Vanguard New Backtesting

VNJTX -- USA Fund  

USD 12.50  0.08  0.64%

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

Vanguard New 'What if' Analysis

July 19, 2019
No Change 0.00  0.0 
In 2 months and 31 days
October 17, 2019
If you would invest  0.00  in Vanguard New on July 19, 2019 and sell it all today you would earn a total of 0.00 from holding Vanguard New Jersey Long Term T or generate 0.0% return on investment in Vanguard New over 90 days. Vanguard New is related to or competes with Franklin New, BNY Mellon, BNY Mellon, BlackRock, BlackRock, Invesco Oppenheimer, and Western Asset. The investment seeks to provide current income that is exempt from both federal and New Jersey personal income taxes

Vanguard New Upside/Downside Indicators

Downside Deviation0.2524
Information Ratio0.1955
Maximum Drawdown0.8779
Value At Risk(0.32)
Potential Upside0.3195

Vanguard New Market Premium Indicators

Risk Adjusted Performance0.0681
Jensen Alpha0.0101
Total Risk Alpha0.0149
Sortino Ratio0.1366
Treynor Ratio(0.61)

Vanguard New Jersey Backtested Returns

We consider Vanguard New very steady. Vanguard New Jersey owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1079 which indicates the organization had 0.1079% 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 New Jersey Long Term T which you can use to evaluate future volatility of the fund. Please validate Vanguard New Semi Deviation of 0.0638, Risk Adjusted Performance of 0.0681 and Coefficient Of Variation of 858.05 to confirm if risk estimate we provide are consistent with the epected return of 0.0196%. The entity has beta of -0.0174 which indicates as returns on market increase, returns on owning Vanguard New are expected to decrease at a much smaller rate. During bear market, Vanguard New is likely to outperform the market. Although it is extremely important to respect Vanguard New Jersey 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 New Jersey technical indicators you can presently evaluate if the expected return of 0.0196% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.26) 
correlation synergy

Weak reverse predictability

Vanguard New Jersey Long Term T has weak reverse predictability. Overlapping area represents the amount of predictability between Vanguard New time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 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 New Jersey price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Vanguard New price fluctuation can be explain by its past prices. Given that Vanguard New Jersey Long Term T has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vanguard New for similar time interval.
Correlation Coefficient-0.26
Spearman Rank Test-0.09
Residual Average0.0
Price Variance0.0

Vanguard New Jersey lagged returns against current returns

 Current and Lagged Values 

Vanguard New regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Vanguard New Lagged Returns

 Regressed Prices 

Current Sentiment - VNJTX

Vanguard New Jersey Investor Sentiment

Most of Macroaxis users are at this time bullish on Vanguard New Jersey Long Term T. What is your outlook on investing in Vanguard New Jersey Long Term T? Are you bullish or bearish?
98% Bullish
2% Bearish

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Also please take a look at Vanguard New Hype Analysis, Vanguard New Correlation, Portfolio Optimization, Vanguard New Volatility as well as analyze Vanguard New Alpha and Beta and Vanguard New Performance. Please also try Premium Stories module to follow macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.