Vanguard Reit Index Fund Market Value
| VGSIX Fund | USD 26.14 0.02 0.08% |
| Symbol | Vanguard |
Vanguard Reit '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 Reit'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 Reit.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Vanguard Reit on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Reit Index or generate 0.0% return on investment in Vanguard Reit over 30 days. Vanguard Reit is related to or competes with Realty Income, Dynex Capital, First Industrial, Healthcare Realty, Kennedy Wilson, Belpointe PREP, and Park Hotels. The advisor attempts to track the index by investing all, or substantially all, of its assets-either directly or indirec... More
Vanguard Reit 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 Reit'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 Reit Index upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 6.61 | |||
| Value At Risk | (2.01) | |||
| Potential Upside | 1.46 |
Vanguard Reit Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Reit's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Reit's standard deviation. In reality, there are many statistical measures that can use Vanguard Reit historical prices to predict the future Vanguard Reit's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (0.09) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Reit'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 Reit Index Backtested Returns
Vanguard Reit Index owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.1, which indicates the fund had a -0.1% return per unit of risk over the last 3 months. Vanguard Reit Index exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vanguard Reit's Risk Adjusted Performance of (0.06), variance of 1.4, and Coefficient Of Variation of (949.67) to confirm the risk estimate we provide. The entity has a beta of 1.48, 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 Reit will likely underperform.
Auto-correlation | 0.36 |
Below average predictability
Vanguard Reit Index has below average predictability. Overlapping area represents the amount of predictability between Vanguard Reit time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Reit Index price movement. The serial correlation of 0.36 indicates that just about 36.0% of current Vanguard Reit price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | 0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 0.64 |
Vanguard Reit Index lagged returns against current returns
Autocorrelation, which is Vanguard Reit 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 Reit's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Reit returns to help us make a trade decision. For example, suppose you find that Vanguard Reit 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 Reit 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 Reit mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Reit 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 Reit mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Reit Lagged Returns
When evaluating Vanguard Reit's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Reit mutual fund have on its future price. Vanguard Reit 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 Reit autocorrelation shows the relationship between Vanguard Reit mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Reit Index.
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 Vanguard Reit 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, Vanguard Reit's short interest history, or implied volatility extrapolated from Vanguard Reit options trading.
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Vanguard Reit 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.