ETF-Benchmark Analyzer

12월 5일

Have you ever wondered which ETF performs the best? Which one is the most volatile, or which one has the smallest drawdown?

This Pine Script™ "ETF-Benchmark Analyzer" compares the performance of an ETF (such as SPY, the S&P 500 ETF) against a benchmark, which can also be adjusted by the user. It provides several key financial metrics, such as:

Performance (%): Displays the total return over a specified lookback period (e.g., 1 year). It compares the performance of the ETF against the benchmark and shows the difference.

Alpha (%): Measures the excess return of the ETF over the expected return, which is calculated using the benchmark’s return. Positive alpha indicates that the ETF has outperformed the benchmark, while negative alpha suggests underperformance. This metric is important because it isolates performance that cannot be explained by exposure to the benchmark's movements.

Sharpe Ratio: A risk-adjusted measure of return. It is calculated by dividing the excess return of the ETF (above the risk-free rate) by its standard deviation (volatility). A higher Sharpe ratio indicates better risk-adjusted returns. The Sharpe ratio is calculated for both the ETF and the benchmark, and their difference is displayed as well.

Drawdown: The percentage decrease from the highest price to the lowest price over the lookback period. This is a critical measure of risk, as it shows the largest potential loss an investor might face during a specific period.

Beta: Measures the ETF’s sensitivity to movements in the benchmark. A beta of 1 means the ETF moves in line with the benchmark; greater than 1 means it is more volatile, while less than 1 means it is less volatile.

These metrics provide a holistic view of the ETF’s performance compared to the benchmark, allowing traders to assess the risk and return profile more effectively.

Scientific Sources

Sharpe Ratio: Sharpe, W. F. (1994). The Sharpe Ratio. Journal of Portfolio Management, 21(1), 49-58. This paper defines and develops the Sharpe ratio as a measure of risk-adjusted return.

Alpha and Beta: Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945–1964. The Journal of Finance, 23(2), 389-416. This paper discusses the concepts of alpha and beta in the context of mutual fund performance.