Vanguard Australian (Australia) Market Value
| VAS Etf | 104.87 0.20 0.19% |
| Symbol | Vanguard |
Vanguard Australian '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 Australian'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 Australian.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Vanguard Australian on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Vanguard Australian Shares or generate 0.0% return on investment in Vanguard Australian over 720 days. Vanguard Australian is related to or competes with Vanguard Global, Vanguard Global, Vanguard Australian, Vanguard Global, Vanguard MSCI, Vanguard FTSE, and Vanguard Diversified. Vanguard Australian is entity of Australia More
Vanguard Australian 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 Australian'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 Australian Shares upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6794 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 3.06 | |||
| Value At Risk | (0.82) | |||
| Potential Upside | 0.8815 |
Vanguard Australian Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Australian's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Australian's standard deviation. In reality, there are many statistical measures that can use Vanguard Australian historical prices to predict the future Vanguard Australian's volatility.| Risk Adjusted Performance | 0.1013 | |||
| Jensen Alpha | 0.0317 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.2283 |
Vanguard Australian Backtested Returns
Currently, Vanguard Australian Shares is very steady. Vanguard Australian owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the etf had a 0.13% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vanguard Australian Shares, which you can use to evaluate the volatility of the etf. Please validate Vanguard Australian's Coefficient Of Variation of 735.21, risk adjusted performance of 0.1013, and Semi Deviation of 0.5601 to confirm if the risk estimate we provide is consistent with the expected return of 0.0785%. The entity has a beta of 0.31, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Vanguard Australian's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Australian is expected to be smaller as well.
Auto-correlation | -0.06 |
Very weak reverse predictability
Vanguard Australian Shares has very weak reverse predictability. Overlapping area represents the amount of predictability between Vanguard Australian time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd of December 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 Australian price movement. The serial correlation of -0.06 indicates that barely 6.0% of current Vanguard Australian price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 18.4 |
Vanguard Australian lagged returns against current returns
Autocorrelation, which is Vanguard Australian 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 Australian's etf expected returns. We can calculate the autocorrelation of Vanguard Australian returns to help us make a trade decision. For example, suppose you find that Vanguard Australian 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 Australian 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 Australian etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Australian etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Australian etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Australian Lagged Returns
When evaluating Vanguard Australian's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Australian etf have on its future price. Vanguard Australian 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 Australian autocorrelation shows the relationship between Vanguard Australian etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Australian Shares.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Vanguard Etf
Vanguard Australian financial ratios help investors to determine whether Vanguard Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vanguard with respect to the benefits of owning Vanguard Australian security.