Vanguard 500 Index Fund Market Value
| VFIAX Fund | USD 458.63 4.03 0.87% |
| Symbol | Vanguard |
Vanguard 500 '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 500'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 500.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Vanguard 500 on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard 500 Index or generate 0.0% return on investment in Vanguard 500 over 30 days. Vanguard 500 is related to or competes with Vanguard Materials, Vanguard Limited, Vanguard Limited, Vanguard Global, Vanguard Emerging, Vanguard Market, and Vanguard Market. The fund employs an indexing investment approach designed to track the performance of the Standard Poors 500 Index, a wi... More
Vanguard 500 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 500'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 500 Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6991 | |||
| Information Ratio | 0.0212 | |||
| Maximum Drawdown | 3.56 | |||
| Value At Risk | (1.22) | |||
| Potential Upside | 1.13 |
Vanguard 500 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard 500's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard 500's standard deviation. In reality, there are many statistical measures that can use Vanguard 500 historical prices to predict the future Vanguard 500's volatility.| Risk Adjusted Performance | 0.0724 | |||
| Jensen Alpha | 0.0145 | |||
| Total Risk Alpha | 0.0046 | |||
| Sortino Ratio | 0.0222 | |||
| Treynor Ratio | 0.0729 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard 500'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 500 Index Backtested Returns
We consider Vanguard 500 very steady. Vanguard 500 Index owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0825, which indicates the fund had a 0.0825% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard 500 Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard 500's Semi Deviation of 0.5874, coefficient of variation of 872.07, and Risk Adjusted Performance of 0.0724 to confirm if the risk estimate we provide is consistent with the expected return of 0.0598%. The entity has a beta of 1.02, which indicates a somewhat significant risk relative to the market. Vanguard 500 returns are very sensitive to returns on the market. As the market goes up or down, Vanguard 500 is expected to follow.
Auto-correlation | 0.54 |
Modest predictability
Vanguard 500 Index has modest predictability. Overlapping area represents the amount of predictability between Vanguard 500 time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 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 500 Index price movement. The serial correlation of 0.54 indicates that about 54.0% of current Vanguard 500 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 45.5 |
Vanguard 500 Index lagged returns against current returns
Autocorrelation, which is Vanguard 500 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 500's mutual fund expected returns. We can calculate the autocorrelation of Vanguard 500 returns to help us make a trade decision. For example, suppose you find that Vanguard 500 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 500 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 500 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard 500 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 500 mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard 500 Lagged Returns
When evaluating Vanguard 500's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard 500 mutual fund have on its future price. Vanguard 500 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 500 autocorrelation shows the relationship between Vanguard 500 mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard 500 Index.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Vanguard 500 in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Vanguard 500's short interest history, or implied volatility extrapolated from Vanguard 500 options trading.
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Vanguard 500 Correlation, Vanguard 500 Volatility and Vanguard 500 Alpha and Beta module to complement your research on Vanguard 500. Note that the Vanguard 500 Index information on this page should be used as a complementary analysis to other Vanguard 500'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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Vanguard 500 technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.