Vanguard Large Cap Index Fund Volatility
| VLISX Fund | USD 482.25 5.86 1.23% |
We consider Vanguard Large-cap very steady. Vanguard Large Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0922, which indicates the fund had a 0.0922% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Large Cap Index, which you can use to evaluate the volatility of the fund. Please validate Vanguard Large-cap's Coefficient Of Variation of 975.38, risk adjusted performance of 0.065, and Semi Deviation of 0.6284 to confirm if the risk estimate we provide is consistent with the expected return of 0.0711%. Key indicators related to Vanguard Large-cap's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Vanguard Large-cap Mutual Fund 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 Large-cap volatility.
Vanguard |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Vanguard Large-cap 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 Large-cap 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 Large-cap'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 Mutual Fund
| 0.91 | VMIAX | Vanguard Materials Index | PairCorr |
| 0.72 | VMLUX | Vanguard Limited Term | PairCorr |
| 0.72 | VMLTX | Vanguard Limited Term | PairCorr |
| 0.96 | VMNVX | Vanguard Global Minimum | PairCorr |
| 0.92 | VMMSX | Vanguard Emerging Markets | PairCorr |
| 0.64 | VMNIX | Vanguard Market Neutral | PairCorr |
| 0.64 | VMNFX | Vanguard Market Neutral | PairCorr |
| 0.94 | VMVAX | Vanguard Mid Cap | PairCorr |
| 0.96 | VMVFX | Vanguard Global Minimum | PairCorr |
Vanguard Large-cap Market Sensitivity And Downside Risk
Vanguard Large-cap's beta coefficient measures the volatility of Vanguard mutual fund compared to the systematic risk of the entire 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 mutual fund's returns against your selected market. In other words, Vanguard Large-cap's beta of 1.02 provides an investor with an approximation of how much risk Vanguard Large-cap mutual fund can potentially add to one of your existing portfolios. Vanguard Large Cap Index exhibits relatively low volatility with skewness of 0.0 and kurtosis of -0.03. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Vanguard Large-cap's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Vanguard Large-cap's mutual fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Vanguard Large Cap Demand TrendCheck current 90 days Vanguard Large-cap 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. A typical volatile entity 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 | 0.77 |
It is essential to understand the difference between upside risk (as represented by Vanguard Large-cap's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Vanguard Large-cap's daily returns or price. Since the actual investment returns on holding a position in vanguard mutual fund 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 Large-cap.
Vanguard Large Cap Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Vanguard Large-cap fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Vanguard Large-cap's price changes. Investors will then calculate the volatility of Vanguard Large-cap's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund 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 Large-cap's volatility:
Historical Volatility
This type of fund volatility measures Vanguard Large-cap's fluctuations based on previous trends. It's commonly used to predict Vanguard Large-cap's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Vanguard Large-cap's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Vanguard Large-cap's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Vanguard Large Cap 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 Large-cap Projected Return Density Against Market
Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.0234 . This entails Vanguard Large Cap Index market returns are sensitive to returns on the market. As the market goes up or down, Vanguard Large-cap is expected to follow.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 Large-cap 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 Large-cap's price will be affected by overall mutual fund 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 fund'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.
Vanguard Large Cap Index has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives a Vanguard Large-cap Price Volatility?
Several factors can influence a fund's market volatility:Industry
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 Large-cap Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Vanguard Large-cap is 1084.76. The daily returns are distributed with a variance of 0.6 and standard deviation of 0.77. The mean deviation of Vanguard Large Cap Index is currently at 0.61. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.01 | |
β | Beta against NYSE Composite | 1.02 | |
σ | Overall volatility | 0.77 | |
Ir | Information ratio | -0.02 |
Vanguard Large-cap Mutual Fund Return Volatility
Vanguard Large-cap historical daily return volatility represents how much of Vanguard Large-cap fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.7717% volatility of returns over 90 . By contrast, NYSE Composite accepts 0.637% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Vanguard Large-cap Volatility
Volatility is a rate at which the price of Vanguard Large-cap 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 Large-cap may increase or decrease. In other words, similar to Vanguard's beta indicator, it measures the risk of Vanguard Large-cap and helps estimate the fluctuations that may happen in a short period of time. So if prices of Vanguard Large-cap 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 Large Cap Index, a broadly diversified index of large U.S. companies representing approximately the top 85 percent of the U.S. market capitalization. The advisor attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.
Vanguard Large-cap'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 Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Vanguard Large-cap's price varies over time.
3 ways to utilize Vanguard Large-cap's volatility to invest better
Higher Vanguard Large-cap's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Vanguard Large Cap fund 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 Large Cap fund 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 Large Cap investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Vanguard Large-cap's fund 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 Large-cap's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Vanguard Large-cap Investment Opportunity
Vanguard Large Cap Index has a volatility of 0.77 and is 1.2 times more volatile than NYSE Composite. 6 percent of all equities and portfolios are less risky than Vanguard Large-cap. You can use Vanguard Large Cap Index to enhance the returns of your portfolios. The mutual fund experiences a large bullish trend. Check odds of Vanguard Large-cap to be traded at $530.48 in 90 days.Very poor diversification
The correlation between Vanguard Large Cap Index and NYA is 0.83 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Large Cap Index and NYA in the same portfolio, assuming nothing else is changed.
Vanguard Large-cap Additional Risk Indicators
The analysis of Vanguard Large-cap'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 Large-cap's investment and either accepting that risk or mitigating it. Along with some common measures of Vanguard Large-cap mutual fund'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.
| Risk Adjusted Performance | 0.065 | |||
| Market Risk Adjusted Performance | 0.0759 | |||
| Mean Deviation | 0.591 | |||
| Semi Deviation | 0.6284 | |||
| Downside Deviation | 0.7224 | |||
| Coefficient Of Variation | 975.38 | |||
| Standard Deviation | 0.755 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Vanguard Large-cap 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 Large-cap 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 Large-cap'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 Large-cap'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 Large Cap Index.
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Vanguard Large Cap Index. Also, note that the market value of any mutual fund could be tightly coupled with the direction of predictive economic indicators such as signals in state. You can also try the Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.