Vanguard FTSE (Netherlands) Market Value
| VWRL Etf | EUR 133.80 0.02 0.01% |
| Symbol | Vanguard |
Vanguard FTSE '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 FTSE'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 FTSE.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Vanguard FTSE on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard FTSE All World or generate 0.0% return on investment in Vanguard FTSE over 30 days. Vanguard FTSE is related to or competes with SPDR Dow, IShares SP, IShares Core, and IShares MSCI. This Fund seeks to provide long-term growth of capital by tracking the performance of the Index, a market-capitalisation... More
Vanguard FTSE 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 FTSE'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 FTSE All World upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.664 | |||
| Information Ratio | 0.0305 | |||
| Maximum Drawdown | 3.81 | |||
| Value At Risk | (1.03) | |||
| Potential Upside | 1.25 |
Vanguard FTSE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard FTSE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard FTSE's standard deviation. In reality, there are many statistical measures that can use Vanguard FTSE historical prices to predict the future Vanguard FTSE's volatility.| Risk Adjusted Performance | 0.157 | |||
| Jensen Alpha | 0.0592 | |||
| Total Risk Alpha | 0.0272 | |||
| Sortino Ratio | 0.0337 | |||
| Treynor Ratio | 0.2044 |
Vanguard FTSE All Backtested Returns
Currently, Vanguard FTSE All World is very steady. Vanguard FTSE All owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the etf had a 0.19% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard FTSE All World, which you can use to evaluate the volatility of the etf. Please validate Vanguard FTSE's Coefficient Of Variation of 485.44, semi deviation of 0.4015, and Risk Adjusted Performance of 0.157 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The entity has a beta of 0.69, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vanguard FTSE's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard FTSE is expected to be smaller as well.
Auto-correlation | 0.96 |
Excellent predictability
Vanguard FTSE All World has excellent predictability. Overlapping area represents the amount of predictability between Vanguard FTSE time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 FTSE All price movement. The serial correlation of 0.96 indicates that 96.0% of current Vanguard FTSE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.96 | |
| Spearman Rank Test | 0.94 | |
| Residual Average | 0.0 | |
| Price Variance | 1.35 |
Vanguard FTSE All lagged returns against current returns
Autocorrelation, which is Vanguard FTSE 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 FTSE's etf expected returns. We can calculate the autocorrelation of Vanguard FTSE returns to help us make a trade decision. For example, suppose you find that Vanguard FTSE 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 FTSE 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 FTSE etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard FTSE etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard FTSE etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard FTSE Lagged Returns
When evaluating Vanguard FTSE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard FTSE etf have on its future price. Vanguard FTSE 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 FTSE autocorrelation shows the relationship between Vanguard FTSE etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard FTSE All World.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Information and Resources on Investing in Vanguard Etf
When determining whether Vanguard FTSE All is a strong investment it is important to analyze Vanguard FTSE'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 FTSE's future performance. For an informed investment choice regarding Vanguard Etf, refer to the following important reports:Check out Vanguard FTSE Correlation, Vanguard FTSE Volatility and Vanguard FTSE Alpha and Beta module to complement your research on Vanguard FTSE. You can also try the ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
Vanguard FTSE 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.