ETF Prophet

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The table below provides the top- and bottom-twenty ETFs sorted by 2011 Historic Volatility.  Also shown are Risk-Reward measures, including Modified Sharpe, Sortino and Omega Ratios [definitions].  It probably comes as no surprise that the least volatile ETFs were focused in the bond complex last year, while the most volatile were represented by Commodity and European indices.

Lastly, note the inverse correlation between volatility and positive, stabile returns — sometimes boring is good!

These statistics and more are provided for over 200 ETFs each night in the ETF Rewind Pro newsletter.  How will you inform your decision making in 2012?

2 Responses to “2011 ETF Risk in Review”

  1. Superb graphic, Jeff.

    It occurred to me that if you are so inclined, this table and some of the ideas behind it might make a superb magazine feature article.

    Cheers and Happy New Year!


  2. Ha, ping me by email anytime Bill, My best — Jeff