Standard Deviation of Monthly Returns
Formula: Each monthly rate of return = ((VAMI at end of month / VAMI at beginning of month) - 1)
Standard deviation = SQRT ((Sum(monthly ROR - average monthly ROR) ^ 2)) / # of months)
Note: You are finding the square root of the sum of the squares of the differences.
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Hedge Funds & CTAs
Related Terms:
- Program Fund Category definition
- Sterling Ratio definition
- Equity Non Hedge definition
- Style Analysis definition
- Fixed Income Arbitrage definition
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