**Re: My Hedged Fund - Another "Trend-Following" Post** Quote:
Originally Posted by **adamscj** And sorry I should have said (apologies if I'm stating the obvious) you can calculate the annualized vol by simply taking the standard deviation of daily returns multiplied by 260. |
No, you can't annualize volatility "by simply taking the standard deviation of daily returns and multiplied by 260"
You multiply standard deviation by the square root of time. Thus, if you were looking at 20 day (4 week) volatility, you would multiply times the square root of (52/4) - I've used weeks, but you could use trading days divided by number of observed days. Most take trading days as 252. Thus a single day's volatility would be annualized as the standard deviation * sqrt(252).
Hank |