Vanguard 500 Backtesting

VFFSX -- USA Fund  

  Low Volatility

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Vanguard 500 Index Fund Institu and determine expected loss or profit from investing in Vanguard 500 over given investment horizon. Also please take a look at Vanguard 500 Hype Analysis, Vanguard 500 Correlation, Portfolio Optimization, Vanguard 500 Volatility as well as analyze Vanguard 500 Alpha and Beta and Vanguard 500 Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Vanguard 500 'What if' Analysis

August 19, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 17, 2019
0.00
If you would invest  0.00  in Vanguard 500 on August 19, 2019 and sell it all today you would earn a total of 0.00 from holding Vanguard 500 Index Fund Institu or generate 0.0% return on investment in Vanguard 500 over 90 days. Vanguard 500 is related to or competes with American Funds, Washington Mutual, Fundamental Investors, Vanguard Large, Fundamental Investors, Investment Company, and Vanguard Institutional. The investment seeks to track the performance of a benchmark index that measures the investment return of large-capitali...

Vanguard 500 Upside/Downside Indicators

Downside Deviation0.9862
Information Ratio0.0027
Maximum Drawdown4.06
Value At Risk(1.03)
Potential Upside1.28

Vanguard 500 Market Premium Indicators

Risk Adjusted Performance0.1284
Jensen Alpha0.002
Total Risk Alpha(0.013017)
Sortino Ratio0.0022
Treynor Ratio0.132

Vanguard 500 Index Backtested Returns

We consider Vanguard 500 very steady. Vanguard 500 Index owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1292 which indicates the organization had 0.1292% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Vanguard 500 Index Fund Institu which you can use to evaluate future volatility of the fund. Please validate Vanguard 500 Semi Deviation of 0.7098, Coefficient Of Variation of 577.3 and Risk Adjusted Performance of 0.1284 to confirm if risk estimate we provide are consistent with the epected return of 0.1032%. The entity has beta of 1.0018 which indicates Vanguard 500 returns are very sensitive to returns on the market. as market goes up or down, Vanguard 500 is expected to follow. Although it is extremely important to respect Vanguard 500 Index current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting Vanguard 500 Index technical indicators you can presently evaluate if the expected return of 0.1032% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.40 
correlation synergy

Average predictability

Vanguard 500 Index Fund Institu has average predictability. Overlapping area represents the amount of predictability between Vanguard 500 time series from August 19, 2019 to October 3, 2019 and October 3, 2019 to November 17, 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 500 Index price movement. The serial correlation of 0.4 indicates that just about 40.0% of current Vanguard 500 price fluctuation can be explain by its past prices.
Correlation Coefficient0.4
Spearman Rank Test0.27
Residual Average0.0
Price Variance10.1

Vanguard 500 Index lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Vanguard 500 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Vanguard 500 Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Vanguard 500 Hype Analysis, Vanguard 500 Correlation, Portfolio Optimization, Vanguard 500 Volatility as well as analyze Vanguard 500 Alpha and Beta and Vanguard 500 Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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