Vanguard Total Backtesting

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VSMPX -- USA Fund  

Low Volatility

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Vanguard Total Stock Market Ind and determine expected loss or profit from investing in Vanguard Total over given investment horizon. Also please take a look at Vanguard Total Hype Analysis, Vanguard Total Correlation, Portfolio Optimization, Vanguard Total Volatility as well as analyze Vanguard Total Alpha and Beta and Vanguard Total Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Vanguard Total 'What if' Analysis

October 27, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 25, 2020
0.00
If you would invest  0.00  in Vanguard Total on October 27, 2019 and sell it all today you would earn a total of 0.00 from holding Vanguard Total Stock Market Ind or generate 0.0% return on investment in Vanguard Total over 90 days. Vanguard Total is related to or competes with Investment Company, Vanguard 500, Fundamental Investors, Investment Company, American Funds, Vanguard Index, and Vanguard Dividend. The investment seeks to track the performance of a benchmark index that measures the investment return of the overall st...

Vanguard Total Upside/Downside Indicators

Downside Deviation0.7137
Information Ratio0.0238
Maximum Drawdown2.79
Value At Risk(0.85)
Potential Upside0.9103

Vanguard Total Market Premium Indicators

Risk Adjusted Performance0.1031
Jensen Alpha0.0938
Total Risk Alpha(0.006741)
Sortino Ratio0.0193
Treynor Ratio0.595

Vanguard Total Stock Backtested Returns

We consider Vanguard Total very steady. Vanguard Total Stock owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1881 which indicates the organization had 0.1881% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Vanguard Total Stock Market Ind which you can use to evaluate future volatility of the fund. Please validate Vanguard Total Semi Deviation of 0.3995, Risk Adjusted Performance of 0.1031 and Coefficient Of Variation of 472.51 to confirm if risk estimate we provide are consistent with the epected return of 0.109%. The entity has beta of 0.1891 which indicates as returns on market increase, Vanguard Total returns are expected to increase less than the market. However during bear market, the loss on holding Vanguard Total will be expected to be smaller as well. Although it is extremely important to respect Vanguard Total Stock current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting Vanguard Total Stock technical indicators you can presently evaluate if the expected return of 0.109% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.69 
correlation synergy

Good predictability

Vanguard Total Stock Market Ind has good predictability. Overlapping area represents the amount of predictability between Vanguard Total time series from October 27, 2019 to December 11, 2019 and December 11, 2019 to January 25, 2020. 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 Total Stock price movement. The serial correlation of 0.69 indicates that around 69.0% of current Vanguard Total price fluctuation can be explain by its past prices.
Correlation Coefficient0.69
Spearman Rank Test0.76
Residual Average0.0
Price Variance4.42

Vanguard Total Stock lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Vanguard Total regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Vanguard Total Lagged Returns

 Regressed Prices 
    
  Timeline 

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Also please take a look at Vanguard Total Hype Analysis, Vanguard Total Correlation, Portfolio Optimization, Vanguard Total Volatility as well as analyze Vanguard Total Alpha and Beta and Vanguard Total Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.