Vanguard Mortgage Backed Securities Etf Market Value
| VMBS Etf | USD 45.98 0.16 0.35% |
| Symbol | Vanguard |
The market value of Vanguard Mortgage is measured differently than its book value, which is the value of Vanguard that is recorded on the company's balance sheet. Investors also form their own opinion of Vanguard Mortgage's value that differs from its market value or its book value, called intrinsic value, which is Vanguard Mortgage's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Vanguard Mortgage's market value can be influenced by many factors that don't directly affect Vanguard Mortgage's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Vanguard Mortgage's value and its price as these two are different measures arrived at by different means. Investors typically determine if Vanguard Mortgage is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Vanguard Mortgage's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
Vanguard Mortgage '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 Mortgage'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 Mortgage.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in Vanguard Mortgage on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding Vanguard Mortgage Backed Securities or generate 0.0% return on investment in Vanguard Mortgage over 90 days. Vanguard Mortgage is related to or competes with Vanguard Intermediate, Vanguard Intermediate, Vanguard Short, Vanguard Short, and Vanguard Long. The fund employs an indexing investment approach designed to track the performance of the Bloomberg U.S More
Vanguard Mortgage 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 Mortgage'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 Mortgage Backed Securities upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3332 | |||
| Information Ratio | 0.2926 | |||
| Maximum Drawdown | 1.43 | |||
| Value At Risk | (0.46) | |||
| Potential Upside | 0.5776 |
Vanguard Mortgage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanguard Mortgage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanguard Mortgage's standard deviation. In reality, there are many statistical measures that can use Vanguard Mortgage historical prices to predict the future Vanguard Mortgage's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | 0.0346 | |||
| Sortino Ratio | 0.302 | |||
| Treynor Ratio | (0.22) |
Vanguard Mortgage Backtested Returns
Currently, Vanguard Mortgage Backed Securities is very steady. Vanguard Mortgage owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0677, which indicates the etf had a 0.0677 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Vanguard Mortgage Backed Securities, which you can use to evaluate the volatility of the etf. Please validate Vanguard Mortgage's Risk Adjusted Performance of (0.01), coefficient of variation of 21887.95, and Semi Deviation of 0.3072 to confirm if the risk estimate we provide is consistent with the expected return of 0.0236%. The entity has a beta of 0.039, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanguard Mortgage's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanguard Mortgage is expected to be smaller as well.
Auto-correlation | 0.07 |
Virtually no predictability
Vanguard Mortgage Backed Securities has virtually no predictability. Overlapping area represents the amount of predictability between Vanguard Mortgage time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th of March 2025. 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 Mortgage price movement. The serial correlation of 0.07 indicates that barely 7.0% of current Vanguard Mortgage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Vanguard Mortgage lagged returns against current returns
Autocorrelation, which is Vanguard Mortgage 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 Mortgage's etf expected returns. We can calculate the autocorrelation of Vanguard Mortgage returns to help us make a trade decision. For example, suppose you find that Vanguard Mortgage 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 Mortgage 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 Mortgage etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanguard Mortgage etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanguard Mortgage etf over time.
Current vs Lagged Prices |
| Timeline |
Vanguard Mortgage Lagged Returns
When evaluating Vanguard Mortgage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanguard Mortgage etf have on its future price. Vanguard Mortgage 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 Mortgage autocorrelation shows the relationship between Vanguard Mortgage etf current value and its past values and can show if there is a momentum factor associated with investing in Vanguard Mortgage Backed Securities.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Check out Vanguard Mortgage Correlation, Vanguard Mortgage Volatility and Vanguard Mortgage Alpha and Beta module to complement your research on Vanguard Mortgage. You can also try the Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
Vanguard Mortgage 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.