Vanguard Large Cap Index ETF Volatility
| VV ETF | USD 340.18 1.13 0.33% |
Sharpe Ratio = 0.118
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Vanguard Large Cap Index reported a Market Risk Adjusted Performance of 0.1%, a Risk of 0.92, and a Risk Adjusted Performance of 0.1%. Monthly performance data shows the ETF operating at about 9% of its measured historical range.
Key indicators related to Vanguard Large's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Vanguard Large (3 Months):
Beta 0.89 | Alpha 0.11 | Risk 0.92 | Sharpe Ratio 0.12 | Expected Return 0.11 |
Assets With Similar Volatility
| 1.0 | VTI | Vanguard Total Stock | PairCorr |
| 1.0 | SPY | SPDR SAMPP 500 | PairCorr |
| 1.0 | IVV | iShares Core SAMPP | PairCorr |
| 0.87 | VIG | Vanguard Dividend Appreciation Sell-off Trend | PairCorr |
| 0.86 | RSP | Invesco SAMPP 500 | PairCorr |
| 1.0 | IWB | iShares Russell 1000 | PairCorr |
| 1.0 | ESGU | iShares ESG Aware | PairCorr |
| 0.99 | DFAC | Dimensional Core Equity | PairCorr |
| 0.73 | FB | ProShares Trust ProShares | PairCorr |
| 0.95 | VB | Vanguard Small Cap Index | PairCorr |
| 1.0 | TOT | Lionshares Equity Total | PairCorr |
| 0.97 | SMMD | iShares Russell 2500 | PairCorr |
| 0.95 | IYW | iShares Technology ETF | PairCorr |
| 1.0 | IWV | iShares Russell 3000 | PairCorr |
| 0.68 | MARM | FT Vest Equity | PairCorr |
| 0.7 | WMT | Walmart | PairCorr |
| 0.67 | HPQ | HP Inc Aggressive Push | PairCorr |
| 0.81 | CSCO | Cisco Systems Earnings Call This Week | PairCorr |
Lower Correlation Assets
Sensitivity To Market
The beta coefficient of 0.89 for Vanguard Large Cap Index 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 0.92%. This analysis separates observed movement from interpretation for Vanguard Large Cap Index. Standard deviation (0.95%) and downside deviation (0.88%) describe the range without implying direction. ETF variability increases when the underlying basket is less liquid, making spreads wider and NAV alignment slower. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Vanguard Large Cap Demand TrendCurrent 90-day Vanguard Large correlation with market (Dow Jones Industrial)Downside Risk
Vanguard Large standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Vanguard Large over successive periods signals increasing price uncertainty.
Standard Deviation | 0.92 |
Upside risk in Vanguard Large 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 Large's returns. Vanguard Large Cap Index reported a Downside Deviation of 0.88, a Downside Variance of 0.77, and a Maximum Drawdown of 3.71.
ETF Volatility Analysis
Vanguard Large ETF volatility is a key input for most investment risk models. When Vanguard Large's volatility is elevated, prices swing by several percentage points in a single session.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between Vanguard Large Cap's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.
Projected Return Density Against Market
For a 90-day investment horizon, Vanguard Large has a beta of 0.8946. This entails Vanguard Large Cap Index market returns are correlated to returns on the market. As the market goes up or down, Vanguard Large tends to follow.The aggregate risk of Vanguard Large includes ETF market sensitivity and asset-level influences. Diversification addresses specific risk but not systemic exposure. Vanguard Large Cap Index reported a Downside Deviation of 0.88, a Mean Deviation of 0.74, and a Semi Deviation of 0.75.
Predicted Return Distribution |
| Density |
What Drives Vanguard Large's Price Volatility?
Holdings and Allocation
Exposure changes, asset reallocation, or index methodology updates in the Large Blend category can alter Vanguard Large'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 Large.Vanguard Large's Fund-Specific Factors
Unexpected fund flow surges, tracking deviation, or liquidity changes can drive outsized moves in Vanguard Large's price.ETF Risk Measures
For a 90-day investment horizon, the coefficient of variation of Vanguard Large is 847.79. The daily returns are distributed with a variance of 0.84 and standard deviation of 0.92. The mean deviation of Vanguard Large Cap Index is currently at 0.7. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.11 | |
β | Beta against Dow Jones | 0.89 | |
σ | Overall volatility | 0.92 | |
Ir | Information ratio | 0.12 |
ETF Return Volatility
Volatility for Vanguard Large quantifies the day-to-day dispersion of ETF returns around their historical average. The fund carries 0.9162% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9236% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Vanguard Large Constituents Risk-Adjusted Indicators
Headline performance for Vanguard Large ETF may not fully reflect how the business compares across its competitive set. Reviewing Vanguard Large's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VLCAX | 0.75 | 0.11 | 0.12 | 0.11 | 0.75 | 1.43 | 3.97 | |||
| VBR | 0.77 | 0.04 | 0.04 | 0.04 | 0.95 | 1.80 | 4.42 | |||
| VFWAX | 0.97 | 0.09 | 0.07 | 0.08 | 1.16 | 2.18 | 5.77 | |||
| VEU | 1.09 | 0.10 | 0.07 | 0.08 | 1.22 | 2.53 | 6.11 | |||
| VNQ | 0.69 | 0.10 | 0.11 | 0.16 | 0.86 | 1.57 | 4.67 | |||
| VTWAX | 0.82 | 0.10 | 0.10 | 0.09 | 0.87 | 1.88 | 4.37 | |||
| VT | 0.86 | 0.10 | 0.10 | 0.10 | 0.89 | 1.93 | 4.32 | |||
| VBIAX | 0.50 | 0.06 | 0.11 | 0.10 | 0.49 | 1.03 | 2.57 | |||
| VYM | 0.54 | 0.03 | 0.04 | 0.04 | 0.63 | 1.74 | 3.67 | |||
| VHYAX | 0.56 | 0.03 | 0.04 | 0.04 | 0.68 | 1.72 | 3.92 |
Risk Metrics, Assumptions & Methodology
Drawdown analysis for Vanguard Large measures the largest peak-to-trough declines and their duration within the fund's price history. Position sizing should account for historical drawdown severity, not just average dispersion.
Vanguard Large Cap Index figures are aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Vanguard Large Cap Index exhibits approximately the same volatility as Dow Jones Industrial over the selected horizon. This parity reflects similar return dispersion across both instruments and frames how each responds to broader market conditions. Across the current 90-day horizon, that places the security below 8% 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 Large Cap Index with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. 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 Large probability analysis.
Very poor diversification
Across the chosen horizon, Vanguard Large and Dow Jones show a correlation of 0.82 and fall into the Very poor diversification bucket. 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 Large Cap Index extends the analysis beyond standard volatility and risk measures. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.1199 | |||
| Market Risk Adjusted Performance | 0.1308 | |||
| Mean Deviation | 0.7357 | |||
| Semi Deviation | 0.7477 | |||
| Downside Deviation | 0.88 | |||
| Coefficient Of Variation | 803.41 | |||
| Standard Deviation | 0.9486 |
Vanguard Large Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between Vanguard Large Cap Index and comparable securities. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Vanguard Large's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Vanguard Large's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.