Vanguard U Backtesting

VFMO -- USA Etf  

USD 81.77  0.29  0.35%

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

Vanguard U 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 17, 2019
0.00
If you would invest  0.00  in Vanguard U on June 19, 2019 and sell it all today you would earn a total of 0.00 from holding Vanguard U S Momentum Factor E or generate 0.0% return on investment in Vanguard U over 90 days. Vanguard U is related to or competes with Vanguard Mid, iShares Russell, iShares SP, SPDR SP, Invesco DWA, Vanguard, and iShares Morningstar. The investment seeks to provide long-term capital appreciation by investing in stocks with strong recent performance as ...

Vanguard U Upside/Downside Indicators

Information Ratio(0.08)
Maximum Drawdown4.85
Value At Risk(2.50)
Potential Upside1.23

Vanguard U Market Premium Indicators

Risk Adjusted Performance(0.041834)
Jensen Alpha(0.06)
Total Risk Alpha(0.09)
Treynor Ratio0.7574

Vanguard U S Backtested Returns

Macroaxis considers Vanguard U to be very steady. Vanguard U S owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0193 which indicates the organization had -0.0193% 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 U S Momentum Factor E exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vanguard U Coefficient Of Variation of (2,034) and Risk Adjusted Performance of (0.041834) to confirm risk estimate we provide. The entity has beta of -0.0819 which indicates as returns on market increase, returns on owning Vanguard U are expected to decrease at a much smaller rate. During bear market, Vanguard U is likely to outperform the market. Even though it is essential to pay attention to Vanguard U S 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 U S Momentum Factor E exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.01) 
correlation synergy

Very weak reverse predictability

Vanguard U S Momentum Factor E has very weak reverse predictability. Overlapping area represents the amount of predictability between Vanguard U time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 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 U S price movement. The serial correlation of -0.01 indicates that just 1.0% of current Vanguard U price fluctuation can be explain by its past prices. Given that Vanguard U S Momentum Factor E has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vanguard U for similar time interval.
Correlation Coefficient-0.01
Spearman Rank Test0.11
Residual Average0.0
Price Variance0.78

Vanguard U S lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Vanguard U regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Vanguard U Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Vanguard U Hype Analysis, Vanguard U Correlation, Portfolio Optimization, Vanguard U Volatility as well as analyze Vanguard U Alpha and Beta and Vanguard U Performance. Please also try Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.
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