Vanguard Market Neutral Fund Market Value
| VMNFX Fund | USD 13.97 0.01 0.07% |
| Symbol | Vanguard |
Vanguard Market '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 Market'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 Market.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Vanguard Market on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Vanguard Market Neutral or generate 0.0% return on investment in Vanguard Market over 540 days. Vanguard Market is related to or competes with Vanguard Commodity, Vanguard Global, and Vanguard Strategic. The fund follows a market neutral strategy, which the managers define as a strategy designed to produce a portfolio that... More
Vanguard Market 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 Market'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 Market Neutral upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.43) | |||
| Maximum Drawdown | 2.26 | |||
| Value At Risk | (0.62) | |||
| Potential Upside | 0.6325 |
Vanguard Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Market's standard deviation. In reality, there are many statistical measures that can use Vanguard Market historical prices to predict the future Vanguard Market's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.11) | |||
| Treynor Ratio | (0.40) |
Vanguard Market Neutral Backtested Returns
Vanguard Market Neutral owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.13, which indicates the fund had a -0.13% return per unit of risk over the last 3 months. Vanguard Market Neutral exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vanguard Market's Coefficient Of Variation of (876.51), variance of 0.1564, and Risk Adjusted Performance of (0.1) to confirm the risk estimate we provide. The entity has a beta of 0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Market's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Market is expected to be smaller as well.
Auto-correlation | 0.63 |
Good predictability
Vanguard Market Neutral has good predictability. Overlapping area represents the amount of predictability between Vanguard Market time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th of November 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 Market Neutral price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Vanguard Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Vanguard Market Neutral lagged returns against current returns
Autocorrelation, which is Vanguard Market 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 Market's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Market returns to help us make a trade decision. For example, suppose you find that Vanguard Market 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 Market 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 Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Market 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 Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Market Lagged Returns
When evaluating Vanguard Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Market mutual fund have on its future price. Vanguard Market 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 Market autocorrelation shows the relationship between Vanguard Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Market Neutral.
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.Other Information on Investing in Vanguard Mutual Fund
Vanguard Market financial ratios help investors to determine whether Vanguard Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vanguard with respect to the benefits of owning Vanguard Market security.
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
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