Vanguard FTSE Developed Etf Volatility
| VE Etf | CAD 43.20 -0.12 -0.28% |
The current market-risk setup reflects 22 technical indicators. Vanguard FTSE Developed retains relatively low price volatility during the last 3 months. Vanguard FTSE Developed continues to report a Sharpe ratio of -0.0349, showing that returns did not compensate for risk over the last 3 months.
Sharpe Ratio = -0.0349
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Estimated Market Risk
| 1.1 actual daily | 9 91% of assets are more volatile |
Expected Return
| -0.04 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.03 actual daily | 0 Most of other assets perform better |
For Vanguard FTSE Developed, recent data highlights a Market Risk Adjusted Performance of -0.02%, a Risk of 1.10, and a Risk Adjusted Performance of -0.01%. Monthly moving average analysis shows Vanguard FTSE is not yet reaching its full return potential. A well-diversified portfolio can improve risk-return balance and Vanguard FTSE overall contribution. Diversification effects can offset Vanguard FTSE standalone underperformance within a broader allocation.
Key indicators related to Vanguard FTSE's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Vanguard FTSE's volatility is most commonly measured using the annualized standard deviation of daily returns. Beta-adjusted market sensitivity and financial distress probability provide a robust estimate of Vanguard FTSE's overall risk level. For options traders, Vanguard FTSE's implied volatility surface provides a forward-looking estimate of future price dispersion.
Vanguard |
Volatility Strategy
Vanguard FTSE Developed price cycles can influence portfolio-level exposure concentration. Current statistical measures show total volatility near 1.1% with a beta coefficient of 0.84, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0349, evaluates return per unit of total risk. An alpha value of 0.0298 reflects performance relative to systematic market exposure. Expected return estimates near -0.0385% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. ETF volatility includes both structural and trading layers.
Main indicators related to Vanguard FTSE's market risk premium analysis include:
Beta 0.84 | Alpha 0.0298 | Risk 1.1 | Sharpe Ratio -0.03 | Expected Return -0.04 |
Moving together with Vanguard Etf
| 0.98 | ZWP | BMO Europe High | PairCorr |
| 0.96 | ZWE | BMO Europe High | PairCorr |
| 1.0 | XEU | iShares MSCI Europe | PairCorr |
| 0.96 | ZEQ | BMO MSCI Europe | PairCorr |
| 0.96 | XEH | iShares MSCI Europe | PairCorr |
| 0.95 | HXX | Global X Europe | PairCorr |
| 0.89 | EHE | CI Europe Hedged | PairCorr |
| 0.66 | VRE | Vanguard FTSE Canadian | PairCorr |
Moving against Vanguard Etf
| 0.67 | HIU | BetaPro SAMPP 500 | PairCorr |
| 0.48 | HXD | BetaPro SAMPPTSX | PairCorr |
| 0.33 | HQD | BetaPro NASDAQ 100 | PairCorr |
Sensitivity To Market
With a beta of 0.84, Vanguard FTSE Developed shows measurable correlation with market returns. Beta is statistically defined as the regression slope between asset and benchmark returns. Current volatility is near 1.1%.Vanguard FTSE Developed return variability over the selected time horizon is summarized by standard deviation (1.06%) and semi-deviation (0.0%). ETF pricing may look more volatile when NAV updates lag intraday demand and supply. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze Vanguard FTSE Developed Demand TrendCheck current 90 days Vanguard FTSE correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of Vanguard measures how widely its daily prices are dispersed around the mean. High standard deviation points to high volatility; low standard deviation points to price stability. The standard deviation of Vanguard prices measures volatility as the average daily spread from the mean.
Standard Deviation | 1.1 |
Standard deviation captures both upside and downside movement in Vanguard FTSE. While standard deviation captures total volatility, downside deviation focuses exclusively on the loss side of Vanguard FTSE's returns. A complete risk picture of Vanguard FTSE emerges when standard deviation and downside deviation are examined together. For Vanguard FTSE Developed, recent data highlights a Maximum Drawdown of 5.22.
Etf Volatility Analysis
Vanguard FTSE etf volatility is a measure of the speed and extent of Vanguard FTSE's price movements. A higher-volatility etf like Vanguard FTSE may generate large gains or losses in a short timeframe. In most cases, the higher the volatility, the riskier the etf.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Vanguard FTSE Developed Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon Vanguard FTSE has a beta of 0.8407 . This entails as returns on the market go up, Vanguard FTSE's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Vanguard FTSE Developed is expected to be smaller as well.Systematic exposure aligns Vanguard FTSE with overall etf market volatility, while unsystematic drivers reflect company or sector-specific developments. For Vanguard FTSE Developed, recent data highlights a Mean Deviation of 0.77 and a Standard Deviation of 1.06.
Predicted Return Distribution |
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What Drives Vanguard FTSE's Price Volatility?
