Vanguard Total Stock Fund Market Value
| VTSMX Fund | USD 121.96 1.53 1.27% |
| Symbol | Vanguard |
Vanguard Total '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 Total'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 Total.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Vanguard Total on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Total Stock or generate 0.0% return on investment in Vanguard Total over 30 days. Vanguard Total is related to or competes with Vanguard Total, Vanguard 500, Vanguard Total, Vanguard Total, Vanguard Total, Vanguard 500, and Vanguard Institutional. The fund employs an indexing investment approach designed to track the performance of the index, which represents approx... More
Vanguard Total 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 Total'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 Total Stock upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7662 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.48 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.26 |
Vanguard Total Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Total's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Total's standard deviation. In reality, there are many statistical measures that can use Vanguard Total historical prices to predict the future Vanguard Total's volatility.| Risk Adjusted Performance | 0.0635 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0609 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Total'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 Total Stock Backtested Returns
We consider Vanguard Total very steady. Vanguard Total Stock owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0802, which indicates the fund had a 0.0802% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Total Stock, which you can use to evaluate the volatility of the fund. Please validate Vanguard Total's Coefficient Of Variation of 1012.55, risk adjusted performance of 0.0635, and Semi Deviation of 0.6503 to confirm if the risk estimate we provide is consistent with the expected return of 0.0633%. The entity has a beta of 1.08, which indicates a somewhat significant risk relative to the market. Vanguard Total returns are very sensitive to returns on the market. As the market goes up or down, Vanguard Total is expected to follow.
Auto-correlation | 0.49 |
Average predictability
Vanguard Total Stock has average predictability. Overlapping area represents the amount of predictability between Vanguard Total time series from 26th of March 2024 to 10th of April 2024 and 10th of April 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 Total Stock price movement. The serial correlation of 0.49 indicates that about 49.0% of current Vanguard Total price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 2.66 |
Vanguard Total Stock lagged returns against current returns
Autocorrelation, which is Vanguard Total 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 Total's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Total returns to help us make a trade decision. For example, suppose you find that Vanguard Total 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 Total 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 Total mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Total 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 Total mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Total Lagged Returns
When evaluating Vanguard Total's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Total mutual fund have on its future price. Vanguard Total 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 Total autocorrelation shows the relationship between Vanguard Total mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Total Stock.
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 Total Correlation, Vanguard Total Volatility and Vanguard Total Alpha and Beta module to complement your research on Vanguard Total. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Vanguard Total 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.