Vanguard Target Expected Short fall
| VTIVX Fund | | | USD 37.74 0.61 1.64% |
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 Target's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
At
-0.76, Vanguard Target exhibits its current reading on this measure in Expected Short fall. This reflects Vanguard Target's positioning relative to its own recent range within Mutual Fund Funds.
Expected Shortfall | = | Conditional VAR |
| = | -0.76 | |
Expected Short fall Peers Comparison
The peer group averages -0.71 for Expected Short fall, with Vanguard Target at -0.7582 falling below that level. Readings span -1.1466 (T Rowe Price) to 0.0 ().
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Vanguard Target 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 Target to PeersMethodology, Assumptions & Data Sources
The current Expected Short fall for Vanguard Target is -0.76. Expected Short fall for Vanguard Target is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. Vanguard Target operates in the target risk funds sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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