The Universal Nature of The Sharpe Ratio
Lets look at 3 common methods different investors use to reach their goals:Investment Advisors: a typical advisor buys a combination of stocks and bonds to dilute/diversify the risk of owning stocks...
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ETF Portfolios : Corrections are when the Sharpe Ratio proves itself
One of the major benefits of exchange traded funds is that they provide greater precision in allocating risk. ETFreplay.com has intentionally built virtually every one of our website pages with...
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Examining The Important Link Between Volatility and Drawdown
You hear the term ‘volatility’ thrown around a lot but it is really not well understood outside of the options market community. Ask people outside the options community how to calculate volatility...
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Understanding ETF Volatility Part 1
Volatility is a tough topic to get your hands around. But one key idea is to think in terms of drawdowns -- in general, the higher the volatility the higher the drawdown. What does this mean?...
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Understanding ETF Volatility Part 2
We are updating our 'Volatility vs Subsequent Drawdown' Chart for 2011. We did a similar post a year ago and you can review that blog post here: Understanding ETF Volatility Part 1. The way to read...
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Gold ETF Monthly Returns Look
Since the Gold ETF (GLD) began trading, there have been 85 full months. December of 2011 represented a -2 Standard Deviation move down as the month ranked 83rd of the 85 in percentage return....
View ArticleSome Simple (But Useful) Math
A member wrote a question which spurred some thinking. Essentially, they wanted to understand not just the calculation of the sharpe ratio -- but why its a good metric. So this blog starts on that...
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ETF Volatility Targeting
A new book in the Market Wizards series (by author Jack Schwager) has come out this month. While these books are a collection of interviews of great money managers -- Schwager himself also does a nice...
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Risk Parity Basics
Risk-parity is a weighting methodology. Given a set of securities in a portfolio, risk-parity overweights lower-than-average volatility securities and underweights higher-than-average volatility...
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2+20% To Reduce Volatility? Uhh, No.
One of the silliest things we read in the media is how some investors are paying 2+20% to hedge funds in order to reduce volatility. This is very likely just financial writers that don't know what...
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Highest Volatility In ETF/ETN Universe
FWIW, of all exchange traded products > $500 million in assets, Silver (SLV) has the highest 20-day standard deviation and is more volatile than even the 3x S&P 500 (UPRO).
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Low Volatility vs Consumer Staples Sector ETF USMV vs XLP
Attached is the longer-term performance of Low Volatility (using the index that USMV tracks for its Total Return) vs Consumer Staples (using XLP, the consumer staples SPDR).These 2 are both low vol...
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ETF Total Return vs Volatility Scatterplot for trailing 6 months
Return vs Volatility Scatterplot for trailing 6 months
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Short-Sell Backtesting with ETFs
If you would like to test Short-Selling on ETFreplay, use the versatile app called Rel Str - Combine Portfolios.You can test going short the top or bottom ranking securities in a list.
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