Vanguard Value Index Fund Market Value
| VVIAX Fund | USD 70.26 0.54 0.77% |
| Symbol | Vanguard |
Vanguard Value '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 Value'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 Value.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Vanguard Value on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Vanguard Value Index or generate 0.0% return on investment in Vanguard Value over 510 days. Vanguard Value is related to or competes with Vanguard Small-cap, Vanguard Growth, Vanguard Mid-cap, Vanguard Small-cap, and Vanguard Emerging. The fund employs an indexing investment approach designed to track the performance of the CRSP US Large Cap Value Index,... More
Vanguard Value 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 Value'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 Value Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5443 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.45 | |||
| Value At Risk | (0.83) | |||
| Potential Upside | 1.09 |
Vanguard Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Value's standard deviation. In reality, there are many statistical measures that can use Vanguard Value historical prices to predict the future Vanguard Value's volatility.| Risk Adjusted Performance | 0.1237 | |||
| Jensen Alpha | 0.0968 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 4.48 |
Vanguard Value Index Backtested Returns
At this stage we consider Vanguard Mutual Fund to be very steady. Vanguard Value Index owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the fund had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Value Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard Value's Risk Adjusted Performance of 0.1237, semi deviation of 0.3672, and Coefficient Of Variation of 610.9 to confirm if the risk estimate we provide is consistent with the expected return of 0.097%. The entity has a beta of 0.0222, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Value's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Value is expected to be smaller as well.
Auto-correlation | 0.77 |
Good predictability
Vanguard Value Index has good predictability. Overlapping area represents the amount of predictability between Vanguard Value time series from 5th of July 2023 to 16th of March 2024 and 16th of March 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 Value Index price movement. The serial correlation of 0.77 indicates that around 77.0% of current Vanguard Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 8.69 |
Vanguard Value Index lagged returns against current returns
Autocorrelation, which is Vanguard Value 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 Value's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Value returns to help us make a trade decision. For example, suppose you find that Vanguard Value 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 Value 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 Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Value 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 Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Value Lagged Returns
When evaluating Vanguard Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Value mutual fund have on its future price. Vanguard Value 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 Value autocorrelation shows the relationship between Vanguard Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Value Index.
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 Value 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 Value security.
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