Standard Deviation of Returns

[sinclair68]

Hi Mark,

I've created a report that shows all risk figures (beta, sharpe ratio etc.) including the standard deviation of returns annualized.

My question now is: what does that figure mean on portfolio level? I.e. if I buy and sell an investment during the reporting period (meaning end weight is 0), would this be reflected in the standard deviation of the whole portfolio or does it only take into account the investments I hold at the end of the period?

My goal would be to compare the volatility of my overall portfolio during a period, including all purchases and redemptions to the volatility of a benchmark index like the Swiss Performance Index whose data I record.

Hope, I made myself clear...

Thank you in advance for clarifying,

Ralph

[Mark]

Hi Ralph,

All 3 of these:

Beta
Sharpe Ratio
Standard Deviation of Returns

when displayed for a portfolio are based off the weighting of the investments in that portfolio as of the ending date. So, these will show you the volatility of the investments in your portfolio currently, as they were over the specified comparison period.