Finding variance and beta for ETFs
I would like to create a portfolio using ETFs. Where can I find variance and beta numbers for an ETF?
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Hi, Please go to http://www.etfexpert.com/ and click on the ETFs on the left side menu. You should be able to find the betas easily for a variety of different ETFs. The variances of the returns on ETFs is a different story. I'll keep looking. If you find a source, email me at kotlikoff@gmail.com. best, Larry
Larry: Standard Deviation is very easy to find. I've read that variance is just standard deviation squared. Is that not what is needed?
After a conversation with Kotlikoff:
Most financial websites like Morningstar, Fidelity, Yahoo Finance, Google Finance, etc. report risk statistics on most funds. So, for example, if you go to Google Finance (just google it) and you'll see a place to type in a ticker right at the top. If I type in FSMKX (Fidelity's S&P index fund) I see a section in the middle of the page called RISK. There, the Standard Deviation is reported on different time periods. I'll choose the longest time period--ten years--and see that the SD is 16.04. Since this is a percentage, we'll first change that to .1604 and multiply it times itself (square it) to get the "variance" needed to enter your own asset class in ESPLanner. By the way, Beta is also reported on this same page. Of course, being an S&P index fund, it has a Beta of 1.
Thank you for suggesting these resources. Unfortunately, I can't find beta and standard deviations for certain asset classes such as bonds and some commodities. Any other suggestions? Some of the resources express the standard deviation compared to a commodities index and not a large cap index. So the number won't be meaningful.
Also, could you please confirm that if I want to enter the variance number for say a small cap equity ETF, I would square the SD of that ETF and divide that answer by .1604 squared (the SD of the S&P index fund)? As I understand the inputs in the model, variance must be expressed as a percentage of the large cap variance.
Hi,
Yes, I confirm your second paragraph. Re your first question, you can always form a correlation coefficient and a standard deviation if you have a time series of returns on the bonds or commodities you are holding. You can do this in Excel.
Call me at 617 834-2148 if this isn't clear.
best, Larry