Vanguard MSCI (Australia) Market Value
| VGS Etf | 134.96 1.25 0.93% |
| Symbol | Vanguard |
Vanguard MSCI '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 MSCI'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 MSCI.
| 11/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in Vanguard MSCI on November 29, 2023 and sell it all today you would earn a total of 0.00 from holding Vanguard MSCI International or generate 0.0% return on investment in Vanguard MSCI over 360 days. Vanguard MSCI is related to or competes with Vanguard Global, Vanguard Global, Vanguard Australian, Vanguard Global, Vanguard MSCI, Vanguard FTSE, and Vanguard Diversified. Vanguard MSCI is entity of Australia. It is traded as Etf on AU exchange. More
Vanguard MSCI 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 MSCI'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 MSCI International upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5997 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.04 | |||
| Value At Risk | (0.93) | |||
| Potential Upside | 1.07 |
Vanguard MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard MSCI's standard deviation. In reality, there are many statistical measures that can use Vanguard MSCI historical prices to predict the future Vanguard MSCI's volatility.| Risk Adjusted Performance | 0.1271 | |||
| Jensen Alpha | 0.0729 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.4415 |
Vanguard MSCI Intern Backtested Returns
Currently, Vanguard MSCI International is very steady. Vanguard MSCI Intern owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the etf had a 0.17% return per unit of risk over the last 3 months. We have found thirty technical indicators for Vanguard MSCI International, which you can use to evaluate the volatility of the etf. Please validate Vanguard MSCI's Coefficient Of Variation of 595.81, semi deviation of 0.4379, and Risk Adjusted Performance of 0.1271 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. The entity has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard MSCI is expected to be smaller as well.
Auto-correlation | 0.65 |
Good predictability
Vanguard MSCI International has good predictability. Overlapping area represents the amount of predictability between Vanguard MSCI time series from 29th of November 2023 to 27th of May 2024 and 27th of May 2024 to 23rd 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 MSCI Intern price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Vanguard MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 11.62 |
Vanguard MSCI Intern lagged returns against current returns
Autocorrelation, which is Vanguard MSCI 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 MSCI's etf expected returns. We can calculate the autocorrelation of Vanguard MSCI returns to help us make a trade decision. For example, suppose you find that Vanguard MSCI 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 MSCI 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 MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard MSCI Lagged Returns
When evaluating Vanguard MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard MSCI etf have on its future price. Vanguard MSCI 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 MSCI autocorrelation shows the relationship between Vanguard MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard MSCI International.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Vanguard Etf
Vanguard MSCI 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 MSCI security.