ETF Statistical Distributions

Feb 20, 2010 in Volatility

Examples of the statistical risk-profiles of the S&P 500 and the Aggregate Bond Market (AGG). I have added the 2x Leveraged S&P 500 ETF as an example of going the wrong direction. The goal is to create a portfolio with low standard deviation and relatively high returns. Sound familiar? Yes, these are the core components of the sharpe ratio. The S&P 500 has never had an attractive sharpe ratio.


Comments are closed

Follow ETFreplay