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gain standard deviation
Message posted by naz (via 206.213.209.31) on June 4, 2001 at 3:56 PM (ET)
how do i calculate an annualized gain standard deviation? i have monthly and quarterly gain standard deviation values, but is there a basic/direct equation that allows me to calculate the annualized gain standard deviation from either/or the monthly and quarterly values?
READERS RESPOND:
(In chronological order. Most recent at the bottom.)
Re: gain standard deviation
Message posted by JG (via 128.8.22.18) on June 5, 2001 at 2:35 AM (ET)
For statistically independent random variables, you can add variances. You can test to see if adding mothly variances will give you a quarterly variance.
Re: gain standard deviation
Message posted by BP (via 208.12.15.74) on July 6, 2001 at 3:45 PM (ET)
I have also been trying to find this solution. Several years ago I had a number to use to relate the two SD's so I know it exists. Did you come up with an answer yet?
Re: gain standard deviation
Message posted by BP (via 208.12.15.74) on July 6, 2001 at 3:56 PM (ET)
FYI as I looked further, I found this article which discusses the monthly vs annual issue std dev issue. Hope this helps.
Re: gain standard deviation
Message posted by BP (via 208.12.15.74) on July 6, 2001 at 3:58 PM (ET)
Oops, forgot to include the article. It is:
[PDF] www.aima.org/aimasite/articles/June%2000/Bart%20Janssen.pdf
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