Vanguard Total Market Etf Market Value
| VUS Etf | CAD 88.11 0.26 0.29% |
| Symbol | Vanguard |
Vanguard Total '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 Total's etf 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 Total.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Vanguard Total on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Total Market or generate 0.0% return on investment in Vanguard Total over 30 days. Vanguard Total is related to or competes with IShares SPTSX, and IShares Core. The ETF seeks to track, to the extent reasonably possible and before fees and expenses, the performance of a broad U.S More
Vanguard Total 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 Total's etf 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 Total Market upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7795 | |||
| Information Ratio | 0.0083 | |||
| Maximum Drawdown | 3.49 | |||
| Value At Risk | (1.22) | |||
| Potential Upside | 1.18 |
Vanguard Total Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Total's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Total's standard deviation. In reality, there are many statistical measures that can use Vanguard Total historical prices to predict the future Vanguard Total's volatility.| Risk Adjusted Performance | 0.0622 | |||
| Jensen Alpha | 9.0E-4 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0082 | |||
| Treynor Ratio | 0.0594 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Total'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 Total Market Backtested Returns
We consider Vanguard Total very steady. Vanguard Total Market owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0641, which indicates the etf had a 0.0641% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vanguard Total Market, which you can use to evaluate the volatility of the etf. Please validate Vanguard Total's Semi Deviation of 0.6759, coefficient of variation of 1025.83, and Risk Adjusted Performance of 0.0622 to confirm if the risk estimate we provide is consistent with the expected return of 0.0481%. The entity has a beta of 1.09, which indicates a somewhat significant risk relative to the market. Vanguard Total returns are very sensitive to returns on the market. As the market goes up or down, Vanguard Total is expected to follow.
Auto-correlation | 0.62 |
Good predictability
Vanguard Total Market has good predictability. Overlapping area represents the amount of predictability between Vanguard Total time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 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 Total Market price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current Vanguard Total price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.68 | |
| Residual Average | 0.0 | |
| Price Variance | 1.96 |
Vanguard Total Market lagged returns against current returns
Autocorrelation, which is Vanguard Total etf'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 Total's etf expected returns. We can calculate the autocorrelation of Vanguard Total returns to help us make a trade decision. For example, suppose you find that Vanguard Total has exhibited high autocorrelation historically, and you observe that the etf 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 Total 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 Total etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Total etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Total etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Total Lagged Returns
When evaluating Vanguard Total's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Total etf have on its future price. Vanguard Total 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 Total autocorrelation shows the relationship between Vanguard Total etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Total 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.Check out Vanguard Total Correlation, Vanguard Total Volatility and Vanguard Total Alpha and Beta module to complement your research on Vanguard Total. You can also try the Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Vanguard Total technical etf 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, etf market cycles, or different charting patterns.