Vanguard Index Backtesting

VITSX -- USA Fund  

USD 76.61  0.59  0.76%

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

Vanguard Index '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 Index on August 19, 2019 and sell it all today you would earn a total of 0.00 from holding Vanguard Index Trust Total Stoc or generate 0.0% return on investment in Vanguard Index over 90 days. Vanguard Index is related to or competes with Vanguard Institutional, American Funds, Washington Mutual, Vanguard Large, TIAA CREF, Investment Company, and Washington Mutual. The investment seeks to track the performance of a benchmark index that measures the investment return of the overall st...

Vanguard Index Upside/Downside Indicators

Downside Deviation1.02
Information Ratio(0.002213)
Maximum Drawdown4.22
Value At Risk(1.60)
Potential Upside1.35

Vanguard Index Market Premium Indicators

Risk Adjusted Performance0.1166
Jensen Alpha(0.007975)
Total Risk Alpha(0.028178)
Sortino Ratio(0.001907)
Treynor Ratio0.1224

Vanguard Index Trust Backtested Returns

We consider Vanguard Index very steady. Vanguard Index Trust owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1146 which indicates the organization had 0.1146% 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 Index Trust Total Stoc which you can use to evaluate future volatility of the fund. Please validate Vanguard Index Coefficient Of Variation of 639.74, Semi Deviation of 0.8039 and Risk Adjusted Performance of 0.1166 to confirm if risk estimate we provide are consistent with the epected return of 0.0989%. The entity has beta of 1.0463 which indicates Vanguard Index returns are very sensitive to returns on the market. as market goes up or down, Vanguard Index is expected to follow. Although it is extremely important to respect Vanguard Index Trust 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 Index Trust technical indicators you can presently evaluate if the expected return of 0.0989% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.33 
correlation synergy

Below average predictability

Vanguard Index Trust Total Stoc has below average predictability. Overlapping area represents the amount of predictability between Vanguard Index 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 Index Trust price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Vanguard Index price fluctuation can be explain by its past prices.
Correlation Coefficient0.33
Spearman Rank Test0.3
Residual Average0.0
Price Variance2.59

Vanguard Index Trust lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Vanguard Index regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Vanguard Index Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Vanguard Index Hype Analysis, Vanguard Index Correlation, Portfolio Optimization, Vanguard Index Volatility as well as analyze Vanguard Index Alpha and Beta and Vanguard Index Performance. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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