首页 | 学习中心 | 注册 登录
返回列表 发帖
ftwcfa

Rank: 2

UID
223315 
帖子
199 
主题
82 
注册时间
2011-7-11 
最后登录
2013-9-12 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2013-4-22 15:20 | 只看该作者

standard deviation using monthly/daily portfolio returns

comparing, standard, monthly, returns, higher
standard deviation using monthly portfolio returns comparing with using daily return, which one has higher standard deviation?
收藏 分享

simeezee

Rank: 2

UID
223204 
帖子
137 
主题
117 
注册时间
2011-7-11 
最后登录
2013-8-19 
2#
发表于 2013-4-22 15:21 | 只看该作者
monthly
high frequency data (daily return data) may be prone to asynchronus-ness and thusly put a downward bias on standard deviation and correlatioin.
whats the answer?

TOP

profil

Rank: 2

UID
223393 
帖子
262 
主题
7 
注册时间
2011-7-11 
最后登录
2014-7-8 
3#
发表于 2013-4-22 15:21 | 只看该作者
I am not sure if the question is being asked correctly.
I think question asked is - if monthly returns are presented - a monthly std deviation is found and then moved up to a annual std deviation - annual Std dev from monthly = monthly std dev * sqrt(12)
annual std deviation from daily = daily std dev * sqrt (250)
annualized std deviation from daily  annualized std deviation from weekly  annualized std dev from monthly  annual std dev.
Lengthening measurement interval - reduces the Std Deviation - and thus Sharpe Ratio can be gamed.

TOP

mnieman

Rank: 2

UID
223250 
帖子
258 
主题
116 
注册时间
2011-7-11 
最后登录
2013-10-9 
4#
发表于 2013-4-22 15:22 | 只看该作者
Those  signs only hold true if the std dev you calculate is the same for all the measurement periods. If the daily std dev measure happens to be 0.02, but the mothnly ends up being .2 (if the portoflio experiences some large movements on the last day of the month), then the annalized number based on monthly observations is higher, even though it’s only multiplied by sqrt of 12. Make sense?

TOP

ryanlb

Rank: 2

UID
223449 
帖子
323 
主题
8 
注册时间
2011-7-11 
最后登录
2016-4-19 
5#
发表于 2013-4-22 15:22 | 只看该作者
so if correlation is higher, the standard deviation will be higher given other factors same?

TOP

返回列表