Vanguard Total (Australia) Market Value
| VTS Etf | 454.17 5.36 1.19% |
| Symbol | Vanguard |
Vanguard Total '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 Total'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 Total.
| 09/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Vanguard Total on September 24, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Total Market or generate 0.0% return on investment in Vanguard Total over 60 days. Vanguard Total is related to or competes with BetaShares Global, Beta Shares, SPDR SPASX, Vanguard Australian, Vanguard MSCI, and SPDR SP. Vanguard Total is entity of Australia. It is traded as Etf on AU exchange. More
Vanguard Total 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 Total'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 Total Market upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7301 | |||
| Information Ratio | 0.042 | |||
| Maximum Drawdown | 3.94 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 1.28 |
Vanguard Total Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Total's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Total's standard deviation. In reality, there are many statistical measures that can use Vanguard Total historical prices to predict the future Vanguard Total's volatility.| Risk Adjusted Performance | 0.1625 | |||
| Jensen Alpha | 0.1145 | |||
| Total Risk Alpha | 0.0318 | |||
| Sortino Ratio | 0.0443 | |||
| Treynor Ratio | 0.479 |
Vanguard Total Market Backtested Returns
Currently, Vanguard Total Market is very steady. Vanguard Total Market owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the etf had a 0.21% return per unit of risk over the last 3 months. We have found thirty technical indicators for Vanguard Total Market, which you can use to evaluate the volatility of the etf. Please validate Vanguard Total's Semi Deviation of 0.4704, risk adjusted performance of 0.1625, and Coefficient Of Variation of 472.16 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%. The entity has a beta of 0.32, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vanguard Total's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Total is expected to be smaller as well.
Auto-correlation | 0.90 |
Excellent predictability
Vanguard Total Market has excellent predictability. Overlapping area represents the amount of predictability between Vanguard Total time series from 24th of September 2024 to 24th of October 2024 and 24th of October 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 Total Market price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Vanguard Total price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.9 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 95.04 |
Vanguard Total Market lagged returns against current returns
Autocorrelation, which is Vanguard Total 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 Total's etf expected returns. We can calculate the autocorrelation of Vanguard Total returns to help us make a trade decision. For example, suppose you find that Vanguard Total 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 Total 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 Total etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Total etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Total etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Total Lagged Returns
When evaluating Vanguard Total's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Total etf have on its future price. Vanguard Total 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 Total autocorrelation shows the relationship between Vanguard Total etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Total Market.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Vanguard Etf
Vanguard Total 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 Total security.