PortfolioMetrics
Risk Metrics
Volatility-based Metrics

Annualized Volatility

Definition

The annualized volatility is the standard deviation of the portfolio price on an annualized basis.

Formula

Annualized Volatility=σ×T\text{Annualized Volatility} = \sigma \times \sqrt{T}

where σ\sigma is the standard deviation of returns, and TT is the number of periods per year (e.g., 252 for daily returns).

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