Advanced ETF Risk Statistics
Analyze volatility, Sharpe Ratio, beta, and correlation of your ETF portfolio
Benefits
Sharpe Ratio
Risk-adjusted return metric. Understand if you're earning sufficient returns for the risk taken
Volatility and beta
Calculate annualized volatility and beta vs market. See how your portfolio moves with MSCI World
Asset correlation
Analyze relationships between holdings. True diversification with correlations <0.8
How it works
1. Load return history
Index Balance retrieves 3-5 years of monthly historical data for your funds
2. Calculate statistics
Computes volatility, Sharpe Ratio, beta, maximum drawdown, and correlation matrix
3. Visual reports
Metrics tables, return distribution charts, and correlation heatmaps
Frequently asked questions
What is a good Sharpe Ratio?
Sharpe >1.0 is excellent, 0.5-1.0 is good, <0.5 suggests improving risk-return profile
What beta should my portfolio have?
Beta 1.0 = moves with market. <1.0 = lower volatility. For boglehead portfolios, expect ~0.95-1.0
How to interpret fund correlations?
Correlation 1.0 = move together. 0 = independent. <0 = inverse (rare). Aim for <0.8 for diversification
Does Sharpe Ratio include inflation?
Yes, it uses a risk-free rate (~2-3% Treasury Bills) that approximates inflation impact
How much data is needed for reliable statistics?
Minimum 3 years (36 months) for meaningful stats. 5+ years is ideal for full market cycles