Unlocking Financial Data: A Practical Guide to Technology for Equity and Fixed Income Analysts by Justin Pauley

Author:Justin Pauley [Pauley, Justin]
Language: eng
Format: azw3
Publisher: O'Reilly Media
Published: 2017-10-06T04:00:00+00:00

Note

When most people talk about the standard deviation of a portfolio, they are generally referring to the standard deviation of historical returns. Calculating the standard deviation of historical portfolio returns measures the volatility of those historical returns. The focus of this chapter is understanding current risk of a portfolio as it is today by calculating its current standard deviation. Complicating things a bit more, the calculation for the current standard deviation uses the historical standard deviation for each underlying position.

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