Vanguard Small Cap Index Etf Volatility

VB Etf  USD 221.29  1.73  0.79%   
We consider Vanguard Small very steady. Vanguard Small-Cap Index owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the etf had 0.16% return per unit of risk over the last 3 months. Our standpoint towards measuring the volatility of an etf is to use all available market data together with etf-specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Vanguard Small Cap Index, which you can use to evaluate the future volatility of the etf. Please validate Vanguard Small's Coefficient Of Variation of 493.97, risk adjusted performance of 0.1323, and Semi Deviation of 0.8073 to confirm if the risk estimate we provide is consistent with the expected return of 0.17%. Key indicators related to Vanguard Small's volatility include:
150 Days Market Risk
Chance Of Distress
150 Days Economic Sensitivity
Vanguard Small Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Vanguard daily returns, and it is calculated using variance and standard deviation. We also use Vanguard's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Vanguard Small volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Vanguard Small can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Vanguard Small at lower prices. For example, an investor can purchase Vanguard stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Vanguard Small's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with Vanguard Etf

  0.94IJR IShares Core SPPairCorr
  0.98IWM IShares Russell 2000 Aggressive PushPairCorr
  0.98VRTIX Vanguard Russell 2000PairCorr
  0.99VTWO Vanguard Russell 2000PairCorr
  0.96FNDA Schwab FundamentalPairCorr
  0.94SPSM SPDR Portfolio SPPairCorr
  0.98DFAS Dimensional US SmallPairCorr
  0.92VIOO Vanguard SP Small-CapPairCorr

Moving against Vanguard Etf

  0.78FNGD MicroSectors FANG Index Downward RallyPairCorr

Vanguard Small Market Sensitivity And Downside Risk

Vanguard Small's beta coefficient measures the volatility of Vanguard etf compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Vanguard etf's returns against your selected market. In other words, Vanguard Small's beta of 1.5 provides an investor with an approximation of how much risk Vanguard Small etf can potentially add to one of your existing portfolios.
Vanguard Small Cap Index has relatively low volatility with skewness of -0.16 and kurtosis of 0.96. However, we advise all investors to independently investigate Vanguard Small Cap Index to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Vanguard Small's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Vanguard Small's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.
3 Months Beta |Analyze Vanguard Small-Cap Index Demand Trend
Check current 90 days Vanguard Small correlation with market (NYSE Composite)

Vanguard Beta

Vanguard standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

It is essential to understand the difference between upside risk (as represented by Vanguard Small's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Vanguard Small's daily returns or price. Since the actual investment returns on holding a position in vanguard etf tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Vanguard Small.

Using Vanguard Put Option to Manage Risk

Put options written on Vanguard Small grant holders of the option the right to sell a specified amount of Vanguard Small at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Vanguard Etf cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Vanguard Small's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Vanguard Small will be realized, the loss incurred will be offset by the profits made with the option trade.

Vanguard Small's PUT expiring on 2024-03-15

       Vanguard Small Price At Expiration  

Current Vanguard Small Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
2024-03-15 PUT at $215.0-0.2960.0358102024-03-151.4 - 2.33.1View
2024-03-15 PUT at $210.0-0.13470.0231342024-03-150.55 - 0.752.15View
2024-03-15 PUT at $205.0-0.0650.0122662024-03-150.2 - 0.40.9View
2024-03-15 PUT at $200.0-0.06650.0091402024-03-150.1 - 0.751.0View
View All Vanguard Small Options

Vanguard Small-Cap Index Etf Volatility Analysis

Volatility refers to the frequency at which Vanguard Small etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Vanguard Small's price changes. Investors will then calculate the volatility of Vanguard Small's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Vanguard Small's volatility:

Historical Volatility

This type of etf volatility measures Vanguard Small's fluctuations based on previous trends. It's commonly used to predict Vanguard Small's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Vanguard Small's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Vanguard Small's to be redeemed at a future date.
The output start index for this execution was zero with a total number of output elements of sixty-one. Vanguard Small-Cap Index Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.

