Standard Deviation

Standard deviation measures how much an investment’s return has moved above or below its average (mean) return over a specific time period. Higher standard deviation means more ups and downs (higher volatility/risk), while a lower standard deviation means steadier returns (lower volatility/risk). YCharts makes five types of standard deviation metrics available over different time periods: daily, monthly, quarterly, annualized monthly and annualized quarterly:


- Daily - Standard Deviation of Daily Returns measures how much an investment’s returns vary from day to day. It can be useful for understanding the daily ups and downs of an investment’s value

- Monthly - Standard Deviation of Monthly Returns measures how much an investment’s returns vary from month to month. It can help to understand the month-to-month fluctuations in an investment’s returns, smoothing out any daily noise

- Quarterly - Standard Deviation of Quarterly Returns measures how much an investment’s returns vary from quarter to quarter

- Annualized monthly - Annualized Standard Deviation of Monthly Returns converts monthly standard deviation to an annual figure. It provides a sense of an investment’s volatility over a specific time period, based on monthly data

- Annualized quarterly - Annualized Standard Deviation of Quarterly Returns converts quarterly standard deviation to an annual figure. It provides a sense of an investment’s volatility over a specific time period, based on quarterly data


YCharts uses daily rolling monthly returns to calculate standard deviation metrics. For example, to calculate Standard Deviation of Monthly Returns (5Y Lookback), we use the monthly returns for each day over the past 5 years, i.e. from January 1st to February 1st, January 2nd to February 2nd, and so on. This results in a total of 1,260 periods (252 trading days per year × 5 years) included in the calculation. Other providers may use month-end monthly returns, i.e. from January 30th to February 28th, February 28th to March 31st, and so on. This approach would result in a total of 60 periods (5 years * 12 months) to include in the calculation.

While both methods provide valuable insights, YCharts believes that using daily rolling monthly returns offers a more granular and comprehensive view of volatility by considering all possible monthly periods within the 5-year span, including overlapping periods. It’s important to keep the specific method in mind because it impacts the calculated standard deviation values; the daily rolling method typically results in higher values due to its inclusion of more data points and short-term fluctuations. Standard deviation metrics are available for all security types on YCharts.

YCharts calculates standard deviation metrics using daily rolling monthly returns. Daily and monthly metrics are calculates using the standard deviation of daily and monthly returns over specified periods. For annualized figures, the monthly standard deviation is converted to an annual figure by multiplying by the square root of 12, while the quarterly standard deviation is converted by multiplying by the square root of 4.