BarclayHedge Insider - BarclayHedge

Standard Deviation of Monthly Returns

Written by superadmin | Feb 2, 2012 12:00:00 AM

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.