Vanguard Mid Cap Index Fund Market Value
| VMCPX Fund | USD 320.04 3.78 1.17% |
| Symbol | Vanguard |
Vanguard Mid-cap '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 Mid-cap'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 Mid-cap.
| 04/27/2022 |
| 04/16/2024 |
If you would invest 0.00 in Vanguard Mid-cap on April 27, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard Mid Cap Index or generate 0.0% return on investment in Vanguard Mid-cap over 720 days. Vanguard Mid-cap is related to or competes with Vanguard Small-cap, Vanguard 500, Vanguard Growth, Vanguard Total, and Vanguard Reit. The fund employs an indexing investment approach designed to track the performance of the CRSP US Mid Cap Index, a broad... More
Vanguard Mid-cap 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 Mid-cap'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 Mid Cap Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8482 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 3.07 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.27 |
Vanguard Mid-cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Mid-cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Mid-cap's standard deviation. In reality, there are many statistical measures that can use Vanguard Mid-cap historical prices to predict the future Vanguard Mid-cap's volatility.| Risk Adjusted Performance | 0.044 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0358 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Mid-cap'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 Mid Cap Backtested Returns
We consider Vanguard Mid-cap very steady. Vanguard Mid Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the fund had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Mid Cap Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard Mid-cap's Semi Deviation of 0.7853, coefficient of variation of 1485.21, and Risk Adjusted Performance of 0.044 to confirm if the risk estimate we provide is consistent with the expected return of 0.0874%. The entity has a beta of 1.16, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Vanguard Mid-cap will likely underperform.
Auto-correlation | 0.29 |
Poor predictability
Vanguard Mid Cap Index has poor predictability. Overlapping area represents the amount of predictability between Vanguard Mid-cap time series from 27th of April 2022 to 22nd of April 2023 and 22nd of April 2023 to 16th 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 Mid Cap price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Vanguard Mid-cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 364.0 |
Vanguard Mid Cap lagged returns against current returns
Autocorrelation, which is Vanguard Mid-cap 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 Mid-cap's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Mid-cap returns to help us make a trade decision. For example, suppose you find that Vanguard Mid-cap 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 Mid-cap 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 Mid-cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Mid-cap 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 Mid-cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Mid-cap Lagged Returns
When evaluating Vanguard Mid-cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Mid-cap mutual fund have on its future price. Vanguard Mid-cap 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 Mid-cap autocorrelation shows the relationship between Vanguard Mid-cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Mid Cap 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 Mid-cap 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 Mid-cap's short interest history, or implied volatility extrapolated from Vanguard Mid-cap 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.| LTC | Litecoin | |
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| LINK | Chainlink |
Check out Vanguard Mid-cap Correlation, Vanguard Mid-cap Volatility and Vanguard Mid-cap Alpha and Beta module to complement your research on Vanguard Mid-cap. You can also try the Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
Vanguard Mid-cap 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.