Vanguard Value Index Fund Market Value
VIVAX Fund | USD 63.34 0.90 1.44% |
Symbol | Vanguard |
Vanguard Value '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 Value'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 Value.
04/08/2022 |
| 03/28/2024 |
If you would invest 0.00 in Vanguard Value on April 8, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard Value Index or generate 0.0% return on investment in Vanguard Value over 720 days. Vanguard Value 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 the CRSP US Large Cap Value Index,... More
Vanguard Value 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 Value'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 Value Index upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.52 | |||
Information Ratio | 0.018 | |||
Maximum Drawdown | 2.25 | |||
Value At Risk | (0.64) | |||
Potential Upside | 0.9499 |
Vanguard Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Value's standard deviation. In reality, there are many statistical measures that can use Vanguard Value historical prices to predict the future Vanguard Value's volatility.Risk Adjusted Performance | 0.1542 | |||
Jensen Alpha | 0.147 | |||
Total Risk Alpha | 0.0185 | |||
Sortino Ratio | 0.0178 | |||
Treynor Ratio | (1.23) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Value'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 Value Index Backtested Returns
We consider Vanguard Value very steady. Vanguard Value Index owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.27, which indicates the fund had a 0.27% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Value Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard Value's Semi Deviation of 0.2394, risk adjusted performance of 0.1542, and Coefficient Of Variation of 358.25 to confirm if the risk estimate we provide is consistent with the expected return of 0.15%. The entity has a beta of -0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Vanguard Value are expected to decrease at a much lower rate. During the bear market, Vanguard Value is likely to outperform the market.
Auto-correlation | 0.25 |
Poor predictability
Vanguard Value Index has poor predictability. Overlapping area represents the amount of predictability between Vanguard Value time series from 8th of April 2022 to 3rd of April 2023 and 3rd of April 2023 to 28th of March 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 Value Index price movement. The serial correlation of 0.25 indicates that over 25.0% of current Vanguard Value price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.25 | |
Spearman Rank Test | 0.17 | |
Residual Average | 0.0 | |
Price Variance | 8.37 |
Vanguard Value Index lagged returns against current returns
Autocorrelation, which is Vanguard Value 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 Value's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Value returns to help us make a trade decision. For example, suppose you find that Vanguard Value 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 Value 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 Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Value 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 Value mutual fund over time.
Current vs Lagged Prices |
Timeline |
Vanguard Value Lagged Returns
When evaluating Vanguard Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Value mutual fund have on its future price. Vanguard Value 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 Value autocorrelation shows the relationship between Vanguard Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Value 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 Value 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 Value's short interest history, or implied volatility extrapolated from Vanguard Value options trading.
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.MSFT | Microsoft | |
GOOG | Alphabet Class C | |
S | SentinelOne |
Check out Vanguard Value Correlation, Vanguard Value Volatility and Vanguard Value Alpha and Beta module to complement your research on Vanguard Value. Note that the Vanguard Value Index information on this page should be used as a complementary analysis to other Vanguard Value's 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
Complementary Tools for Vanguard Mutual Fund analysis
When running Vanguard Value's price analysis, check to measure Vanguard Value's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Vanguard Value is operating at the current time. Most of Vanguard Value's value examination focuses on studying past and present price action to predict the probability of Vanguard Value's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Vanguard Value's price. Additionally, you may evaluate how the addition of Vanguard Value to your portfolios can decrease your overall portfolio volatility.
Equity Valuation Check real value of public entities based on technical and fundamental data | |
Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins | |
Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. |
Vanguard Value 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.