Vanguard Industrials Index Fund Market Value
| VINAX Fund | USD 121.97 0.99 0.82% |
| Symbol | Vanguard |
Vanguard Industrials '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 Industrials' 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 Industrials.
| 11/08/2023 |
| 05/06/2024 |
If you would invest 0.00 in Vanguard Industrials on November 8, 2023 and sell it all today you would earn a total of 0.00 from holding Vanguard Industrials Index or generate 0.0% return on investment in Vanguard Industrials over 180 days. Vanguard Industrials is related to or competes with Vanguard Financials, Vanguard Sumer, Vanguard Telecommunicatio, Vanguard Materials, and Vanguard Consumer. The fund employs an indexing investment approach designed to track the performance of the MSCI US Investable Market Inde... More
Vanguard Industrials 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 Industrials' 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 Industrials Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7566 | |||
| Information Ratio | 0.0743 | |||
| Maximum Drawdown | 3.57 | |||
| Value At Risk | (1.08) | |||
| Potential Upside | 1.5 |
Vanguard Industrials Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Industrials' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Industrials' standard deviation. In reality, there are many statistical measures that can use Vanguard Industrials historical prices to predict the future Vanguard Industrials' volatility.| Risk Adjusted Performance | 0.1125 | |||
| Jensen Alpha | 0.0489 | |||
| Total Risk Alpha | 0.0413 | |||
| Sortino Ratio | 0.0775 | |||
| Treynor Ratio | 0.1124 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Industrials' 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 Industrials Backtested Returns
We consider Vanguard Industrials very steady. Vanguard Industrials owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the fund had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Industrials Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard Industrials' Coefficient Of Variation of 571.11, risk adjusted performance of 0.1125, and Semi Deviation of 0.6094 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. The entity has a beta of 1.14, which indicates a somewhat significant risk relative to the market. Vanguard Industrials returns are very sensitive to returns on the market. As the market goes up or down, Vanguard Industrials is expected to follow.
Auto-correlation | 0.79 |
Good predictability
Vanguard Industrials Index has good predictability. Overlapping area represents the amount of predictability between Vanguard Industrials time series from 8th of November 2023 to 6th of February 2024 and 6th of February 2024 to 6th of May 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 Industrials price movement. The serial correlation of 0.79 indicates that around 79.0% of current Vanguard Industrials price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 8.08 |
Vanguard Industrials lagged returns against current returns
Autocorrelation, which is Vanguard Industrials 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 Industrials' mutual fund expected returns. We can calculate the autocorrelation of Vanguard Industrials returns to help us make a trade decision. For example, suppose you find that Vanguard Industrials 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 Industrials 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 Industrials mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Industrials 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 Industrials mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Industrials Lagged Returns
When evaluating Vanguard Industrials' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Industrials mutual fund have on its future price. Vanguard Industrials 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 Industrials autocorrelation shows the relationship between Vanguard Industrials mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Industrials Index.
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 Industrials Correlation, Vanguard Industrials Volatility and Vanguard Industrials Alpha and Beta module to complement your research on Vanguard Industrials. Note that the Vanguard Industrials information on this page should be used as a complementary analysis to other Vanguard Industrials' 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
Vanguard Industrials 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.