Vanguard Total Backtesting

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

Vanguard Total 'What if' Analysis

September 13, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 12, 2019
If you would invest  0.00  in Vanguard Total on September 13, 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 Vanguard Index, Vanguard 500, Vanguard Institutional, Vanguard Index, Vanguard 500, and Vanguard Institutional. 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 Deviation0.9001
Information Ratio0.0156
Maximum Drawdown5.56
Value At Risk(1.37)
Potential Upside1.18

Vanguard Total Market Premium Indicators

Risk Adjusted Performance0.0509
Jensen Alpha0.0135
Total Risk Alpha(0.008009)
Sortino Ratio0.0154
Treynor Ratio0.0597

Vanguard Total Stock Backtested Returns

We consider Vanguard Total very steady. Vanguard Total Stock owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0935 which indicates the organization had 0.0935% 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 Coefficient Of Variation of 1266.74, Semi Deviation of 0.7523 and Risk Adjusted Performance of 0.0509 to confirm if risk estimate we provide are consistent with the epected return of 0.0828%. The entity has beta of 1.009 which indicates Vanguard Total returns are very sensitive to returns on the market. as market goes up or down, Vanguard Total is expected to follow. 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 0.0828% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.09) 
correlation synergy

Very weak reverse predictability

Vanguard Total Stock Market Ind has very weak reverse predictability. Overlapping area represents the amount of predictability between Vanguard Total time series from September 13, 2019 to October 28, 2019 and October 28, 2019 to December 12, 2019. 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 -0.09 indicates that less than 9.0% of current Vanguard Total price fluctuation can be explain by its past prices. Given that Vanguard Total Stock Market Ind has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vanguard Total for similar time interval.
Correlation Coefficient-0.09
Spearman Rank Test-0.07
Residual Average0.0
Price Variance2.88

Vanguard Total Stock lagged returns against current returns

 Current and Lagged Values 

Vanguard Total regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Vanguard Total Lagged Returns

 Regressed Prices 

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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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.