Re: Standard Deviation Problem
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Posted by Mark on September 09, 2004 at 10:44:03:
In Reply to: Re: Standard Deviation Problem posted by Jack Nimble on September 08, 2004 at 18:15:22:
:
: : If your first recorded price in an investment is on/after the report
: : starting date, then the 2 Standard Dev calculations will be the same.
: : There is no factor of time in the standard deviation calculation. : : There is a factor of time in the Div Yld calculation, so even if the
: : first price was on/after the starting report date, you would get
: : different values for these BTW/INC figures : The logic in treating these differently is eluding me (though I respect your work a great deal and remain open).
: Really though, it seems that what is of interest is whether the 'invested' experience with SD varies from 'historical' fund SD. This is similar to (or precisely the same as) those considerations for Yield and Div Yield. No?
: Thank you. The SD calculation looks at all the recorded price data points within
a certain time frame. The "BTW" one looks at all recorded prices between
the report dates, as you define. The "INC" looks at all the recorded price
points in the investment. It is possible that the 2 can be the same, if you
have a report date range wider than the inception. There is no "time" factor
in the SD calculation, just a straight forward standard deviation calculation.
If you choose the "Help / Help on Report" you can see the equation used for
the SD calculation. Thanks,
Mark
--
Mark Beiley
Fund Manager, portfolio management software for Windows 95/98/ME/NT/00/XP/2003
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