Vaughan Nelson Value Fund Market Value
| VNVAX Fund | USD 24.15 0.03 0.12% |
| Symbol | Vaughan |
Vaughan Nelson '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 Vaughan Nelson'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 Vaughan Nelson.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Vaughan Nelson on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vaughan Nelson Value or generate 0.0% return on investment in Vaughan Nelson over 30 days. Vaughan Nelson is related to or competes with Government Street, Federated Mdt, Janus Enterprise, Victory Integrity, and Virtus Kar. Under normal circumstances, the fund will invest at least 80 percent of its net assets in mid-cap companies More
Vaughan Nelson 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 Vaughan Nelson'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 Vaughan Nelson Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9495 | |||
| Information Ratio | 0.0137 | |||
| Maximum Drawdown | 3.96 | |||
| Value At Risk | (1.51) | |||
| Potential Upside | 1.38 |
Vaughan Nelson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vaughan Nelson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vaughan Nelson's standard deviation. In reality, there are many statistical measures that can use Vaughan Nelson historical prices to predict the future Vaughan Nelson's volatility.| Risk Adjusted Performance | 0.0758 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0134 | |||
| Treynor Ratio | 0.0762 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vaughan Nelson'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.
Vaughan Nelson Value Backtested Returns
We consider Vaughan Nelson very steady. Vaughan Nelson Value owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the fund had a 0.11% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vaughan Nelson Value, which you can use to evaluate the volatility of the fund. Please validate Vaughan Nelson's Semi Deviation of 0.8368, coefficient of variation of 859.77, and Risk Adjusted Performance of 0.0758 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. The entity has a beta of 1.29, 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, Vaughan Nelson will likely underperform.
Auto-correlation | 0.42 |
Average predictability
Vaughan Nelson Value has average predictability. Overlapping area represents the amount of predictability between Vaughan Nelson time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Vaughan Nelson Value price movement. The serial correlation of 0.42 indicates that just about 42.0% of current Vaughan Nelson price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.17 |
Vaughan Nelson Value lagged returns against current returns
Autocorrelation, which is Vaughan Nelson 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 Vaughan Nelson's mutual fund expected returns. We can calculate the autocorrelation of Vaughan Nelson returns to help us make a trade decision. For example, suppose you find that Vaughan Nelson 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 |
Vaughan Nelson 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 Vaughan Nelson mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vaughan Nelson mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vaughan Nelson mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vaughan Nelson Lagged Returns
When evaluating Vaughan Nelson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vaughan Nelson mutual fund have on its future price. Vaughan Nelson 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, Vaughan Nelson autocorrelation shows the relationship between Vaughan Nelson mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vaughan Nelson Value.
Regressed Prices |
| Timeline |
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 Vaughan Nelson Correlation, Vaughan Nelson Volatility and Vaughan Nelson Alpha and Beta module to complement your research on Vaughan Nelson. Note that the Vaughan Nelson Value information on this page should be used as a complementary analysis to other Vaughan Nelson's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Money Managers module to screen money managers from public funds and ETFs managed around the world.
Vaughan Nelson 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.