Vanguard (Netherlands) Market Value
| VUSA Etf | EUR 108.41 0.29 0.27% |
| 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 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.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Vanguard on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard SP 500 or generate 0.0% return on investment in Vanguard over 90 days. Vanguard is related to or competes with SPDR Dow, IShares SP, IShares China, IShares Core, and IShares MSCI. VANGUARD SP500 is traded on Amsterdam Stock Exchange in Netherlands. 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 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 SP 500 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7224 | |||
| Information Ratio | 0.085 | |||
| Maximum Drawdown | 5.49 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.21 |
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 | 0.1823 | |||
| Jensen Alpha | 0.0995 | |||
| Total Risk Alpha | 0.0581 | |||
| Sortino Ratio | 0.1018 | |||
| Treynor Ratio | 0.2475 |
Vanguard SP 500 Backtested Returns
Vanguard appears to be very steady, given 3 months investment horizon. Vanguard SP 500 owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.24, which indicates the etf had a 0.24% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard SP 500, which you can use to evaluate the volatility of the etf. Please review Vanguard's Coefficient Of Variation of 423.22, semi deviation of 0.4194, and Risk Adjusted Performance of 0.1823 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of 0.79, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vanguard's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard is expected to be smaller as well.
Auto-correlation | 0.73 |
Good predictability
Vanguard SP 500 has good predictability. Overlapping area represents the amount of predictability between Vanguard time series from 28th of August 2024 to 12th of October 2024 and 12th 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 SP 500 price movement. The serial correlation of 0.73 indicates that around 73.0% of current Vanguard price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 7.27 |
Vanguard SP 500 lagged returns against current returns
Autocorrelation, which is Vanguard 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's etf 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 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 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 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard etf 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 etf 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 etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard SP 500.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Information and Resources on Investing in Vanguard Etf
When determining whether Vanguard SP 500 is a strong investment it is important to analyze Vanguard's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Vanguard's future performance. For an informed investment choice regarding Vanguard Etf, refer to the following important reports:Check out Vanguard Correlation, Vanguard Volatility and Vanguard Alpha and Beta module to complement your research on Vanguard. You can also try the Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
Vanguard 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.