Vanguard Strategic Small Cap Fund Market Value
| VSTCX Fund | USD 37.47 0.49 1.29% |
| Symbol | Vanguard |
Vanguard Strategic '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 Strategic'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 Strategic.
| 03/16/2024 |
| 04/15/2024 |
If you would invest 0.00 in Vanguard Strategic on March 16, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Strategic Small Cap or generate 0.0% return on investment in Vanguard Strategic over 30 days. Vanguard Strategic is related to or competes with Vanguard Mid-cap, Vanguard Total, Vanguard Institutional, Vanguard Total, and Vanguard Institutional. The fund invests in small-capitalization domestic equity securities based on the advisors assessment of the relative ret... More
Vanguard Strategic 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 Strategic'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 Strategic Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.25 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 5.36 | |||
| Value At Risk | (1.76) | |||
| Potential Upside | 1.84 |
Vanguard Strategic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Strategic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Strategic's standard deviation. In reality, there are many statistical measures that can use Vanguard Strategic historical prices to predict the future Vanguard Strategic's volatility.| Risk Adjusted Performance | 0.039 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0332 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Strategic'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 Strategic Backtested Returns
We consider Vanguard Strategic very steady. Vanguard Strategic owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0618, which indicates the fund had a 0.0618% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Strategic Small Cap, which you can use to evaluate the volatility of the fund. Please validate Vanguard Strategic's Coefficient Of Variation of 1796.04, risk adjusted performance of 0.039, and Semi Deviation of 1.16 to confirm if the risk estimate we provide is consistent with the expected return of 0.0715%. The entity has a beta of 1.59, 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 Strategic will likely underperform.
Auto-correlation | -0.79 |
Almost perfect reverse predictability
Vanguard Strategic Small Cap has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Vanguard Strategic time series from 16th of March 2024 to 31st of March 2024 and 31st of March 2024 to 15th 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 Strategic price movement. The serial correlation of -0.79 indicates that around 79.0% of current Vanguard Strategic price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.79 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
Vanguard Strategic lagged returns against current returns
Autocorrelation, which is Vanguard Strategic 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 Strategic's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Strategic returns to help us make a trade decision. For example, suppose you find that Vanguard Strategic 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 Strategic 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 Strategic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Strategic 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 Strategic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Strategic Lagged Returns
When evaluating Vanguard Strategic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Strategic mutual fund have on its future price. Vanguard Strategic 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 Strategic autocorrelation shows the relationship between Vanguard Strategic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Strategic Small Cap.
Regressed Prices |
| Timeline |
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Check out Vanguard Strategic Correlation, Vanguard Strategic Volatility and Vanguard Strategic Alpha and Beta module to complement your research on Vanguard Strategic. Note that the Vanguard Strategic information on this page should be used as a complementary analysis to other Vanguard Strategic's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Vanguard Strategic 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.