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.