Vanguard Diversified (Australia) Market Value
| VDHG Etf | 68.57 0.57 0.84% |
| Symbol | Vanguard |
Vanguard Diversified '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 Diversified'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 Diversified.
| 10/31/2023 |
| 11/24/2024 |
If you would invest 0.00 in Vanguard Diversified on October 31, 2023 and sell it all today you would earn a total of 0.00 from holding Vanguard Diversified High or generate 0.0% return on investment in Vanguard Diversified over 390 days. Vanguard Diversified is related to or competes with Betashares Asia, BetaShares Australia, Australian High, and Vanguard Australian. Vanguard Diversified is entity of Australia More
Vanguard Diversified 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 Diversified'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 Diversified High upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4954 | |||
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 2.18 | |||
| Value At Risk | (0.69) | |||
| Potential Upside | 0.7748 |
Vanguard Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Diversified's standard deviation. In reality, there are many statistical measures that can use Vanguard Diversified historical prices to predict the future Vanguard Diversified's volatility.| Risk Adjusted Performance | 0.1231 | |||
| Jensen Alpha | 0.0578 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.1) | |||
| Treynor Ratio | 0.5892 |
Vanguard Diversified High Backtested Returns
Currently, Vanguard Diversified High is very steady. Vanguard Diversified High owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the etf had a 0.16% return per unit of risk over the last 3 months. We have found thirty technical indicators for Vanguard Diversified High, which you can use to evaluate the volatility of the etf. Please validate Vanguard Diversified's Risk Adjusted Performance of 0.1231, coefficient of variation of 596.07, and Semi Deviation of 0.3317 to confirm if the risk estimate we provide is consistent with the expected return of 0.0764%. The entity has a beta of 0.12, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Diversified is expected to be smaller as well.
Auto-correlation | 0.82 |
Very good predictability
Vanguard Diversified High has very good predictability. Overlapping area represents the amount of predictability between Vanguard Diversified time series from 31st of October 2023 to 13th of May 2024 and 13th of May 2024 to 24th 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 Diversified High price movement. The serial correlation of 0.82 indicates that around 82.0% of current Vanguard Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 2.85 |
Vanguard Diversified High lagged returns against current returns
Autocorrelation, which is Vanguard Diversified 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 Diversified's etf expected returns. We can calculate the autocorrelation of Vanguard Diversified returns to help us make a trade decision. For example, suppose you find that Vanguard Diversified 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 Diversified 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 Diversified etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Diversified etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Diversified etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Diversified Lagged Returns
When evaluating Vanguard Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Diversified etf have on its future price. Vanguard Diversified 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 Diversified autocorrelation shows the relationship between Vanguard Diversified etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Diversified High.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Vanguard Etf
Vanguard Diversified financial ratios help investors to determine whether Vanguard Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vanguard with respect to the benefits of owning Vanguard Diversified security.