Vanguard Extended Market Fund Market Value
| VSEMX Fund | USD 249.89 0.68 0.27% |
| Symbol | Vanguard |
Vanguard Extended '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 Extended'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 Extended.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Vanguard Extended on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Extended Market or generate 0.0% return on investment in Vanguard Extended over 30 days. Vanguard Extended is related to or competes with Blackrock Conservative, Aqr Diversified, Massmutual Premier, Calvert Conservative, Adams Diversified, and American Funds. The fund employs an indexing investment approach designed to track the performance of SP Completion Index, a broadly div... More
Vanguard Extended 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 Extended'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 Extended Market upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | 0.0843 | |||
| Maximum Drawdown | 6.0 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.75 |
Vanguard Extended Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Extended's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Extended's standard deviation. In reality, there are many statistical measures that can use Vanguard Extended historical prices to predict the future Vanguard Extended's volatility.| Risk Adjusted Performance | 0.163 | |||
| Jensen Alpha | 0.0554 | |||
| Total Risk Alpha | 0.0366 | |||
| Sortino Ratio | 0.09 | |||
| Treynor Ratio | 0.1705 |
Vanguard Extended Market Backtested Returns
Vanguard Extended appears to be very steady, given 3 months investment horizon. Vanguard Extended Market owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.25, which indicates the fund had a 0.25% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vanguard Extended Market, which you can use to evaluate the volatility of the fund. Please review Vanguard Extended's Coefficient Of Variation of 477.9, semi deviation of 0.7131, and Risk Adjusted Performance of 0.163 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of 1.29, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Vanguard Extended will likely underperform.
Auto-correlation | 0.95 |
Excellent predictability
Vanguard Extended Market has excellent predictability. Overlapping area represents the amount of predictability between Vanguard Extended time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Extended Market price movement. The serial correlation of 0.95 indicates that approximately 95.0% of current Vanguard Extended price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.95 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 33.06 |
Vanguard Extended Market lagged returns against current returns
Autocorrelation, which is Vanguard Extended 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 Extended's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Extended returns to help us make a trade decision. For example, suppose you find that Vanguard Extended 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 Extended 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 Extended mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Extended 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 Extended mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Extended Lagged Returns
When evaluating Vanguard Extended's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Extended mutual fund have on its future price. Vanguard Extended 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 Extended autocorrelation shows the relationship between Vanguard Extended mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Extended Market.
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 Extended 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 Extended security.
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators |