Vanguard Mega Cap Fund Market Value
| VMCTX Fund | USD 356.75 0.11 0.03% |
| Symbol | Vanguard |
Vanguard Mega '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 Mega'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 Mega.
| 01/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Vanguard Mega on January 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Mega Cap or generate 0.0% return on investment in Vanguard Mega over 90 days. Vanguard Mega is related to or competes with Morningstar Unconstrained, and SPACE. The fund employs an indexing investment approach designed to track the performance of the index More
Vanguard Mega 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 Mega'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 Mega Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7168 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 3.73 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.27 |
Vanguard Mega Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Mega's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Mega's standard deviation. In reality, there are many statistical measures that can use Vanguard Mega historical prices to predict the future Vanguard Mega's volatility.| Risk Adjusted Performance | 0.0641 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0695 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Mega'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 Mega Cap Backtested Returns
We consider Vanguard Mega very steady. Vanguard Mega Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0806, which indicates the fund had a 0.0806% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Mega Cap, which you can use to evaluate the volatility of the fund. Please validate Vanguard Mega's Risk Adjusted Performance of 0.0641, coefficient of variation of 1002.72, and Semi Deviation of 0.6027 to confirm if the risk estimate we provide is consistent with the expected return of 0.0643%. The entity has a beta of 0.97, which indicates possible diversification benefits within a given portfolio. Vanguard Mega returns are very sensitive to returns on the market. As the market goes up or down, Vanguard Mega is expected to follow.
Auto-correlation | -0.39 |
Poor reverse predictability
Vanguard Mega Cap has poor reverse predictability. Overlapping area represents the amount of predictability between Vanguard Mega time series from 26th of January 2024 to 11th of March 2024 and 11th of March 2024 to 25th 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 Mega Cap price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Vanguard Mega price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 29.06 |
Vanguard Mega Cap lagged returns against current returns
Autocorrelation, which is Vanguard Mega 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 Mega's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Mega returns to help us make a trade decision. For example, suppose you find that Vanguard Mega 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 Mega 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 Mega mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Mega 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 Mega mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Mega Lagged Returns
When evaluating Vanguard Mega's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Mega mutual fund have on its future price. Vanguard Mega 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 Mega autocorrelation shows the relationship between Vanguard Mega mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Mega Cap.
Regressed Prices |
| Timeline |
Also Currently Popular
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 Mega Correlation, Vanguard Mega Volatility and Vanguard Mega Alpha and Beta module to complement your research on Vanguard Mega. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Vanguard Mega 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.