Vanguard Mortgage Backed Securities Etf Volatility
| VMBS Etf | USD 44.37 0.15 0.34% |
Vanguard Mortgage owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0747, which indicates the etf had a -0.0747% return per unit of risk over the last 3 months. Vanguard Mortgage Backed Securities exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vanguard Mortgage's Risk Adjusted Performance of (0.04), coefficient of variation of (1,878), and Variance of 0.1923 to confirm the risk estimate we provide. Key indicators related to Vanguard Mortgage's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Vanguard Mortgage Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Vanguard daily returns, and it is calculated using variance and standard deviation. We also use Vanguard's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Vanguard Mortgage volatility.
Vanguard |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Vanguard Mortgage can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Vanguard Mortgage at lower prices. For example, an investor can purchase Vanguard stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Vanguard Mortgage's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with Vanguard Etf
| 0.91 | GOVT | iShares Treasury Bond | PairCorr |
| 1.0 | MBB | iShares MBS ETF | PairCorr |
| 0.96 | IEI | iShares 3 7 Sell-off Trend | PairCorr |
| 0.97 | SPTI | SPDR Portfolio Inter | PairCorr |
| 1.0 | SPMB | SPDR Portfolio Mortgage | PairCorr |
| 0.99 | JMBS | Janus Henderson Mort | PairCorr |
| 0.97 | FLGV | Franklin Liberty Treasury | PairCorr |
| 0.99 | MBSD | FlexShares Disciplined | PairCorr |
| 0.91 | OWNS | Quaker Investment Trust | PairCorr |
Vanguard Mortgage Market Sensitivity And Downside Risk
Vanguard Mortgage's beta coefficient measures the volatility of Vanguard etf compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Vanguard etf's returns against your selected market. In other words, Vanguard Mortgage's beta of 0.31 provides an investor with an approximation of how much risk Vanguard Mortgage etf can potentially add to one of your existing portfolios. Vanguard Mortgage Backed Securities exhibits very low volatility with skewness of -0.78 and kurtosis of 0.83. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Vanguard Mortgage's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Vanguard Mortgage's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Vanguard Mortgage Demand TrendCheck current 90 days Vanguard Mortgage correlation with market (NYSE Composite)Vanguard Beta |
Vanguard standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 0.44 |
It is essential to understand the difference between upside risk (as represented by Vanguard Mortgage's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Vanguard Mortgage's daily returns or price. Since the actual investment returns on holding a position in vanguard etf tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Vanguard Mortgage.
Using Vanguard Put Option to Manage Risk
Put options written on Vanguard Mortgage grant holders of the option the right to sell a specified amount of Vanguard Mortgage at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Vanguard Etf cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Vanguard Mortgage's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Vanguard Mortgage will be realized, the loss incurred will be offset by the profits made with the option trade.
Vanguard Mortgage's PUT expiring on 2024-05-17
Profit |
| Vanguard Mortgage Price At Expiration |
Current Vanguard Mortgage Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
Put | 2024-05-17 PUT at $43.0 | -0.1627 | 0.1437 | 1 | 2024-05-17 | 0.0 - 0.15 | 0.15 | View |
Vanguard Mortgage Etf Volatility Analysis
Volatility refers to the frequency at which Vanguard Mortgage etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Vanguard Mortgage's price changes. Investors will then calculate the volatility of Vanguard Mortgage's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Vanguard Mortgage's volatility:
Historical Volatility
This type of etf volatility measures Vanguard Mortgage's fluctuations based on previous trends. It's commonly used to predict Vanguard Mortgage's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Vanguard Mortgage's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Vanguard Mortgage's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Vanguard Mortgage Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Vanguard Mortgage Projected Return Density Against Market
Given the investment horizon of 90 days Vanguard Mortgage has a beta of 0.3082 . This entails as returns on the market go up, Vanguard Mortgage average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Vanguard Mortgage Backed Securities will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Vanguard Mortgage or Vanguard sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Vanguard Mortgage's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Vanguard etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Vanguard Mortgage Backed Securities has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives a Vanguard Mortgage Price Volatility?
