Vanguard Extended Market Fund Market Value
| VEMPX Fund | USD 311.45 5.50 1.80% |
| Symbol | Vanguard |
Vanguard Extended '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 Extended'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 Extended.
| 01/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Vanguard Extended on January 25, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Extended Market or generate 0.0% return on investment in Vanguard Extended over 90 days. Vanguard Extended is related to or competes with Vanguard Materials, Vanguard Limited, Vanguard Limited, Vanguard Global, Vanguard Emerging, Vanguard Market, and Vanguard Market. The fund employs an indexing investment approach designed to track the performance of SP Completion Index, a broadly div... More
Vanguard Extended 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 Extended'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 Extended Market upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.23 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.54 | |||
| Value At Risk | (1.92) | |||
| Potential Upside | 1.56 |
Vanguard Extended Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Extended's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Extended's standard deviation. In reality, there are many statistical measures that can use Vanguard Extended historical prices to predict the future Vanguard Extended's volatility.| Risk Adjusted Performance | 0.0363 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0295 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Extended'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 Extended Market Backtested Returns
We consider Vanguard Extended very steady. Vanguard Extended Market owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0484, which indicates the fund had a 0.0484% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Extended Market, which you can use to evaluate the volatility of the fund. Please validate Vanguard Extended's Risk Adjusted Performance of 0.0363, coefficient of variation of 1922.12, and Semi Deviation of 1.14 to confirm if the risk estimate we provide is consistent with the expected return of 0.0533%. The entity has a beta of 1.55, 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 Extended will likely underperform.
Auto-correlation | -0.57 |
Good reverse predictability
Vanguard Extended Market has good reverse predictability. Overlapping area represents the amount of predictability between Vanguard Extended time series from 25th of January 2024 to 10th of March 2024 and 10th 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 Vanguard Extended Market price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Vanguard Extended price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 52.48 |
Vanguard Extended Market lagged returns against current returns
Autocorrelation, which is Vanguard Extended 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 Extended's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Extended returns to help us make a trade decision. For example, suppose you find that Vanguard Extended 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 Extended 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 Extended mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Extended 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 Extended mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Extended Lagged Returns
When evaluating Vanguard Extended's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Extended mutual fund have on its future price. Vanguard Extended 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 Extended autocorrelation shows the relationship between Vanguard Extended mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Extended Market.
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 Extended Correlation, Vanguard Extended Volatility and Vanguard Extended Alpha and Beta module to complement your research on Vanguard Extended. You can also try the Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Vanguard Extended 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.