Vanguard Mortgage Backed Securities Fund Market Value
| VMBSX Fund | USD 18.44 0.06 0.32% |
| Symbol | Vanguard |
Vanguard Mortgage-backed '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 Mortgage-backed's mutual fund 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 Mortgage-backed.
| 01/17/2024 |
| 03/12/2025 |
If you would invest 0.00 in Vanguard Mortgage-backed on January 17, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Mortgage Backed Securities or generate 0.0% return on investment in Vanguard Mortgage-backed over 420 days. Vanguard Mortgage-backed is related to or competes with Vanguard Intermediate-ter, Vanguard Long-term, Vanguard Short-term, Vanguard Intermediate-ter, and Vanguard Long-term. The fund employs an indexing investment approach designed to track the performance of the Bloomberg U.S More
Vanguard Mortgage-backed 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 Mortgage-backed's mutual fund 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 Mortgage Backed Securities upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.295 | |||
| Information Ratio | 0.3683 | |||
| Maximum Drawdown | 1.45 | |||
| Value At Risk | (0.44) | |||
| Potential Upside | 0.5543 |
Vanguard Mortgage-backed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Mortgage-backed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Mortgage-backed's standard deviation. In reality, there are many statistical measures that can use Vanguard Mortgage-backed historical prices to predict the future Vanguard Mortgage-backed's volatility.| Risk Adjusted Performance | 0.0394 | |||
| Jensen Alpha | 0.0161 | |||
| Total Risk Alpha | 0.0505 | |||
| Sortino Ratio | 0.3913 | |||
| Treynor Ratio | 0.2327 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Mortgage-backed's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Vanguard Mortgage-backed Backtested Returns
At this stage we consider Vanguard Mutual Fund to be very steady. Vanguard Mortgage-backed owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0794, which indicates the fund had a 0.0794 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Mortgage Backed Securities, which you can use to evaluate the volatility of the fund. Please validate Vanguard Mortgage-backed's Coefficient Of Variation of 1485.29, risk adjusted performance of 0.0394, and Semi Deviation of 0.23 to confirm if the risk estimate we provide is consistent with the expected return of 0.0255%. The entity has a beta of 0.0477, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Mortgage-backed's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Mortgage-backed is expected to be smaller as well.
Auto-correlation | 0.15 |
Insignificant predictability
Vanguard Mortgage Backed Securities has insignificant predictability. Overlapping area represents the amount of predictability between Vanguard Mortgage-backed time series from 17th of January 2024 to 14th of August 2024 and 14th of August 2024 to 12th of March 2025. 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 Mortgage-backed price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Vanguard Mortgage-backed price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Vanguard Mortgage-backed lagged returns against current returns
Autocorrelation, which is Vanguard Mortgage-backed mutual fund'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 Mortgage-backed's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Mortgage-backed returns to help us make a trade decision. For example, suppose you find that Vanguard Mortgage-backed has exhibited high autocorrelation historically, and you observe that the mutual fund 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 Mortgage-backed 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 Mortgage-backed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Mortgage-backed mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Mortgage-backed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Mortgage-backed Lagged Returns
When evaluating Vanguard Mortgage-backed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Mortgage-backed mutual fund have on its future price. Vanguard Mortgage-backed 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 Mortgage-backed autocorrelation shows the relationship between Vanguard Mortgage-backed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Mortgage Backed Securities.
Regressed Prices |
| Timeline |
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Vanguard Mortgage-backed financial ratios help investors to determine whether Vanguard Mutual Fund 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 Mortgage-backed security.
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