Re: Standard Deviation Problem

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In Reply to: Re: Standard Deviation Problem posted by Mark on September 09, 2004 at 10:44:03:

: 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.

It is *possible* but *extremely* unlikely. Particularly for multiple investments and when comparing calculated SDs for short (1 month, say) and long (10 years, say). It is virtually certain there is a problem with Fund Manager in this area.

: 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.

I didn't see the equation for SD here. I *did* see the description and it confirms what I am asserting.

Daily NAVPS SD is a largely unused statistic in both the securities industry and in academia in any event.

Thank you.

Replies:

• Re: Standard Deviation Problem Mark 12:20:36 09/09/04 (0)