Vanguard Ftse Developed Etf Market Value
| VEF Etf | CAD 56.88 0.41 0.73% |
| Symbol | Vanguard |
Vanguard FTSE '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 FTSE'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 FTSE.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Vanguard FTSE on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard FTSE Developed or generate 0.0% return on investment in Vanguard FTSE over 30 days. Vanguard FTSE is related to or competes with IShares Core, Vanguard FTSE, IShares MSCI, IShares Core, BMO MSCI, Wealthsimple Developed, and BMO Low. Index ETF seeks to track the FTSE Developed All Cap ex US Hedged to CAD Index More
Vanguard FTSE 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 FTSE'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 FTSE Developed upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7008 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 3.09 | |||
| Value At Risk | (0.92) | |||
| Potential Upside | 1.29 |
Vanguard FTSE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard FTSE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard FTSE's standard deviation. In reality, there are many statistical measures that can use Vanguard FTSE historical prices to predict the future Vanguard FTSE's volatility.| Risk Adjusted Performance | 0.0233 | |||
| Jensen Alpha | 0.0062 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.2057 |
Vanguard FTSE Developed Backtested Returns
As of now, Vanguard Etf is very steady. Vanguard FTSE Developed owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0259, which indicates the etf had a 0.0259% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard FTSE Developed, which you can use to evaluate the volatility of the etf. Please validate Vanguard FTSE's Coefficient Of Variation of 3145.13, risk adjusted performance of 0.0233, and Semi Deviation of 0.652 to confirm if the risk estimate we provide is consistent with the expected return of 0.0181%. The entity has a beta of 0.0588, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard FTSE's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard FTSE is expected to be smaller as well.
Auto-correlation | 0.35 |
Below average predictability
Vanguard FTSE Developed has below average predictability. Overlapping area represents the amount of predictability between Vanguard FTSE time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 FTSE Developed price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Vanguard FTSE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | -0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Vanguard FTSE Developed lagged returns against current returns
Autocorrelation, which is Vanguard FTSE 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 FTSE's etf expected returns. We can calculate the autocorrelation of Vanguard FTSE returns to help us make a trade decision. For example, suppose you find that Vanguard FTSE 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 FTSE 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 FTSE etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard FTSE etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard FTSE etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard FTSE Lagged Returns
When evaluating Vanguard FTSE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard FTSE etf have on its future price. Vanguard FTSE 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 FTSE autocorrelation shows the relationship between Vanguard FTSE etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard FTSE Developed.
Regressed Prices |
| Timeline |
Pair Trading with Vanguard FTSE
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 FTSE 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 FTSE will appreciate offsetting losses from the drop in the long position's value.Moving together with Vanguard Etf
| 0.66 | XEF | iShares Core MSCI | PairCorr |
| 0.65 | ZEA | BMO MSCI EAFE | PairCorr |
| 0.61 | VIU | Vanguard FTSE Developed | PairCorr |
| 0.97 | XIN | iShares MSCI EAFE | PairCorr |
| 0.98 | XFH | iShares Core MSCI | PairCorr |
The ability to find closely correlated positions to Vanguard FTSE 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 FTSE 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 FTSE - 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 FTSE Developed to buy it.
The correlation of Vanguard FTSE 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 FTSE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard FTSE Developed 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 FTSE 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 FTSE Correlation, Vanguard FTSE Volatility and Vanguard FTSE Alpha and Beta module to complement your research on Vanguard FTSE. You can also try the Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
Vanguard FTSE 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.