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Monthly Standard Deviation http://tspcenter.com/forums/viewtopic.php?f=14&t=15463 |
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Author: | robika [ Tue Dec 05, 2017 2:50 pm ] |

Post subject: | Monthly Standard Deviation |

I'm applying what I would consider a rather conservative strategy: 17620 has a mean of 29.72 with a SD of 2.59. However, this SD is based on yearly compounded returns. If you look at the monthly means and calculate a standard deviation for the monthly returns, the numbers are all over the place. For instance, for the month of February, the mean is 2.5 with a SD of 4.64, which to me means that for this strategy the month of February is very uncertain on returns, ranging from -10.03% to 9.11%. For the strategy that I follow there is only one month where the monthly data could technically be treated as a normal distribution and that's December. So that being said, I was wondering if there are any strategies where the monthly SDs are a bit more conservative as compared to the monthly mean? I think that I would forego huge returns in hopes of having consistency throughout each month. Any ideas? |

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