VANGUARD PRIMECAP Expected Short fall
| VPMCX Fund | | | USD 203.30 4.89 2.46% |
Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). Below is VANGUARD PRIMECAP's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
The current Expected Short fall of
-1.04 places VANGUARD PRIMECAP at its current reading on this measure. This reflects VANGUARD PRIMECAP's positioning relative to its own recent range within Mutual Fund Funds.
Expected Shortfall | = | Conditional VAR |
| = | -1.04 | |
Expected Short fall Peers Comparison
Among sector peers, VANGUARD PRIMECAP's Expected Short fall of -1.0359 is below the -0.7 group average. The range runs from -1.0406 (Amcap Fund Class) to 0.0 ().
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Vanguard Primecap and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare VANGUARD PRIMECAP to PeersMethodology, Assumptions & Data Sources
The current Expected Short fall for VANGUARD PRIMECAP is -1.04. VANGUARD PRIMECAP's Expected Short fall is computed from historical closing prices over the selected time horizon, applying the indicator's defined mathematical transformation to raw price data. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. VANGUARD PRIMECAP operates in the large blend funds sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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