Several factors can influence a etf's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Vanguard Mortgage Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Vanguard Mortgage is -1339.2. The daily returns are distributed with a variance of 0.2 and standard deviation of 0.44. The mean deviation of Vanguard Mortgage Backed Securities is currently at 0.34. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.06 | |
β | Beta against NYSE Composite | 0.31 | |
σ | Overall volatility | 0.44 | |
Ir | Information ratio | -0.27 |
Vanguard Mortgage Etf Return Volatility
Vanguard Mortgage historical daily return volatility represents how much of Vanguard Mortgage etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The exchange-traded fund inherits 0.4419% risk (volatility on return distribution) over the 90 days horizon. By contrast, NYSE Composite accepts 0.633% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Vanguard Mortgage Volatility
Volatility is a rate at which the price of Vanguard Mortgage or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Vanguard Mortgage may increase or decrease. In other words, similar to Vanguard's beta indicator, it measures the risk of Vanguard Mortgage and helps estimate the fluctuations that may happen in a short period of time. So if prices of Vanguard Mortgage fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.The fund employs an indexing investment approach designed to track the performance of the Bloomberg U.S. Mortgage-Backed Securities is traded on NASDAQ Exchange in the United States.
Vanguard Mortgage's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Vanguard Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Vanguard Mortgage's price varies over time.
3 ways to utilize Vanguard Mortgage's volatility to invest better
Higher Vanguard Mortgage's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Vanguard Mortgage etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Vanguard Mortgage etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Vanguard Mortgage investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Vanguard Mortgage's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Vanguard Mortgage's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Vanguard Mortgage Investment Opportunity
NYSE Composite has a standard deviation of returns of 0.63 and is 1.43 times more volatile than Vanguard Mortgage Backed Securities. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Mortgage Backed Securities is lower than 3 percent of all global equities and portfolios over the last 90 days. You can use Vanguard Mortgage Backed Securities to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend and little activity. Check odds of Vanguard Mortgage to be traded at $43.93 in 90 days.Very weak diversification
The correlation between Vanguard Mortgage Backed Secur and NYA is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Mortgage Backed Secur and NYA in the same portfolio, assuming nothing else is changed.
Vanguard Mortgage Additional Risk Indicators
The analysis of Vanguard Mortgage's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Vanguard Mortgage's investment and either accepting that risk or mitigating it. Along with some common measures of Vanguard Mortgage etf's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.04) | |||
| Market Risk Adjusted Performance | (0.1) | |||
| Mean Deviation | 0.3352 | |||
| Coefficient Of Variation | (1,878) | |||
| Standard Deviation | 0.4385 | |||
| Variance | 0.1923 | |||
| Information Ratio | (0.27) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Vanguard Mortgage Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Vanguard Mortgage as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Vanguard Mortgage's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Vanguard Mortgage's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Vanguard Mortgage Backed Securities.
When determining whether Vanguard Mortgage is a strong investment it is important to analyze Vanguard Mortgage's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Vanguard Mortgage's future performance. For an informed investment choice regarding Vanguard Etf, refer to the following important reports: Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Mortgage Backed Securities. Also, note that the market value of any etf could be tightly coupled with the direction of predictive economic indicators such as signals in bureau of labor statistics. Note that the Vanguard Mortgage information on this page should be used as a complementary analysis to other Vanguard Mortgage'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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
The market value of Vanguard Mortgage is measured differently than its book value, which is the value of Vanguard that is recorded on the company's balance sheet. Investors also form their own opinion of Vanguard Mortgage's value that differs from its market value or its book value, called intrinsic value, which is Vanguard Mortgage's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Vanguard Mortgage's market value can be influenced by many factors that don't directly affect Vanguard Mortgage's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Vanguard Mortgage's value and its price as these two are different measures arrived at by different means. Investors typically determine if Vanguard Mortgage is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Vanguard Mortgage's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.