Vanguard Global Minimum Fund Market Value
| VMVFX Fund | USD 14.97 0.07 0.47% |
| Symbol | Vanguard |
Vanguard Global '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 Global'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 Global.
| 05/05/2022 |
| 04/24/2024 |
If you would invest 0.00 in Vanguard Global on May 5, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard Global Minimum or generate 0.0% return on investment in Vanguard Global over 720 days. Vanguard Global is related to or competes with Vanguard Ftse, Vanguard Total, Vanguard High, Vanguard Growth, and Vanguard Value. The fund invests primarily in U.S. and foreign stocks that are expected to generate lower volatility relative to the glo... More
Vanguard Global 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 Global'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 Global Minimum upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3596 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 1.98 | |||
| Value At Risk | (0.55) | |||
| Potential Upside | 0.857 |
Vanguard Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Global's standard deviation. In reality, there are many statistical measures that can use Vanguard Global historical prices to predict the future Vanguard Global's volatility.| Risk Adjusted Performance | 0.0749 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.1) | |||
| Treynor Ratio | 0.0739 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Global'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 Global Minimum Backtested Returns
We consider Vanguard Global very steady. Vanguard Global Minimum owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Global Minimum, which you can use to evaluate the volatility of the fund. Please validate Vanguard Global's Risk Adjusted Performance of 0.0749, semi deviation of 0.2568, and Coefficient Of Variation of 771.92 to confirm if the risk estimate we provide is consistent with the expected return of 0.0523%. The entity has a beta of 0.59, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vanguard Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Global is expected to be smaller as well.
Auto-correlation | 0.61 |
Good predictability
Vanguard Global Minimum has good predictability. Overlapping area represents the amount of predictability between Vanguard Global time series from 5th of May 2022 to 30th of April 2023 and 30th of April 2023 to 24th 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 Global Minimum price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Vanguard Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.44 |
Vanguard Global Minimum lagged returns against current returns
Autocorrelation, which is Vanguard Global 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 Global's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Global returns to help us make a trade decision. For example, suppose you find that Vanguard Global 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 Global 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 Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Global 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 Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Global Lagged Returns
When evaluating Vanguard Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Global mutual fund have on its future price. Vanguard Global 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 Global autocorrelation shows the relationship between Vanguard Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Global Minimum.
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 Global Correlation, Vanguard Global Volatility and Vanguard Global Alpha and Beta module to complement your research on Vanguard Global. Note that the Vanguard Global Minimum information on this page should be used as a complementary analysis to other Vanguard Global's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
Vanguard Global 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.