Vanguard Small Projected Return Density Against Market

Allowing for the 90-day total investment horizon the etf has the beta coefficient of 1.5041 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Vanguard Small will likely underperform.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Vanguard Small or Vanguard sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Vanguard Small's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Vanguard etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. Vanguard Small-Cap Index is significantly underperforming NYSE Composite.
   Predicted Return Density   
Vanguard Small's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how vanguard etf's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Vanguard Small Price Volatility?

Several factors can influence a etf's market volatility:


Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Vanguard Small Etf Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Vanguard Small or Vanguard sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Vanguard Small's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Vanguard etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Allowing for the 90-day total investment horizon the coefficient of variation of Vanguard Small is 642.47. The daily returns are distributed with a variance of 1.19 and standard deviation of 1.09. The mean deviation of Vanguard Small Cap Index is currently at 0.83. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.63
Alpha over NYSE Composite
Beta against NYSE Composite1.50
Overall volatility
Information ratio 0.05

Vanguard Small Etf Return Volatility

Vanguard Small historical daily return volatility represents how much of Vanguard Small etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF accepts 1.089% volatility on return distribution over the 90 days horizon. By contrast, NYSE Composite accepts 0.64% volatility on return distribution over the 90 days horizon.

About Vanguard Small Volatility

Volatility is a rate at which the price of Vanguard Small or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Vanguard Small may increase or decrease. In other words, similar to Vanguard's beta indicator, it measures the risk of Vanguard Small and helps estimate the fluctuations that may happen in a short period of time. So if prices of Vanguard Small fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The fund employs an indexing investment approach designed to track the performance of the CRSP US Small Cap Index, a broadly diversified index of stocks of small U.S. companies. Smallcap ETF is traded on NYSEARCA Exchange in the United States.
Vanguard Small's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Vanguard Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Vanguard Small's price varies over time.

3 ways to utilize Vanguard Small's volatility to invest better

Higher Vanguard Small's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Vanguard Small-Cap Index etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Vanguard Small-Cap Index etf volatility can provide helpful information for making investment decisions in the following ways:
  • Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Vanguard Small-Cap Index investment. A higher volatility means higher risk and potentially larger changes in value.
  • Identifying Opportunities: High volatility in Vanguard Small's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
  • Diversification: Understanding how the volatility of Vanguard Small's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Remember it's essential to remember that stock volatility is just one of many factors to consider when making investment decisions, and it should be used in conjunction with other fundamental and technical analysis tools.

Vanguard Small Investment Opportunity

Vanguard Small Cap Index has a volatility of 1.09 and is 1.7 times more volatile than NYSE Composite. of all equities and portfolios are less risky than Vanguard Small. Compared to the overall equity markets, volatility of historical daily returns of Vanguard Small Cap Index is lower than 9 () of all global equities and portfolios over the last 90 days. Use Vanguard Small Cap Index to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The etf experiences a moderate upward volatility. Check odds of Vanguard Small to be traded at $243.42 in 90 days.

Very poor diversification

The correlation between Vanguard Small-Cap Index and NYA is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small-Cap Index and NYA in the same portfolio, assuming nothing else is changed.

Vanguard Small Additional Risk Indicators

The analysis of Vanguard Small's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Vanguard Small's investment and either accepting that risk or mitigating it. Along with some common measures of Vanguard Small etf's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Vanguard Small Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Vanguard Small as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Vanguard Small's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Vanguard Small's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Vanguard Small Cap Index.
When determining whether Vanguard Small-Cap Index offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Vanguard Small's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Vanguard Small Cap Index Etf. Outlined below are crucial reports that will aid in making a well-informed decision on Vanguard Small Cap Index Etf:
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Small Cap Index. Also, note that the market value of any ETF could be tightly coupled with the direction of predictive economic indicators such as signals in bureau of labor statistics.
Note that the Vanguard Small-Cap Index information on this page should be used as a complementary analysis to other Vanguard Small'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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.

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The market value of Vanguard Small-Cap Index is measured differently than its book value, which is the value of Vanguard that is recorded on the company's balance sheet. Investors also form their own opinion of Vanguard Small's value that differs from its market value or its book value, called intrinsic value, which is Vanguard Small's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Vanguard Small's market value can be influenced by many factors that don't directly affect Vanguard Small's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Vanguard Small's value and its price as these two are different measures arrived at by different means. Investors typically determine if Vanguard Small is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Vanguard Small's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.