Portfolio Analytics

Standard Deviation

Definition

What is Standard Deviation?

A measure of how widely returns vary around their average.

Example in practice

A fund with 20% annualised standard deviation has shown more volatility than one at 8%.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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