Vanguard Sp Small Cap Fund Market Value
| VSMSX Fund | USD 473.97 8.42 1.81% |
| Symbol | Vanguard |
Vanguard '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'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.
| 01/31/2024 |
| 11/26/2024 |
If you would invest 0.00 in Vanguard on January 31, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Sp Small Cap or generate 0.0% return on investment in Vanguard over 300 days. Vanguard is related to or competes with Pnc Emerging, Ashmore Emerging, Rbc Bluebay, Eagle Mlp, Origin Emerging, and Black Oak. The advisor employs an indexing investment approach designed to track the performance of the SP SmallCap 600 Index More
Vanguard 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'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 Sp Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | 0.0331 | |||
| Maximum Drawdown | 7.63 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 2.04 |
Vanguard Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard's standard deviation. In reality, there are many statistical measures that can use Vanguard historical prices to predict the future Vanguard's volatility.| Risk Adjusted Performance | 0.104 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0406 | |||
| Treynor Ratio | 0.1105 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard'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 Sp Small Backtested Returns
At this stage we consider Vanguard Mutual Fund to be very steady. Vanguard Sp Small owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Sp Small Cap, which you can use to evaluate the volatility of the fund. Please validate Vanguard's Semi Deviation of 0.8605, risk adjusted performance of 0.104, and Coefficient Of Variation of 765.58 to confirm if the risk estimate we provide is consistent with the expected return of 0.17%. The entity has a beta of 1.47, 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 will likely underperform.
Auto-correlation | 0.20 |
Weak predictability
Vanguard Sp Small Cap has weak predictability. Overlapping area represents the amount of predictability between Vanguard time series from 31st of January 2024 to 29th of June 2024 and 29th of June 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 Sp Small price movement. The serial correlation of 0.2 indicates that over 20.0% of current Vanguard price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 326.58 |
Vanguard Sp Small lagged returns against current returns
Autocorrelation, which is Vanguard 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's mutual fund expected returns. We can calculate the autocorrelation of Vanguard returns to help us make a trade decision. For example, suppose you find that Vanguard 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 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 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard 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 mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Lagged Returns
When evaluating Vanguard's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard mutual fund have on its future price. Vanguard 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 autocorrelation shows the relationship between Vanguard mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Sp Small Cap.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Vanguard Mutual Fund
Vanguard 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 security.
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