Vanguard Small Backtesting

VB -- USA Etf  

USD 152.54  0.65  0.42%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Vanguard Small Cap ETF and determine expected loss or profit from investing in Vanguard Small over given investment horizon. Also please take a look at Vanguard Small Hype Analysis, Vanguard Small Correlation, Portfolio Optimization, Vanguard Small Volatility as well as analyze Vanguard Small Alpha and Beta and Vanguard Small Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Vanguard Small 'What if' Analysis

July 16, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 14, 2019
0.00
If you would invest  0.00  in Vanguard Small on July 16, 2019 and sell it all today you would earn a total of 0.00 from holding Vanguard Small Cap ETF or generate 0.0% return on investment in Vanguard Small over 90 days. Vanguard Small is related to or competes with IShares Core, Schwab Fundamental, Vanguard Russell, Vanguard, Invesco FTSE, and SPDR Portfolio. The investment seeks to track the performance of a benchmark index that measures the investment return of small-capitali...

Vanguard Small Upside/Downside Indicators

Information Ratio(0.020115)
Maximum Drawdown4.93
Value At Risk(1.69)
Potential Upside1.66

Vanguard Small Market Premium Indicators

Risk Adjusted Performance(0.027445)
Jensen Alpha(0.021353)
Total Risk Alpha(0.019396)
Treynor Ratio(0.040819)

Vanguard Small Cap Backtested Returns

Macroaxis considers Vanguard Small to be very steady. Vanguard Small Cap owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0362 which indicates the organization had -0.0362% of return per unit of risk over the last 3 months. Macroaxis philosophy towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Vanguard Small Cap ETF exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard Small Risk Adjusted Performance of (0.027445) and Coefficient Of Variation of (3,381) to confirm risk estimate we provide. The entity has beta of 1.055 which indicates Vanguard Small returns are very sensitive to returns on the market. as market goes up or down, Vanguard Small is expected to follow. Even though it is essential to pay attention to Vanguard Small Cap current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Vanguard Small Cap ETF exposes twenty-seven different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.58 
correlation synergy

Modest predictability

Vanguard Small Cap ETF has modest predictability. Overlapping area represents the amount of predictability between Vanguard Small time series from July 16, 2019 to August 30, 2019 and August 30, 2019 to October 14, 2019. 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 Small Cap price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Vanguard Small price fluctuation can be explain by its past prices.
Correlation Coefficient0.58
Spearman Rank Test0.4
Residual Average0.0
Price Variance7.46

Vanguard Small Cap lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Vanguard Small regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Vanguard Small Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Vanguard Small Hype Analysis, Vanguard Small Correlation, Portfolio Optimization, Vanguard Small Volatility as well as analyze Vanguard Small Alpha and Beta and Vanguard Small Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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