Vanguard Small Cap Value Etf Market Value
| VBR Etf | USD 214.02 2.82 1.34% |
| Symbol | Vanguard |
The market value of Vanguard Small Cap is measured differently than its book value, which is the value of Vanguard that is recorded on the company's balance sheet. Investors also form their own opinion of Vanguard Small's value that differs from its market value or its book value, called intrinsic value, which is Vanguard Small's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Vanguard Small's market value can be influenced by many factors that don't directly affect Vanguard Small's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Vanguard Small's value and its price as these two are different measures arrived at by different means. Investors typically determine if Vanguard Small is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Vanguard Small's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
Vanguard Small 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Vanguard Small's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Vanguard Small.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Vanguard Small on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Small Cap Value or generate 0.0% return on investment in Vanguard Small over 30 days. Vanguard Small is related to or competes with Vanguard Mid, Vanguard Small, Vanguard Value, Vanguard Small, and Vanguard Mid. The fund employs an indexing investment approach designed to track the performance of the CRSP US Small Cap Value Index,... More
Vanguard Small Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Vanguard Small's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Vanguard Small Cap Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8491 | |||
| Information Ratio | 0.0372 | |||
| Maximum Drawdown | 5.71 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.69 |
Vanguard Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Small's standard deviation. In reality, there are many statistical measures that can use Vanguard Small historical prices to predict the future Vanguard Small's volatility.| Risk Adjusted Performance | 0.1274 | |||
| Jensen Alpha | 0.0132 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0457 | |||
| Treynor Ratio | 0.1316 |
Vanguard Small Cap Backtested Returns
Currently, Vanguard Small Cap Value is very steady. Vanguard Small Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the etf had a 0.14% return per unit of risk over the last 3 months. We have found thirty technical indicators for Vanguard Small Cap Value, which you can use to evaluate the volatility of the etf. Please validate Vanguard Small's Risk Adjusted Performance of 0.1274, semi deviation of 0.6067, and Coefficient Of Variation of 614.91 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The entity has a beta of 1.21, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Vanguard Small will likely underperform.
Auto-correlation | 0.49 |
Average predictability
Vanguard Small Cap Value has average predictability. Overlapping area represents the amount of predictability between Vanguard Small time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Vanguard Small Cap price movement. The serial correlation of 0.49 indicates that about 49.0% of current Vanguard Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 7.35 |
Vanguard Small Cap lagged returns against current returns
Autocorrelation, which is Vanguard Small etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Vanguard Small's etf expected returns. We can calculate the autocorrelation of Vanguard Small returns to help us make a trade decision. For example, suppose you find that Vanguard Small has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Vanguard Small regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Vanguard Small etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Small etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Small etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Small Lagged Returns
When evaluating Vanguard Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Small etf have on its future price. Vanguard Small autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Vanguard Small autocorrelation shows the relationship between Vanguard Small etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Small Cap Value.
Regressed Prices |
| Timeline |
Pair Trading with Vanguard Small
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Vanguard Small position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Vanguard Small will appreciate offsetting losses from the drop in the long position's value.Moving together with Vanguard Etf
| 0.97 | IWN | iShares Russell 2000 | PairCorr |
| 0.98 | DFAT | Dimensional Targeted | PairCorr |
| 0.97 | IJS | iShares SP Small | PairCorr |
| 0.97 | SLYV | SPDR SP 600 | PairCorr |
The ability to find closely correlated positions to Vanguard Small could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Vanguard Small when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Vanguard Small - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Vanguard Small Cap Value to buy it.
The correlation of Vanguard Small is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Vanguard Small moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Small Cap moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Vanguard Small can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Vanguard Small Correlation, Vanguard Small Volatility and Vanguard Small Alpha and Beta module to complement your research on Vanguard Small. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Vanguard Small technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.