Risk statistics
Volatility, drawdown, Sharpe, Sortino, beta and correlation — with their specifications.
All statistics use daily observations of a total-return index (distributions reinvested). Price-based and NAV-based versions are computed separately and never mixed.
- Volatility: sample SD of daily returns × √252, over 1, 3 and 5 years; minimum 60 observations.
- Maximum drawdown: largest peak-to-trough decline of the index over 3 years.
- Sharpe: annualised mean daily excess return ÷ annualised SD, risk-free = FRED DGS3MO averaged over the window (÷252 per day).
- Sortino: same numerator ÷ annualised downside deviation of excess returns.
- Beta and correlation: against an ETF total-return proxy chosen by category group (SPY U.S. equity, AGG aggregate bond, MUB municipal, VXUS ex-U.S. equity, HYG high yield, AOR allocation), on aligned dates over 3 years. These are proxies, not licensed indices, and are named wherever shown.
Rankings that use these statistics require at least 500 daily observations in the 3-year window.