Vanguard Multifactor Etf Volatility
| VFMF Etf | USD 157.03 0.21 0.13% |
Vanguard Multifactor now displays a very low volatility profile across the designated horizon. Vanguard Multifactor reports a Sharpe Ratio (Efficiency) of 0.0525, confirming positive risk-adjusted behavior over the last 3 months. The present risk profile is informed by 30 technical indicators.
Sharpe Ratio = 0.0525
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | VFMF |
Vanguard Multifactor reported a Market Risk Adjusted Performance of 0.1%, a Risk of 0.82, and a Risk Adjusted Performance of 0.1%. Vanguard Multifactor is tracking at approximately 4% of its historical trend range. Within a diversified framework, contribution depends on allocation size.
Key indicators related to Vanguard Multifactor's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility for Vanguard Multifactor can be decomposed into systematic risk (driven by broad market conditions) and idiosyncratic risk (driven by Vanguard Multifactor's company-specific factors). Beta captures the systematic component, while total standard deviation captures both.
Vanguard | Build AI portfolio with Vanguard Etf |
Vanguard Multifactor Volatility Strategy
Market cycles can shift how Vanguard Multifactor participates in overall return dispersion. Current statistical measures show total volatility near 0.82% with a beta coefficient of 0.93, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0525, evaluates return per unit of total risk. An alpha value of 0.0828 reflects performance relative to systematic market exposure. Expected return estimates near 0.0429% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Arbitrage activity often helps align price and NAV.
Main indicators related to Vanguard Multifactor's market risk premium analysis include:
Beta 0.93 | Alpha 0.0828 | Risk 0.82 | Sharpe Ratio 0.0525 | Expected Return 0.0429 |
Moving together with Vanguard Etf
| 0.98 | VOE | Vanguard Mid Cap | PairCorr |
| 0.96 | SDY | SPDR SAMPP Dividend | PairCorr |
| 0.97 | DVY | iShares Select Dividend | PairCorr |
| 0.98 | IWS | iShares Russell Mid | PairCorr |
| 0.95 | FVD | First Trust Value | PairCorr |
| 0.95 | SPYD | SPDR Portfolio SAMPP | PairCorr |
| 0.96 | COWZ | Pacer Cash Cows | PairCorr |
| 0.95 | IJJ | iShares SAMPP Mid | PairCorr |
| 0.98 | DON | WisdomTree MidCap | PairCorr |
| 0.98 | RPV | Invesco SAMPP 500 | PairCorr |
| 0.9 | ARP | Advisors Inner Circle | PairCorr |
| 0.91 | PXMV | Invesco SAMPP MidCap | PairCorr |
| 0.95 | IGA | Voya Global Advantage | PairCorr |
| 0.9 | EVHY | Morgan Stanley ETF | PairCorr |
| 0.97 | XSLV | Invesco SAMPP SmallCap | PairCorr |
| 0.94 | SCJ | iShares MSCI Japan | PairCorr |
| 0.94 | AVSE | Avantis Responsible | PairCorr |
| 0.77 | SMCRX | ALPSSmith Credit | PairCorr |
| 0.88 | HYG | iShares iBoxx High | PairCorr |
| 0.95 | AVXC | Avantis Emerging Markets | PairCorr |
| 0.83 | UNIY | WisdomTree Voya Yield | PairCorr |
Moving against Vanguard Etf
| 0.73 | ENTR | EntrepreneurShares | PairCorr |
| 0.72 | MAGS | Roundhill Magnificent | PairCorr |
| 0.33 | PLT | DeFiance Leveraged Long | PairCorr |
Vanguard Multifactor Sensitivity To Market
Vanguard Multifactor'sVanguard Multifactor shows a beta coefficient of 0.93, measuring correlation and volatility relative to benchmark movements. Regression slope analysis defines its systematic risk contribution. Current volatility measures about 0.82%.This overview focuses on observed volatility for Vanguard Multifactor and how returns have fluctuated. Downside deviation currently reads near 0.85%. Options markets imply a forward-looking volatility estimate near 18.0%. This reflects comparatively contained forward-looking volatility expectations. For ETFs, trading volume and bid-ask spread often matter as much as the index itself. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
| α | 0.08 | β | 0.93 | Check current 90 days Vanguard Multifactor correlation with market (Dow Jones Industrial)
Vanguard Multifactor Downside Risk
Vanguard standard deviation measures daily price dispersion from the mean, providing a proxy for volatility over the selected time period. Volatile instruments have higher standard deviations; stable ones have lower.
Standard Deviation | 0.82 |
Upside and downside risks in Vanguard Multifactor are not symmetric. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only the loss risk in Vanguard Multifactor's daily returns. Vanguard Multifactor reported a Downside Deviation of 0.85, a Downside Variance of 0.73, and a Maximum Drawdown of 3.83.
Using Vanguard Put Option to Manage Risk Based on 2026-04-17 Contracts
Vanguard Multifactor reported an Option Implied Volatility of 0.18 and an Option Max Pain Price of -1. Put options written on Vanguard Multifactor grant their holders the ability to benefit from or protect against Vanguard Multifactor's price declines. The put buyer pays a premium upfront for the right to sell Vanguard Etf at the strike price before expiration.
Vanguard Multifactor's PUT expiring on 2026-04-17
Profit |
| Vanguard Multifactor Price At Expiration |
Vanguard Multifactor Etf Volatility Analysis
Market participants monitor Vanguard Multifactor volatility to assess the etf's price stability. When Vanguard Multifactor's volatility is elevated, prices can swing by several percentage points in a single session. Sustained low volatility in Vanguard Multifactor typically signals a stable trading environment.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Vanguard Multifactor 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.
