Vanguard Commodity Strategy Fund Market Value
| VCMDX Fund | USD 26.15 0.17 0.65% |
| Symbol | Vanguard |
Vanguard Commodity '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 Commodity'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 Commodity.
| 05/23/2023 |
| 12/13/2024 |
If you would invest 0.00 in Vanguard Commodity on May 23, 2023 and sell it all today you would earn a total of 0.00 from holding Vanguard Commodity Strategy or generate 0.0% return on investment in Vanguard Commodity over 570 days. Vanguard Commodity is related to or competes with Vanguard Energy, Vanguard Market, Vanguard Sumer, and Vanguard Utilities. The funds advisor employs an active investment management approach to invest the funds assets in commodity-linked invest... More
Vanguard Commodity 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 Commodity'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 Commodity Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8648 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 3.31 | |||
| Value At Risk | (1.08) | |||
| Potential Upside | 1.38 |
Vanguard Commodity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Commodity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Commodity's standard deviation. In reality, there are many statistical measures that can use Vanguard Commodity historical prices to predict the future Vanguard Commodity's volatility.| Risk Adjusted Performance | 0.0821 | |||
| Jensen Alpha | 0.0884 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (0.51) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vanguard Commodity'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 Commodity Backtested Returns
At this stage we consider Vanguard Mutual Fund to be very steady. Vanguard Commodity owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0616, which indicates the fund had a 0.0616% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Vanguard Commodity Strategy, which you can use to evaluate the volatility of the fund. Please validate Vanguard Commodity's Semi Deviation of 0.712, coefficient of variation of 886.82, and Risk Adjusted Performance of 0.0821 to confirm if the risk estimate we provide is consistent with the expected return of 0.0451%. The entity has a beta of -0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Vanguard Commodity are expected to decrease at a much lower rate. During the bear market, Vanguard Commodity is likely to outperform the market.
Auto-correlation | 0.13 |
Insignificant predictability
Vanguard Commodity Strategy has insignificant predictability. Overlapping area represents the amount of predictability between Vanguard Commodity time series from 23rd of May 2023 to 3rd of March 2024 and 3rd of March 2024 to 13th 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 Commodity price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Vanguard Commodity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.13 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.38 |
Vanguard Commodity lagged returns against current returns
Autocorrelation, which is Vanguard Commodity 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 Commodity's mutual fund expected returns. We can calculate the autocorrelation of Vanguard Commodity returns to help us make a trade decision. For example, suppose you find that Vanguard Commodity 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 Commodity 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 Commodity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Commodity 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 Commodity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Commodity Lagged Returns
When evaluating Vanguard Commodity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Commodity mutual fund have on its future price. Vanguard Commodity 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 Commodity autocorrelation shows the relationship between Vanguard Commodity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Commodity Strategy.
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.Other Information on Investing in Vanguard Mutual Fund
Vanguard Commodity financial ratios help investors to determine whether Vanguard Mutual Fund 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 Commodity security.
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