Vanguard Total Bond Fund Volatility
| VBTLX Fund | USD 9.69 0.04 0.41% |
Sharpe Ratio = -0.0167
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Latest disclosures for Vanguard Total Bond show a Market Risk Adjusted Performance of -0.8%, a Risk of 0.28, and a Risk Adjusted Performance of -0.1%. Based on monthly moving averages, the fund is not performing at its full potential.
Key indicators related to Vanguard Total's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Vanguard Total (3 Months):
Beta 0.03 | Alpha -0.02 | Risk 0.28 | Sharpe Ratio -0.02 | Expected Return -0.0046 |
Moving together with Vanguard Total Mutual Fund
| 0.88 | VBMFX | Vanguard Total Bond | PairCorr |
| 0.89 | VBTIX | Vanguard Total Bond | PairCorr |
| 0.85 | VTBSX | Vanguard Total Bond | PairCorr |
| 0.88 | VTBIX | Vanguard Total Bond | PairCorr |
| 0.86 | VTBNX | Vanguard Total Bond | PairCorr |
| 0.88 | BFAFX | Bond Fund | PairCorr |
| 1.0 | ABNDX | Bond Fund | PairCorr |
| 0.88 | BFACX | Bond Fund | PairCorr |
| 0.87 | FBOFX | American Funds | PairCorr |
| 0.65 | PG | Procter Gamble | PairCorr |
| 0.62 | DD | Dupont De Nemours | PairCorr |
| 0.79 | GE | GE Aerospace | PairCorr |
Sensitivity To Market
The beta coefficient of 0.0299 for Vanguard Total Bond measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 0.28%. This analysis separates observed movement from interpretation for Vanguard Total Bond. Standard deviation (0.27%) and downside deviation (0.0%) describe the range without implying direction. Fund volatility reflects the combined movement of its underlying holdings and the fund’s asset mix.
3 Months Beta |Vanguard Total Bond Demand TrendCurrent 90-day Vanguard Total correlation with market (Dow Jones Industrial)Downside Risk
Vanguard Total standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Vanguard Total over successive periods signals increasing price uncertainty. Vanguard Total standard deviation compared across rolling windows highlights periods of elevated or subdued price risk. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for Vanguard Total.
Standard Deviation | 0.28 |
Upside risk in Vanguard Total is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in Vanguard Total's returns. Total return dispersion for Vanguard Total encompasses both favorable and adverse price movements within the measured period. The distinction matters because favorable volatility in Vanguard Total is not the same as damaging volatility. Latest disclosures for Vanguard Total Bond show a Maximum Drawdown of 1.34.
Mutual Fund Volatility Analysis
Vanguard Total mutual fund volatility is a key input for most investment risk models. When Vanguard Total's volatility is elevated, prices swing by several percentage points in a single session. Understanding Vanguard Total volatility quantifies the risk of holding Vanguard Total's mutual fund. These price changes indicate the level of risk and return variability associated with Vanguard Total's.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Vanguard Total Bond's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Based on a 90-day horizon, Vanguard Total has a beta of 0.0299. This entails as returns on the market go up, Vanguard Total's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Vanguard Total Bond tends to be smaller as well.Vanguard Total combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. Latest disclosures for Vanguard Total Bond show a Mean Deviation of 0.20 and a Standard Deviation of 0.27.
Predicted Return Distribution |
| Density |
What Drives Vanguard Total's Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Vanguard sector can alter Vanguard Total's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for Vanguard Total.Vanguard Total's Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in Vanguard Total's stock.Mutual Fund Risk Measures
Based on a 90-day horizon, the coefficient of variation of Vanguard Total is -5986.57. The daily returns are distributed with a variance of 0.08 and standard deviation of 0.28. The mean deviation of Vanguard Total Bond is currently at 0.21. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.0249 | |
β | Beta against Dow Jones | 0.03 | |
σ | Overall volatility | 0.28 | |
Ir | Information ratio | -0.1284 |
Mutual Fund Return Volatility
Volatility for Vanguard Total quantifies the day-to-day dispersion of fund returns around their historical average. The fund carries 0.276% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9279% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Risk-Adjusted Indicators
Headline performance for Vanguard Total Mutual Fund may not fully reflect how the business compares across its competitive set. Risk-adjusted metrics help compare Vanguard Total's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VBMFX | 0.21 | -0.02 | 0.00 | -0.11 | 0.00 | 0.41 | 1.34 | |||
| VBMPX | 0.21 | -0.01 | -0.06 | -0.06 | 0.25 | 0.42 | 1.24 | |||
| BND | 0.22 | -0.01 | -0.06 | -0.07 | 0.28 | 0.39 | 1.27 | |||
| VTBNX | 0.22 | -0.01 | -0.06 | -0.06 | 0.24 | 0.42 | 1.16 | |||
| QQQ | 0.96 | 0.23 | 0.20 | 0.24 | 0.86 | 2.08 | 4.50 | |||
| VUG | 0.98 | 0.17 | 0.14 | 0.18 | 1.01 | 2.00 | 5.18 | |||
| VIGAX | 0.99 | 0.18 | 0.15 | 0.18 | 1.03 | 1.98 | 5.17 | |||
| VINIX | 0.74 | 0.12 | 0.13 | 0.14 | 0.70 | 1.46 | 3.71 | |||
| VTI | 0.74 | 0.12 | 0.13 | 0.14 | 0.74 | 1.36 | 3.83 | |||
| VEA | 1.10 | 0.11 | 0.08 | 0.10 | 1.23 | 2.61 | 6.37 |
Risk Metrics, Assumptions & Methodology
Beta exposure for Vanguard Total estimates how much of the fund's return variability is driven by market-wide forces versus allocation-specific effects. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting.
Vanguard Total Bond values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Vanguard Total Bond is less volatile than Dow Jones Industrial by approximately 3.32x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 2% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Vanguard Total Bond with characteristics aligned to broad market upside participation. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is intended to separate routine noise from more speculative bursts in price action. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Vanguard Total probability analysis.
Weak diversification
For the present investment horizon, the measured correlation between Vanguard Total and Dow Jones stands at 0.45, or Weak diversification. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
A broader risk-indicator set for Vanguard Total Bond extends the analysis beyond standard volatility and risk measures. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.81 | |||
| Mean Deviation | 0.2034 | |||
| Coefficient Of Variation | -1,838 | |||
| Standard Deviation | 0.2691 | |||
| Variance | 0.0724 | |||
| Information Ratio | -0.13 |
Vanguard Total Suggested Diversification Pairs
A paired position built around Vanguard Total Bond reduces directional market exposure while expressing a relative-value view. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Vanguard Total's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Vanguard Total's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.