Vanguard Small Cap Index Fund Market Value
| NAESX Fund | USD 103.80 1.56 1.53% |
| Symbol | Vanguard |
Vanguard Small-cap '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 Small-cap'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 Small-cap.
| 02/23/2024 |
| 04/23/2024 |
If you would invest 0.00 in Vanguard Small-cap on February 23, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Small Cap Index or generate 0.0% return on investment in Vanguard Small-cap over 60 days. Vanguard Small-cap is related to or competes with Vanguard Mid-cap, Vanguard 500, Vanguard Emerging, Vanguard Reit, and Vanguard Total. The fund employs an indexing investment approach designed to track the performance of the CRSP US Small Cap Index, a bro... More
Vanguard Small-cap 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 Small-cap'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 Small Cap Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.15 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.28 | |||
| Value At Risk | (1.79) | |||
| Potential Upside | 1.76 |
Vanguard Small-cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Small-cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Small-cap's standard deviation. In reality, there are many statistical measures that can use Vanguard Small-cap historical prices to predict the future Vanguard Small-cap's volatility.| Risk Adjusted Performance | 0.0437 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0371 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Small-cap's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Vanguard Small Cap Backtested Returns
We consider Vanguard Small-cap very steady. Vanguard Small Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0697, which indicates the fund had a 0.0697% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Small Cap Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard Small-cap's Semi Deviation of 1.08, risk adjusted performance of 0.0437, and Coefficient Of Variation of 1548.63 to confirm if the risk estimate we provide is consistent with the expected return of 0.0721%. The entity has a beta of 1.51, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Vanguard Small-cap will likely underperform.
Auto-correlation | -0.41 |
Modest reverse predictability
Vanguard Small Cap Index has modest reverse predictability. Overlapping area represents the amount of predictability between Vanguard Small-cap time series from 23rd of February 2024 to 24th of March 2024 and 24th of March 2024 to 23rd of April 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 Small Cap price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Vanguard Small-cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 7.56 |
Vanguard Small Cap lagged returns against current returns
Autocorrelation, which is Vanguard Small-cap 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 Small-cap's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Small-cap returns to help us make a trade decision. For example, suppose you find that Vanguard Small-cap 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 Small-cap 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 Small-cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Small-cap 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 Small-cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Small-cap Lagged Returns
When evaluating Vanguard Small-cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Small-cap mutual fund have on its future price. Vanguard Small-cap 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 Small-cap autocorrelation shows the relationship between Vanguard Small-cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Small Cap Index.
Regressed Prices |
| Timeline |
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Vanguard Small-cap technical mutual fund 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, fund market cycles, or different charting patterns.