Vanguard Multifactor Projected Return Density Against Market
Given the investment horizon of 90 days Vanguard Multifactor has a beta of 0.9264 . This entails Vanguard Multifactor market returns are reactive to returns on the market. As the market goes up or down, Vanguard Multifactor is expected to follow.Risk assessment for Vanguard Multifactor separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. Vanguard Multifactor reported a Downside Deviation of 0.85, a Mean Deviation of 0.62, and an Option Implied Volatility of 0.18.
Predicted Return Density |
| Returns |
What Drives a Vanguard Multifactor Price Volatility?
Several factors can influence a etf's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Vanguard Multifactor Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Vanguard Multifactor is 1903.21. The daily returns are distributed with a variance of 0.67 and standard deviation of 0.82. The mean deviation of Vanguard Multifactor is currently at 0.63. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | 0.93 | |
σ | Overall volatility | 0.82 | |
Ir | Information ratio | 0.10 |
Vanguard Multifactor Etf Return Volatility
Vanguard Multifactor historical daily return volatility represents how much of Vanguard Multifactor etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund inherits 0.8169% risk (volatility on return distribution) over a 90-day horizon. By contrast, Dow Jones Industrial accepts 0.7724% volatility on return distribution over a 90-day horizon. Performance |
| Timeline |
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 Multifactor Constituents Risk-Adjusted Indicators
There is a big difference between Vanguard Etf performing well and Vanguard Multifactor ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Vanguard Multifactor's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VFQY | 0.66 | 0.01 | 0.01 | -0.01 | 0.87 | 1.29 | 4.44 | |||
| QINT | 0.64 | 0.10 | 0.09 | 0.11 | 0.95 | 1.34 | 5.15 | |||
| KBWD | 0.67 | -0.06 | 0.00 | -0.11 | 0.00 | 1.24 | 4.54 | |||
| VIDI | 0.63 | 0.16 | 0.14 | 0.22 | 0.87 | 1.36 | 5.41 | |||
| EWJV | 0.89 | 0.18 | 0.14 | 0.20 | 1.16 | 1.92 | 7.43 | |||
| EELV | 0.52 | 0.07 | 0.10 | 0.13 | 0.67 | 1.14 | 3.49 | |||
| EPOL | 1.02 | 0.15 | 0.11 | 0.20 | 1.24 | 2.22 | 7.84 | |||
| WWJD | 0.61 | 0.09 | 0.09 | 0.12 | 0.89 | 1.28 | 5.42 | |||
| KBWP | 0.75 | -0.01 | 0.00 | -0.04 | 1.10 | 1.54 | 6.68 | |||
| EMQQ | 0.96 | -0.23 | 0.00 | -0.25 | 0.00 | 1.77 | 6.15 |
About Vanguard Multifactor Volatility Analysis
Volatility for Vanguard Multifactor reflects price dispersion, spread stability, and underlying basket liquidity conditions. Swing amplitude frames exposure planning and risk limits.
Unless otherwise specified, financial data for Vanguard Multifactor is derived from periodic company reporting (annual and quarterly where available). Asset-level metrics are computed daily by Macroaxis LLC and refreshed regularly based on asset type. Updates may occur throughout the day.
Vanguard Multifactor Investment Opportunity
Measured over the selected horizon, Vanguard Multifactor carries roughly 1.06 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Vanguard Multifactor to enhance the returns of your portfolios. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal upward fluctuation. Check odds of Vanguard Multifactor to be traded at $164.88 in 90 days.Poor diversification
Across the chosen horizon, VFMF and DJI show a correlation of 0.73 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Vanguard Multifactor Additional Risk Indicators
Risk analysis around Vanguard Multifactor becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0772 | |||
| Market Risk Adjusted Performance | 0.0868 | |||
| Mean Deviation | 0.6217 | |||
| Semi Deviation | 0.7525 | |||
| Downside Deviation | 0.8534 | |||
| Coefficient Of Variation | 1005.47 | |||
| Standard Deviation | 0.8155 |
Vanguard Multifactor Suggested Diversification Pairs
Pair trading with Vanguard Multifactor can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Vanguard Multifactor as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Vanguard Multifactor's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Vanguard Multifactor's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Vanguard Multifactor.
More Resources for Vanguard Etf Analysis
A comprehensive view of Vanguard Multifactor starts with financial statements and ratio context. Ratio context helps frame profitability, efficiency, and growth trends for Vanguard Multifactor Etf. Selected reports below provide context for Vanguard Etf:World Market Map provides context for diversified portfolio construction. Refined allocation visibility enhances overall portfolio context. This reflects a position in Vanguard Multifactor within the allocation view. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in state. Analysis related to Vanguard Multifactor should be read together with other portfolio and risk tools before capital is reallocated. That is especially important when the goal is to improve the overall mix of instruments already held. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
Vanguard Multifactor market price can diverge from book value, the accounting figure shown on Vanguard balance sheet. Intrinsic value is an estimate of underlying worth, separate from trading price and book value. The valuation process compares these measures for perspective.
It is useful to distinguish Vanguard Multifactor's value from its trading price, which are computed with different methods. Reviewing financial results, valuation ratios, and competitive positioning helps frame the value discussion. The quoted price is simply the exchange level where supply meets demand.