Vanguard Market Neutral Fund Market Value
| VMNIX Fund | USD 13.91 0.02 0.14% |
| 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.
| 04/29/2022 |
| 04/18/2024 |
If you would invest 0.00 in Vanguard Market on April 29, 2022 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 720 days. Vanguard Market is related to or competes with HUMANA, Barloworld, Thrivent High, Morningstar Unconstrained, High Yield, Via Renewables, and T Rowe. 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.
| Downside Deviation | 0.4098 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 1.75 | |||
| Value At Risk | (0.58) | |||
| Potential Upside | 0.7369 |
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 | 0.0654 | |||
| Jensen Alpha | 0.0326 | |||
| Total Risk Alpha | 0.0065 | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.4579 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Market'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 Market Neutral Backtested Returns
We consider Vanguard Market very steady. Vanguard Market Neutral owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.1, which indicates the fund had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Market Neutral, which you can use to evaluate the volatility of the fund. Please validate Vanguard Market's Semi Deviation of 0.3216, coefficient of variation of 891.51, and Risk Adjusted Performance of 0.0654 to confirm if the risk estimate we provide is consistent with the expected return of 0.042%. The entity has a beta of 0.079, 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 | 0.64 |
Good predictability
Vanguard Market Neutral has good predictability. Overlapping area represents the amount of predictability between Vanguard Market time series from 29th of April 2022 to 24th of April 2023 and 24th of April 2023 to 18th of April 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 0.64 indicates that roughly 64.0% of current Vanguard Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.66 |
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 |
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 Market 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 Market's short interest history, or implied volatility extrapolated from Vanguard Market options trading.
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Vanguard Market 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.