Spreadsheet with all index funds' Beta values

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newtoBH
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Spreadsheet with all index funds' Beta values

Post by newtoBH » Sun Feb 10, 2019 10:00 am

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.

alex_686
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Re: Spreadsheet with all index funds' Beta values

Post by alex_686 » Sun Feb 10, 2019 10:30 am

A index’s beta, by definition, is 1. Beta is a relative thing, not a absolut thing.

What are you figure out?

Topic Author
newtoBH
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Re: Spreadsheet with all index funds' Beta values

Post by newtoBH » Sun Feb 10, 2019 10:33 am

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

alex_686
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Re: Spreadsheet with all index funds' Beta values

Post by alex_686 » Sun Feb 10, 2019 10:41 am

newtoBH wrote:
Sun Feb 10, 2019 10:33 am
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
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.

Topic Author
newtoBH
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Re: Spreadsheet with all index funds' Beta values

Post by newtoBH » Sun Feb 10, 2019 10:52 am

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 50-100 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?

alex_686
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Re: Spreadsheet with all index funds' Beta values

Post by alex_686 » Sun Feb 10, 2019 11:05 am

newtoBH wrote:
Sun Feb 10, 2019 10:52 am
Point taken. But since specialized US index funds are subsets of the total stock market, it's not total nonsense?
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.

Topic Author
newtoBH
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Re: Spreadsheet with all index funds' Beta values

Post by newtoBH » Sun Feb 10, 2019 11:13 am

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 testing-like 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.

UpperNwGuy
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Re: Spreadsheet with all index funds' Beta values

Post by UpperNwGuy » Sun Feb 10, 2019 11:15 am

newtoBH wrote:
Sun Feb 10, 2019 10:52 am
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 50-100 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?
Why not just use Portfolio Visualizer?

Topic Author
newtoBH
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Joined: Sun Feb 10, 2019 9:47 am

Re: Spreadsheet with all index funds' Beta values

Post by newtoBH » Sun Feb 10, 2019 11:20 am

I did not know about this but it looks like exactly what I'm looking for. Thank you!

alex_686
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Re: Spreadsheet with all index funds' Beta values

Post by alex_686 » Sun Feb 10, 2019 11:28 am

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.

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