Vanguard Global Momentum Etf Market Value
| VMO Etf | CAD 54.43 0.32 0.58% |
| Symbol | Vanguard |
Vanguard Global '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 Global'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 Global.
| 04/30/2022 |
| 04/19/2024 |
If you would invest 0.00 in Vanguard Global on April 30, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard Global Momentum or generate 0.0% return on investment in Vanguard Global over 720 days. Vanguard Global is related to or competes with Vanguard Global, Vanguard Global, Vanguard FTSE, Vanguard Dividend, and Vanguard Dividend. The Vanguard Global Momentum Factor ETF seeks to provide long-term capital appreciation by aiming to capture potential e... More
Vanguard Global 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 Global'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 Global Momentum upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7618 | |||
| Information Ratio | 0.0992 | |||
| Maximum Drawdown | 4.31 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 1.46 |
Vanguard Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Global's standard deviation. In reality, there are many statistical measures that can use Vanguard Global historical prices to predict the future Vanguard Global's volatility.| Risk Adjusted Performance | 0.1141 | |||
| Jensen Alpha | 0.094 | |||
| Total Risk Alpha | 0.0623 | |||
| Sortino Ratio | 0.1104 | |||
| Treynor Ratio | 0.1717 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Global'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 Global Momentum Backtested Returns
We consider Vanguard Global very steady. Vanguard Global Momentum 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 twenty-nine technical indicators for Vanguard Global Momentum, which you can use to evaluate the volatility of the etf. Please validate Vanguard Global's Coefficient Of Variation of 555.07, risk adjusted performance of 0.1141, and Semi Deviation of 0.5322 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. The entity has a beta of 0.83, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vanguard Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Global is expected to be smaller as well.
Auto-correlation | 0.57 |
Modest predictability
Vanguard Global Momentum has modest predictability. Overlapping area represents the amount of predictability between Vanguard Global time series from 30th of April 2022 to 25th of April 2023 and 25th of April 2023 to 19th 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 Global Momentum price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current Vanguard Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 19.9 |
Vanguard Global Momentum lagged returns against current returns
Autocorrelation, which is Vanguard Global 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 Global's etf expected returns. We can calculate the autocorrelation of Vanguard Global returns to help us make a trade decision. For example, suppose you find that Vanguard Global 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 Global 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 Global etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Global etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Global etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Global Lagged Returns
When evaluating Vanguard Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Global etf have on its future price. Vanguard Global 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 Global autocorrelation shows the relationship between Vanguard Global etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Global Momentum.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Vanguard Global in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Vanguard Global's short interest history, or implied volatility extrapolated from Vanguard Global options trading.
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Vanguard Global Correlation, Vanguard Global Volatility and Vanguard Global Alpha and Beta module to complement your research on Vanguard Global. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Vanguard Global 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.