and ETFs different classes of the same investment. Other companies either have a mutual fund or an ETF, but they can't be exchanged.
Typical mutual funds are less tax efficient because, again as I understand it, since mutual funds are bought/sold through the investment company, if lots of mutual fund sales are requested, the mutual fund manager is more likely to have to sell underlying stocks to pay the investors who are selling, thereby realizing gains that will have to be passed on to the mutual fund owners. On the other hand ETFs are bought/sold on exchanges like stocks, so people can sell them without involving the fund manager, so the fund manager doesn't have to sell underlying investments to pay the people selling, but instead only needs to buy/sell to keep the ETF tracking the index.
Put those two points together, that ETFs are more tax efficient, and only vanguard mutual funds can basically be ETFs, and that means only Vanguard mutual funds can be as tax efficient as ETFs.
Here's some more reading on the ETF piece:
https://www.investopedia.com/articles/investing/090215/comparing-etfs-vs-mutual-funds-tax-efficiency.asp