Projected Return Density against MarketAssuming 30 trading days horizon, the fund has beta cooficient of 1.04 . This entails Vanguard Extended Market Idx Inv market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Vanguard is expected to follow. In addition to that, Vanguard Extended Market Idx Inv has alpha of 1.04 implying that it can potentially generate 1.04% excess return over S&P 500 after adjusting for the inherited market risk (beta). Assuming 30 trading days horizon, the coefficient of variation of Vanguard is -1053.99. The daily returns are destributed with a variance of 0.87 and standard deviation of 0.93. The mean deviation of Vanguard Extended Market Idx Inv is currently at 0.76. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.84
Actual Return VolatilityVanguard Extended Market Idx Inv shows 0.93% volatility of returns over 30 trading days. S&P 500 shows 0.84% volatility of returns over 30 trading days.
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Vanguard Extended Market Idx Inv has a volatility of 0.93 and is 1.11 times more volatile than S&P 500. 11% of all equities and portfolios are less risky than Vanguard. Compared with the overall equity markets, volatility of historical daily returns of Vanguard Extended Market Idx Inv is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Vanguard Extended Market Idx Inv to enhance returns of your portfolios. The fund experiences moderate upward volatility. Vanguard returns are very sensitive to returns on the market. As market goes up or down, Vanguard is expected to follow.
Vanguard correlation with market
Vanguard Current Risk Indicators
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