Vanguard Small Cap Value Etf Volatility
| VBR Etf | USD 214.02 2.82 1.34% |
Currently, Vanguard Small Cap Value is very steady. Vanguard Small Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the etf had a 0.14% return per unit of risk over the last 3 months. We have found thirty technical indicators for Vanguard Small Cap Value, which you can use to evaluate the volatility of the etf. Please validate Vanguard Small's Coefficient Of Variation of 614.91, semi deviation of 0.6067, and Risk Adjusted Performance of 0.1274 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. Key indicators related to Vanguard Small's volatility include:
270 Days Market Risk | Chance Of Distress | 270 Days Economic Sensitivity |
Vanguard Small Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Vanguard daily returns, and it is calculated using variance and standard deviation. We also use Vanguard's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Vanguard Small volatility.
Vanguard |
Downward market volatility can be a perfect environment for investors who play the long game with Vanguard Small. They may decide to buy additional shares of Vanguard Small at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Vanguard Etf
| 0.97 | IWN | iShares Russell 2000 | PairCorr |
| 0.98 | DFAT | Dimensional Targeted | PairCorr |
| 0.97 | IJS | iShares SP Small | PairCorr |
| 0.97 | SLYV | SPDR SP 600 | PairCorr |
| 0.98 | AVUV | Avantis Small Cap | PairCorr |
| 0.98 | DES | WisdomTree SmallCap | PairCorr |
| 0.86 | CALF | Pacer Small Cap | PairCorr |
| 0.97 | VIOV | Vanguard SP Small | PairCorr |
Moving against Vanguard Etf
| 0.77 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
Vanguard Small Market Sensitivity And Downside Risk
Vanguard Small's beta coefficient measures the volatility of Vanguard etf compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Vanguard etf's returns against your selected market. In other words, Vanguard Small's beta of 1.21 provides an investor with an approximation of how much risk Vanguard Small etf can potentially add to one of your existing portfolios. Vanguard Small Cap Value has low volatility with Treynor Ratio of 0.13, Maximum Drawdown of 5.71 and kurtosis of 3.67. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Vanguard Small's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Vanguard Small's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Vanguard Small Cap Demand TrendCheck current 90 days Vanguard Small correlation with market (Dow Jones Industrial)Vanguard Beta |
Vanguard standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.01 |
It is essential to understand the difference between upside risk (as represented by Vanguard Small's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Vanguard Small's daily returns or price. Since the actual investment returns on holding a position in vanguard etf tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Vanguard Small.
Vanguard Small Cap Etf Volatility Analysis
Volatility refers to the frequency at which Vanguard Small etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Vanguard Small's price changes. Investors will then calculate the volatility of Vanguard Small's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Vanguard Small's volatility:
Historical Volatility
This type of etf volatility measures Vanguard Small's fluctuations based on previous trends. It's commonly used to predict Vanguard Small's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Vanguard Small's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Vanguard Small's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Vanguard Small Cap Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Vanguard Small Projected Return Density Against Market
Considering the 90-day investment horizon the etf has the beta coefficient of 1.212 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Vanguard Small will likely underperform.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Vanguard Small or Vanguard sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Vanguard Small's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Vanguard etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Vanguard Small Cap Value has an alpha of 0.0132, implying that it can generate a 0.0132 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Vanguard Small Price Volatility?
Several factors can influence a etf's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Vanguard Small Etf Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Vanguard Small is 709.34. The daily returns are distributed with a variance of 1.03 and standard deviation of 1.01. The mean deviation of Vanguard Small Cap Value is currently at 0.72. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 1.21 | |
σ | Overall volatility | 1.01 | |
Ir | Information ratio | 0.04 |
Vanguard Small Etf Return Volatility
Vanguard Small historical daily return volatility represents how much of Vanguard Small etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF has volatility of 1.0127% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7685% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Vanguard Small Volatility
Volatility is a rate at which the price of Vanguard Small or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Vanguard Small may increase or decrease. In other words, similar to Vanguard's beta indicator, it measures the risk of Vanguard Small and helps estimate the fluctuations that may happen in a short period of time. So if prices of Vanguard Small fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.The fund employs an indexing investment approach designed to track the performance of the CRSP US Small Cap Value Index, a broadly diversified index of value stocks of small U.S. companies. Smallcap Value is traded on NYSEARCA Exchange in the United States.
Vanguard Small's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Vanguard Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Vanguard Small's price varies over time.
3 ways to utilize Vanguard Small's volatility to invest better
Higher Vanguard Small's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Vanguard Small Cap etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Vanguard Small Cap etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Vanguard Small Cap investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Vanguard Small's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Vanguard Small's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Vanguard Small Investment Opportunity
Vanguard Small Cap Value has a volatility of 1.01 and is 1.31 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Small Cap Value is lower than 9 percent of all global equities and portfolios over the last 90 days. You can use Vanguard Small Cap Value to enhance the returns of your portfolios. The etf experiences a large bullish trend. Check odds of Vanguard Small to be traded at $235.42 in 90 days.Very poor diversification
The correlation between Vanguard Small Cap Value and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Value and DJI in the same portfolio, assuming nothing else is changed.
Vanguard Small Additional Risk Indicators
The analysis of Vanguard Small's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Vanguard Small's investment and either accepting that risk or mitigating it. Along with some common measures of Vanguard Small etf's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1274 | |||
| Market Risk Adjusted Performance | 0.1416 | |||
| Mean Deviation | 0.7449 | |||
| Semi Deviation | 0.6067 | |||
| Downside Deviation | 0.8491 | |||
| Coefficient Of Variation | 614.91 | |||
| Standard Deviation | 1.04 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Vanguard Small Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Vanguard Small as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Vanguard Small's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Vanguard Small's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Vanguard Small Cap Value.
When determining whether Vanguard Small Cap is a strong investment it is important to analyze Vanguard Small'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 Small's future performance. For an informed investment choice regarding Vanguard Etf, refer to the following important reports: Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Small Cap Value. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of labor statistics. You can also try the Equity Valuation module to check real value of public entities based on technical and fundamental data.
The market value of Vanguard Small Cap is measured differently than its book value, which is the value of Vanguard that is recorded on the company's balance sheet. Investors also form their own opinion of Vanguard Small's value that differs from its market value or its book value, called intrinsic value, which is Vanguard Small's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Vanguard Small's market value can be influenced by many factors that don't directly affect Vanguard Small's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Vanguard Small's value and its price as these two are different measures arrived at by different means. Investors typically determine if Vanguard Small is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Vanguard Small's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.