Vanguard risk analysis

Macroaxis considers Vanguard relatively not risky. Vanguard Extended Ma owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.09 which indicates Vanguard Extended Ma had -0.09% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Vanguard Extended Market Idx Inv exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard Semi-Deviation of 1.12, Coefficient Of Variation of (1,054) and Risk Adjusted Performance of (0.08) to make sure to check risk estimate we provide.

Projected Return Density against Market

Assuming 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

	(alpha)	=	1.04	Details
	(beta)	=	1.04	Details
	(volatility)	=	0.93	Details

Actual Return Volatility

Vanguard 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.