Hi Experts,

It is very difficult to source a reliable answer to the above question. Based on some of the limited information sourced on random sites it appears that the following is true:

Ann. Stdev = Stdev x Sqrt(Freq)

Ann. Covariance = Covariance x Freq

Ann. Variance = Variance x Freq

Ann. Mean = Mean x Freq

where, Freq is the time period frequency e.g. 52 for weekly, 12 for monthly, etc.

Can someone confirm if this is correct? Also, a little explation into the maths behind the annualisation approach would be greatly appreciate.

Thanks,

j

I'm not too familiar with the concept, but I do know the mathematics behind the statistics, and frankly, what you've written above doesn't make sense. (Annualized mean = Mean x Freq) for example. If your goal is to convert the mean for one period to another period (for example, from monthly to annual), this approach would only weight the mean by the period, which wouldn't produce a meaningful number, I don't think.

Can you say where you came up with these formulae? And precisely what you mean by annualization (i.e. what is the context of this question)?