Projected Return Density against MarketAssuming 30 trading days horizon, Vanguard has beta of 0.96 . This entails Vanguard Windsor II Inv market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Vanguard is expected to follow. Moreover, Vanguard Windsor II Inv has alpha of 0.96 implying that it can potentially generate 0.96% 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 294.36. The daily returns are destributed with a variance of 0.33 and standard deviation of 0.57. The mean deviation of Vanguard Windsor II Inv is currently at 0.45. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.59
Actual Return VolatilityVanguard Windsor II Inv shows 0.57% volatility of returns over 30 trading days. S&P 500 shows 0.59% volatility of returns over 30 trading days.
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S&P 500 has a standard deviation of returns of 0.59 and is 1.04 times more volatile than Vanguard Windsor II Inv. 7% of all equities and portfolios are less risky than Vanguard. Compared with the overall equity markets, volatility of historical daily returns of Vanguard Windsor II Inv is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Vanguard Windsor II Inv to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. 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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