Reference Materials
Annualized Standard Deviation
The Annualized Standard Deviation is the standard deviation multiplied by the square root of the number of periods in one year.
AnnStdDev(r1, ..., rn) = StdDev(r1, ..., rn) *
where r1, ..., rn is a return series, i.e., a sequence of returns for n time periods.
Standard deviation of return measures the average deviations of a return series from its mean, and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series of the manager. StyleADVISOR uses the Annualized Standard Deviation for all calculations greater than one year.