Vanguard New Risk Analysis And Volatility

VNJUX -- USA Fund  

USD 12.46  0.04  0.32%

We consider Vanguard New very steady. Vanguard New Jersey owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0793 which indicates the organization had 0.0793% 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 Coefficient Of Variation of 1286.25, Semi Deviation of 0.1012 and Risk Adjusted Performance of 0.0296 to confirm if risk estimate we provide are consistent with the epected return of 0.014%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

Vanguard New Market Sensitivity

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.
3 Months Beta |Analyze Vanguard New Jersey Demand Trend
Check current 30 days Vanguard New correlation with market (DOW)
β = -0.0766

Vanguard New Central Daily Price Deviation

Vanguard New Jersey Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Vanguard New Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Vanguard New Jersey moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Vanguard New Projected Return Density Against Market

Assuming 30 trading days horizon, Vanguard New Jersey Long Term T has beta of -0.0766 . This entails as returns on benchmark increase, returns on holding Vanguard New are expected to decrease at a much smaller rate. During bear market, however, Vanguard New Jersey Long Term T is likely to outperform the market. Moreover, The company has an alpha of 0.0017 implying that it can potentially generate 0.0017% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Vanguard New is 1261.74. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of Vanguard New Jersey Long Term T is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.0017
β
Beta against DOW=0.08
σ
Overall volatility
=0.18
Ir
Information ratio =0.16

Vanguard New Return Volatility

the fund shows 0.1768% volatility of returns over 30 trading days. the entity inherits 0.989% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Vanguard New Investment Opportunity

DOW has a standard deviation of returns of 0.99 and is 5.5 times more volatile than Vanguard New Jersey Long Term T. of all equities and portfolios are less risky than Vanguard New. Compared to the overall equity markets, volatility of historical daily returns of Vanguard New Jersey Long Term T is lower than 1 () of all global equities and portfolios over the last 30 days. Use Vanguard New Jersey Long Term T to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Vanguard New to be traded at $12.34 in 30 days. . 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.

Vanguard New correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vanguard New Jersey Long Term and equity matching DJI index in the same portfolio.

Vanguard New Current Risk Indicators

Vanguard New Suggested Diversification Pairs

Also please take a look at World Market Map. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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