Annualized Volatility

Professional portfolio managers look at annualized volatility. Would like to have this incorporated please.

Annualizing volatility
To present this volatility in annualized terms,  simply need to multiply our daily standard deviation (of returns, sum of percent change from each day) by the square root of 252. 

Standard Deviation of Daily Returns *  Sqrt(252)

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  • Votes 0
  • Project QuantAnalyzer
  • Type Feature
  • Status Fixed
  • Priority Low




26.04.2019 04:53

Task created



03.07.2019 11:02

Status changed from New to Fixed

It should not be a problem to add it. Use QuantEditor and add a new databank column snippet named Annualized Volatility.

For computing use StatsConst.STANDARD_DEV or one of existing stat value defined in class StatsConst

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