Vanguard Gnma Fund Market Value
| VFIIX Fund | USD 9.14 0.02 0.22% |
| Symbol | Vanguard |
Vanguard Gnma '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 Gnma'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 Gnma.
| 04/07/2024 |
| 06/06/2024 |
If you would invest 0.00 in Vanguard Gnma on April 7, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Gnma Fund or generate 0.0% return on investment in Vanguard Gnma over 60 days. Vanguard Gnma is related to or competes with Us Government, Us Government, HUMANA, Barloworld, Morningstar Unconstrained, High-yield Municipal, and Thrivent High. The fund invests at least 80 percent of its assets in Government National Mortgage Association pass-through certificates... More
Vanguard Gnma 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 Gnma'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 Gnma Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4862 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 1.88 | |||
| Value At Risk | (0.67) | |||
| Potential Upside | 0.5624 |
Vanguard Gnma Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Gnma's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Gnma's standard deviation. In reality, there are many statistical measures that can use Vanguard Gnma historical prices to predict the future Vanguard Gnma's volatility.| Risk Adjusted Performance | 0.0219 | |||
| Jensen Alpha | 0.0028 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0275 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Gnma'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 Gnma Backtested Returns
Vanguard Gnma owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.007, which indicates the fund had a -0.007% return per unit of risk over the last 3 months. Vanguard Gnma Fund exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vanguard Gnma's Risk Adjusted Performance of 0.0219, coefficient of variation of 2243.21, and Semi Deviation of 0.3898 to confirm the risk estimate we provide. The entity has a beta of 0.27, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Gnma's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Gnma is expected to be smaller as well.
Auto-correlation | 0.21 |
Weak predictability
Vanguard Gnma Fund has weak predictability. Overlapping area represents the amount of predictability between Vanguard Gnma time series from 7th of April 2024 to 7th of May 2024 and 7th of May 2024 to 6th of June 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 Gnma price movement. The serial correlation of 0.21 indicates that over 21.0% of current Vanguard Gnma price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Vanguard Gnma lagged returns against current returns
Autocorrelation, which is Vanguard Gnma 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 Gnma's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Gnma returns to help us make a trade decision. For example, suppose you find that Vanguard Gnma 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 Gnma 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 Gnma mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Gnma 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 Gnma mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Gnma Lagged Returns
When evaluating Vanguard Gnma's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Gnma mutual fund have on its future price. Vanguard Gnma 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 Gnma autocorrelation shows the relationship between Vanguard Gnma mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Gnma Fund.
Regressed Prices |
| Timeline |
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Other Information on Investing in Vanguard Mutual Fund
Vanguard Gnma financial ratios help investors to determine whether Vanguard Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vanguard with respect to the benefits of owning Vanguard Gnma security.
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