Spreadsheet with all index funds' Beta values
Spreadsheet with all index funds' Beta values
Hi,
I am wondering if there is a single location/document that has values of Beta for different index funds? I see that, clicking on each funds page, you can find beta values; I hope that there's a spreadsheet out there that has this information for most or all of Vanguards funds.
If this exists, would someone please let me know? Thank you.
I am wondering if there is a single location/document that has values of Beta for different index funds? I see that, clicking on each funds page, you can find beta values; I hope that there's a spreadsheet out there that has this information for most or all of Vanguards funds.
If this exists, would someone please let me know? Thank you.
Re: Spreadsheet with all index funds' Beta values
A index’s beta, by definition, is 1. Beta is a relative thing, not a absolut thing.
What are you figure out?
What are you figure out?
Re: Spreadsheet with all index funds' Beta values
Looking for different index funds' (e.g., Vanguard's small cap value index) beta values in relation to total US stock market/S&P 500
Re: Spreadsheet with all index funds' Beta values
You are not going to find it because it is a nonsense question. Beta measures the relative volatility of the fund to its underlying index. It’s meaningless to compare 2 different indexes.
Which takes me back to my first question  what are you trying to figure out? I suspect it might be the standard deviations or Sharpe ratio.
And welcome to the forum!
Edit  I am not trying to be harsh. Figuring out relative risk metrics between indexes is a challenge. Beta may seem intuitive but it is the wrong answer. If you read up on the math behind calculating Beta you will see that it just does not work.
Last edited by alex_686 on Sun Feb 10, 2019 10:52 am, edited 1 time in total.
Re: Spreadsheet with all index funds' Beta values
Point taken. But since specialized US index funds are subsets of the total stock market, it's not total nonsense?
Anyway, I planned on plugging in S&P/total US mkt rates for last 50100 years and seeing how my portfolio performs. I hoped to just plug in S&P rates and different funds' beta values in relation to the s&p in order to obtain other index funds' historical rates.
Any suggestions on how to go about what I'm thinking?
Anyway, I planned on plugging in S&P/total US mkt rates for last 50100 years and seeing how my portfolio performs. I hoped to just plug in S&P rates and different funds' beta values in relation to the s&p in order to obtain other index funds' historical rates.
Any suggestions on how to go about what I'm thinking?
Re: Spreadsheet with all index funds' Beta values
Well, first, the S&P is a subset of the total stock market. Second, the volatility between large and small cap is different. And not just the price movements  large cap can have a higher sampling than small cap under certain methodologies.
But more importantly, you do want to compare apples to apples. Yeah, both a 2 door compact and a 4 door sedan are both cars, but best not compare millage or cost of ownership between the 2. A Mazda Miata is a subset of cars, but what value will be gained by comparing it to a Honda Accord? The S&P and Russell 1000 are kind of the same index but have different relative volatilities, so different betas. Why? Is it because they have differently underlying samples of stocks? If it is true  and it is true  what does different Beta values tell you? Or is there something more fundamental going on?
Standard deviation, Sharpe ratio, Information Ratio, and the Treynor ratio are better for comparing unlike indexes.
One more thing  most of these ratios break down after about 3 years or so, so take care when working with longer periods. Partly it is because tail events (i.e. big crashes) much up the statistical assumptions underlying the model. There are also structural changes  stocks and bonds don't act today like they did in the 1970s or the 1950s. More data is not necessarily a good thing.
Re: Spreadsheet with all index funds' Beta values
I very much appreciate the time that you took to come up with that thorough response.
I didn't intend to use the beta values for any reason other than ease of use: I wanted to plug in one rate and, based on other index funds beta values in relation to the fund whose rate I entered, I could then obtain rates for all other funds.
I first started out wanting to do stress testinglike calculations: see how my portfolio performed under various historically bad (or good) scenarios. I then had the idea to try and figure out an optimal portfolio based on historical returns. Sounds like it's safer to stick with my first idea in order to shorten the window and maintain the integrity of ratios.
Anyway, thank you again for your insights. I'll go back to the drawing board and attempt to brainstorm other fun projections (but meaningful) projections that I can run.
I didn't intend to use the beta values for any reason other than ease of use: I wanted to plug in one rate and, based on other index funds beta values in relation to the fund whose rate I entered, I could then obtain rates for all other funds.
I first started out wanting to do stress testinglike calculations: see how my portfolio performed under various historically bad (or good) scenarios. I then had the idea to try and figure out an optimal portfolio based on historical returns. Sounds like it's safer to stick with my first idea in order to shorten the window and maintain the integrity of ratios.
Anyway, thank you again for your insights. I'll go back to the drawing board and attempt to brainstorm other fun projections (but meaningful) projections that I can run.

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Re: Spreadsheet with all index funds' Beta values
Why not just use Portfolio Visualizer?newtoBH wrote: ↑Sun Feb 10, 2019 10:52 amPoint taken. But since specialized US index funds are subsets of the total stock market, it's not total nonsense?
Anyway, I planned on plugging in S&P/total US mkt rates for last 50100 years and seeing how my portfolio performs. I hoped to just plug in S&P rates and different funds' beta values in relation to the s&p in order to obtain other index funds' historical rates.
Any suggestions on how to go about what I'm thinking?
Re: Spreadsheet with all index funds' Beta values
I did not know about this but it looks like exactly what I'm looking for. Thank you!
Re: Spreadsheet with all index funds' Beta values
If you are looking for a project in R, I would suggest standard deviation and maybe the Sharpe ratio. R has tools that allow you to determine when secular changes happens and you move from one regime to another.