Vanguard Momentum Factor Etf Market Value
| VFMO Etf | USD 178.39 0.41 0.23% |
| Symbol | Vanguard |
The market value of Vanguard Momentum Factor 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 Momentum's value that differs from its market value or its book value, called intrinsic value, which is Vanguard Momentum'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 Momentum's market value can be influenced by many factors that don't directly affect Vanguard Momentum'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 Momentum's value and its price as these two are different measures arrived at by different means. Investors typically determine if Vanguard Momentum is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Vanguard Momentum'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 Momentum '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 Momentum'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 Momentum.
| 09/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Vanguard Momentum on September 27, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Momentum Factor or generate 0.0% return on investment in Vanguard Momentum over 60 days. Vanguard Momentum is related to or competes with Vanguard Quality, Vanguard Multifactor, Vanguard Value, Vanguard Minimum, and Vanguard. The fund invests primarily in U.S. common stocks with the potential to generate higher returns relative to the broad U.S More
Vanguard Momentum 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 Momentum'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 Momentum Factor upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9976 | |||
| Information Ratio | 0.0495 | |||
| Maximum Drawdown | 5.22 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.91 |
Vanguard Momentum Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Momentum's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Momentum's standard deviation. In reality, there are many statistical measures that can use Vanguard Momentum historical prices to predict the future Vanguard Momentum's volatility.| Risk Adjusted Performance | 0.1288 | |||
| Jensen Alpha | 0.0264 | |||
| Total Risk Alpha | 2.0E-4 | |||
| Sortino Ratio | 0.0556 | |||
| Treynor Ratio | 0.1399 |
Vanguard Momentum Factor Backtested Returns
Vanguard Momentum appears to be very steady, given 3 months investment horizon. Vanguard Momentum Factor owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the etf had a 0.19% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Momentum Factor, which you can use to evaluate the volatility of the etf. Please review Vanguard Momentum's Semi Deviation of 0.8153, coefficient of variation of 608.39, and Risk Adjusted Performance of 0.1288 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of 1.24, 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 Momentum will likely underperform.
Auto-correlation | 0.60 |
Good predictability
Vanguard Momentum Factor has good predictability. Overlapping area represents the amount of predictability between Vanguard Momentum time series from 27th of September 2024 to 27th of October 2024 and 27th of October 2024 to 26th 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 Momentum Factor price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current Vanguard Momentum price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.6 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 30.32 |
Vanguard Momentum Factor lagged returns against current returns
Autocorrelation, which is Vanguard Momentum 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 Momentum's etf expected returns. We can calculate the autocorrelation of Vanguard Momentum returns to help us make a trade decision. For example, suppose you find that Vanguard Momentum 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 Momentum 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 Momentum etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Momentum etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Momentum etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Momentum Lagged Returns
When evaluating Vanguard Momentum's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Momentum etf have on its future price. Vanguard Momentum 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 Momentum autocorrelation shows the relationship between Vanguard Momentum etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Momentum Factor.
Regressed Prices |
| Timeline |
Pair Trading with Vanguard Momentum
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 Momentum 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 Momentum will appreciate offsetting losses from the drop in the long position's value.Moving together with Vanguard Etf
| 0.99 | VOT | Vanguard Mid Cap | PairCorr |
| 0.99 | IWP | iShares Russell Mid | PairCorr |
| 0.94 | ARKK | ARK Innovation ETF | PairCorr |
| 0.97 | IJK | iShares SP Mid | PairCorr |
| 0.97 | JKH | iShares Morningstar Mid | PairCorr |
Moving against Vanguard Etf
The ability to find closely correlated positions to Vanguard Momentum 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 Momentum 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 Momentum - 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 Momentum Factor to buy it.
The correlation of Vanguard Momentum 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 Momentum moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Vanguard Momentum Factor 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 Momentum 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 Momentum Correlation, Vanguard Momentum Volatility and Vanguard Momentum Alpha and Beta module to complement your research on Vanguard Momentum. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Vanguard Momentum 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.