Beta is one way to measure the volatility of a stock or ETF. It is a calculation that compares how closely the market price of the stock or ETF follows the market. In our case, we always calculate how closely the market price of a given ETF follows the market price of SPY, an ETF that tracks the S&P 500. A beta of less than 1 means that the ETF's market price has been less volatile than the market (SPY). A beta of greater than 1 indicates that the ETF's market price has been more volatile than the market.
Beta is one statistical measure of a stock or ETF's volatility. Another common statistical measure is standard deviation. Standard deviation is slightly different than beta, because standard deviation looks at the volatility of a stock or ETF's return, whereas beta looks at the volatility of a stock's or ETF's market price.
Our calculations are done in the following manner:
Here are the betas of some ETFs that we have chosen just to illustrate what different betas look like.
USMV's beta compared to SPY is -0.03
SPLV's beta compared to SPY is -0.18
SPHD's beta compared to SPY is 0.43
IJR's beta compared to SPY is 1.93
All data is a live query from our database. The wording was last updated: 04/10/2020.
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