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# How do you annualise the covariance, mean, variance and standard deviation of a data set?

Posted on 2008-10-21

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