Vanguard Sp 500 Fund Market Value
| VSPVX Fund | USD 378.22 2.93 0.78% |
| Symbol | Vanguard |
Vanguard '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'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.
| 04/30/2022 |
| 04/19/2024 |
If you would invest 0.00 in Vanguard on April 30, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard Sp 500 or generate 0.0% return on investment in Vanguard over 720 days. Vanguard is related to or competes with Vanguard Small, Vanguard Growth, Vanguard Mid, Vanguard Small, and Vanguard Emerging. The fund employs an indexing investment approach designed to track the performance of the SP 500 Value Index, which repr... More
Vanguard 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'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 Sp 500 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6917 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.06 | |||
| Value At Risk | (1.01) | |||
| Potential Upside | 0.9136 |
Vanguard Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard's standard deviation. In reality, there are many statistical measures that can use Vanguard historical prices to predict the future Vanguard's volatility.| Risk Adjusted Performance | 0.0513 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0441 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard'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 Sp 500 Backtested Returns
We consider Vanguard very steady. Vanguard Sp 500 owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0882, which indicates the fund had a 0.0882% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Sp 500, which you can use to evaluate the volatility of the fund. Please validate Vanguard's Risk Adjusted Performance of 0.0513, coefficient of variation of 1203.53, and Semi Deviation of 0.6132 to confirm if the risk estimate we provide is consistent with the expected return of 0.055%. The entity has a beta of 0.94, which indicates possible diversification benefits within a given portfolio. Vanguard returns are very sensitive to returns on the market. As the market goes up or down, Vanguard is expected to follow.
Auto-correlation | 0.64 |
Good predictability
Vanguard Sp 500 has good predictability. Overlapping area represents the amount of predictability between Vanguard time series from 30th of April 2022 to 25th of April 2023 and 25th of April 2023 to 19th 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 Sp 500 price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Vanguard price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 563.18 |
Vanguard Sp 500 lagged returns against current returns
Autocorrelation, which is Vanguard 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's mutual fund expected returns. We can calculate the autocorrelation of Vanguard returns to help us make a trade decision. For example, suppose you find that Vanguard 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 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 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard 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 mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Lagged Returns
When evaluating Vanguard's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard mutual fund have on its future price. Vanguard 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 autocorrelation shows the relationship between Vanguard mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Sp 500.
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.Check out Vanguard Correlation, Vanguard Volatility and Vanguard Alpha and Beta module to complement your research on Vanguard. You can also try the Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
Vanguard 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.