Industry Dynamics
Peer results and sector re-ratings in the Vanguard Investments Canada Inc sector often influence how investors price Vanguard FTSE's risk.Political and Economic Environment
Macro data and central-bank signals can change valuation assumptions and short-term positioning around Vanguard FTSE.Vanguard FTSE's Company-Specific Factors
Company-specific events such as product updates, strategic actions, or execution issues can trigger volatility clusters.Etf Risk Measures
Assuming a 90-day horizon the coefficient of variation of Vanguard FTSE is -2864.2. The daily returns are distributed with a variance of 1.22 and standard deviation of 1.1. The mean deviation of Vanguard FTSE Developed is currently at 0.82. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | 0.03 | |
β | Beta against Dow Jones | 0.84 | |
σ | Overall volatility | 1.10 | |
Ir | Information ratio | 0.04 |
Etf Return Volatility
Daily return volatility for Vanguard FTSE measures how far etf returns deviate from their average on a day-to-day basis. The ETF shows 1.103% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial has volatility of 0.8484% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Vanguard FTSE Constituents Risk-Adjusted Indicators
Evaluating Vanguard Etf requires separating price momentum from underlying operating strength versus competitors. Risk-adjusted metrics help compare Vanguard FTSE's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VI | 0.67 | 0.11 | 0.11 | 0.08 | 1.08 | 1.35 | 5.16 | |||
| VDU | 0.75 | 0.10 | 0.08 | 0.05 | 1.26 | 1.49 | 5.53 | |||
| XUH | 0.63 | 0.01 | 0.00 | -0.06 | 0.00 | 0.98 | 4.19 | |||
| QQU | 1.62 | 0.00 | 0.00 | -0.07 | 0.00 | 2.88 | 8.22 | |||
| NGPE | 1.34 | -0.37 | 0.00 | -0.37 | 0.00 | 2.34 | 11.00 | |||
| HDIF | 0.72 | 0.03 | 0.00 | -0.03 | 0.00 | 1.36 | 5.21 | |||
| TQGM | 0.55 | 0.07 | 0.10 | 0.03 | 0.76 | 1.20 | 3.97 | |||
| TQSM | 0.80 | 0.04 | 0.05 | -0.01 | 1.08 | 1.54 | 5.11 | |||
| XCSR | 0.90 | -0.04 | 0.00 | -0.11 | 0.00 | 1.71 | 5.03 | |||
| FXM | 0.69 | 0.15 | 0.15 | 0.23 | 1.08 | 1.30 | 4.50 |
Risk Metrics, Assumptions & Methodology
Systematic risk exposure for Vanguard FTSE measures how much of the fund's volatility comes from broad market movements versus idiosyncratic factors. Systematic risk dominates during market stress, often overwhelming any diversification benefit from low average beta.
This section for Vanguard FTSE Developed is built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Values may update on different source schedules. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardVanguard FTSE Investment Opportunity
Vanguard FTSE Developed currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.29. Used properly, this comparison frames whether the extra volatility is strategic or simply uncompensated risk.You can use Vanguard FTSE Developed to protect the portfolio against small market fluctuations. This move summary looks at how the current session may translate into a basic near-term setup. It is intended to separate routine noise from more speculative bursts in price action. a normal downward trend and little activity. Check odds of Vanguard FTSE to be traded at C$42.77 in 90 days.Very poor diversification
For the present investment horizon, the measured correlation between Vanguard FTSE and Dow Jones stands at 0.86, or Very poor diversification. The overlap area shows the portion of risk that can be diversified away by holding both instruments together.
Vanguard FTSE Additional Risk Indicators
A broader risk-indicator set for Vanguard FTSE Developed can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.01 | |||
| Market Risk Adjusted Performance | -0.02 | |||
| Mean Deviation | 0.7651 | |||
| Coefficient Of Variation | -7,770 | |||
| Standard Deviation | 1.06 | |||
| Variance | 1.12 | |||
| Information Ratio | 0.0377 |
Vanguard FTSE Suggested Diversification Pairs
A pair strategy built around Vanguard FTSE Developed is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Pair diversification lowers overall risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the overall market - cannot be eliminated by pairing Vanguard FTSE with another position. However, Vanguard FTSE's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with Vanguard FTSE Developed.
More Resources for Vanguard Etf Analysis
Analysis of Vanguard FTSE Developed often begins with its financial statements and historical patterns. The following reports provide structured context for Vanguard FTSE Developed Etf:Review World Market Map for context on portfolio diversification. Portfolio construction reflects how positions are combined across holdings. Adding Vanguard FTSE Developed to a portfolio enables side-by-side comparison with other holdings. Risk and return metrics update as positions are added or adjusted. Broader economic conditions can influence Vanguard FTSE Developed's etf valuation — related indicators include signals in population.This analysis of Vanguard FTSE works best as a complementary layer when evaluating how the security fits in a broader portfolio. Vanguard FTSE peer comparison and risk tools below help frame relative strengths and weaknesses. You can also try the FinTech Suite module to use AI to screen and filter investment opportunities.