Vaughan Nelson Small Fund Market Value
| VSCNX Fund | USD 21.15 0.31 1.53% |
| Symbol | Vaughan |
Vaughan Nelson '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 Vaughan Nelson'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 Vaughan Nelson.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in Vaughan Nelson on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Vaughan Nelson Small or generate 0.0% return on investment in Vaughan Nelson over 60 days. Vaughan Nelson is related to or competes with Ms Global, Ultra-short Term, Ab Bond, Mirova Global, Dreyfus/standish, Calamos Dynamic, and Ab Global. The fund normally will invest at least 80 percent of its net assets in the equity securities, including common stocks an... More
Vaughan Nelson 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 Vaughan Nelson'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 Vaughan Nelson Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.13 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 4.51 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 1.53 |
Vaughan Nelson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vaughan Nelson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vaughan Nelson's standard deviation. In reality, there are many statistical measures that can use Vaughan Nelson historical prices to predict the future Vaughan Nelson's volatility.| Risk Adjusted Performance | 0.0372 | |||
| Jensen Alpha | 0.0316 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.2909 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vaughan Nelson'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.
Vaughan Nelson Small Backtested Returns
We consider Vaughan Nelson very steady. Vaughan Nelson Small owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0533, which indicates the fund had a 0.0533% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vaughan Nelson Small, which you can use to evaluate the volatility of the fund. Please validate Vaughan Nelson's Semi Deviation of 1.06, coefficient of variation of 1876.12, and Risk Adjusted Performance of 0.0372 to confirm if the risk estimate we provide is consistent with the expected return of 0.0547%. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vaughan Nelson's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vaughan Nelson is expected to be smaller as well.
Auto-correlation | -0.46 |
Modest reverse predictability
Vaughan Nelson Small has modest reverse predictability. Overlapping area represents the amount of predictability between Vaughan Nelson time series from 24th of February 2024 to 25th of March 2024 and 25th of March 2024 to 24th 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 Vaughan Nelson Small price movement. The serial correlation of -0.46 indicates that about 46.0% of current Vaughan Nelson price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.46 | |
| Spearman Rank Test | -0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 0.21 |
Vaughan Nelson Small lagged returns against current returns
Autocorrelation, which is Vaughan Nelson 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 Vaughan Nelson's mutual fund expected returns. We can calculate the autocorrelation of Vaughan Nelson returns to help us make a trade decision. For example, suppose you find that Vaughan Nelson 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 |
Vaughan Nelson 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 Vaughan Nelson mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vaughan Nelson mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vaughan Nelson mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vaughan Nelson Lagged Returns
When evaluating Vaughan Nelson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vaughan Nelson mutual fund have on its future price. Vaughan Nelson 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, Vaughan Nelson autocorrelation shows the relationship between Vaughan Nelson mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vaughan Nelson Small.
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 Vaughan Nelson 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, Vaughan Nelson's short interest history, or implied volatility extrapolated from Vaughan Nelson options trading.
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 Vaughan Nelson Correlation, Vaughan Nelson Volatility and Vaughan Nelson Alpha and Beta module to complement your research on Vaughan Nelson. You can also try the Transaction History module to view history of all your transactions and understand their impact on performance.
Vaughan Nelson 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.