Vanguard Ultra Short Term Bond Fund Market Value
| VUBFX Fund | USD 9.98 0.01 0.10% |
| Symbol | Vanguard |
Vanguard Ultra-short-term '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 Ultra-short-term'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 Ultra-short-term.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Vanguard Ultra-short-term on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Ultra Short Term Bond or generate 0.0% return on investment in Vanguard Ultra-short-term over 30 days. Vanguard Ultra-short-term is related to or competes with Vanguard Core, Vanguard Short-term, Vanguard Global, and Vanguard Emerging. The fund invests in a diversified portfolio of high-quality and, to a lesser extent, medium-quality fixed income securit... More
Vanguard Ultra-short-term 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 Ultra-short-term'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 Ultra Short Term Bond upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1817 | |||
| Information Ratio | (0.80) | |||
| Maximum Drawdown | 0.8016 | |||
| Value At Risk | (0.10) | |||
| Potential Upside | 0.1011 |
Vanguard Ultra-short-term Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Ultra-short-term's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Ultra-short-term's standard deviation. In reality, there are many statistical measures that can use Vanguard Ultra-short-term historical prices to predict the future Vanguard Ultra-short-term's volatility.| Risk Adjusted Performance | 0.0456 | |||
| Jensen Alpha | 0.0043 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.41) | |||
| Treynor Ratio | 0.4288 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Ultra-short-term'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 Ultra-short-term Backtested Returns
We consider Vanguard Ultra-short-term very steady. Vanguard Ultra-short-term owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the fund had a 0.16% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Vanguard Ultra Short Term Bond, which you can use to evaluate the volatility of the fund. Please validate Vanguard Ultra-short-term's Downside Deviation of 0.1817, standard deviation of 0.092, and Risk Adjusted Performance of 0.0456 to confirm if the risk estimate we provide is consistent with the expected return of 0.0147%. The entity has a beta of 0.0124, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Ultra-short-term's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Ultra-short-term is expected to be smaller as well.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Vanguard Ultra Short Term Bond has insignificant reverse predictability. Overlapping area represents the amount of predictability between Vanguard Ultra-short-term time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Ultra-short-term price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Vanguard Ultra-short-term price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Vanguard Ultra-short-term lagged returns against current returns
Autocorrelation, which is Vanguard Ultra-short-term 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 Ultra-short-term's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Ultra-short-term returns to help us make a trade decision. For example, suppose you find that Vanguard Ultra-short-term 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 Ultra-short-term 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 Ultra-short-term mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Ultra-short-term 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 Ultra-short-term mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Ultra-short-term Lagged Returns
When evaluating Vanguard Ultra-short-term's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Ultra-short-term mutual fund have on its future price. Vanguard Ultra-short-term 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 Ultra-short-term autocorrelation shows the relationship between Vanguard Ultra-short-term mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Ultra Short Term Bond.
Regressed Prices |
| Timeline |
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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 Ultra-short-term Correlation, Vanguard Ultra-short-term Volatility and Vanguard Ultra-short-term Alpha and Beta module to complement your research on Vanguard Ultra-short-term. Note that the Vanguard Ultra-short-term information on this page should be used as a complementary analysis to other Vanguard Ultra-short-term'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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Vanguard Ultra-short-term 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.