StdDev.annualized {PerformanceAnalytics} | R Documentation |
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}cdotsqrt{σ}
StdDev.annualized(Ra, scale = 12)
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) |
annualized standard deviation
Peter Carl
data(edhec) head(edhec[,6,drop=FALSE]) StdDev.annualized(edhec[,6])