PerformanceAnalytics (version 0.9.4)

StdDev.annualized: calculate an annualized Standard Deviation

Description

To annualize standard deviation, we multiply by the square root of the number of observations per year. Note that any annualized number should be viewed with suspicion if the number of observations is small.

$$\sqrt{scale}\cdot\sqrt{\sigma}$$

Usage

StdDev.annualized(Ra, scale = 12)

Arguments

Ra

a vector, matrix, data frame, timeSeries or zoo object of asset returns

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

Value

• annualized standard deviation

See Also

StdDev

Examples

data(edhec)
head(edhec[,6,drop=FALSE])
StdDev.annualized(edhec[,6])