In: Finance
Below are the closing values and daily return on the S&P 500 for the last ten days. What are the daily and annualized standard deviations? You may use excel for this problem. Enter your answers as percent rounded to two decimal places.
Date | Closing value | Return |
9/25/2019 | 2984.87 | 0.0062 |
9/26/2019 | 2977.62 | -0.0024 |
9/27/2019 | 2961.79 | -0.0053 |
9/30/2019 | 2976.74 | 0.0050 |
10/1/2019 | 2940.25 | -0.0123 |
10/2/2019 | 2887.61 | -0.0179 |
10/3/2019 | 2910.63 | 0.0080 |
10/4/2019 | 2952.01 | 0.0142 |
10/7/2019 | 2938.79 | -0.0045 |
10/8/2019 | 2893.06 | -0.0156 |
Answer:
Assuming that there are 252 trading days in a given year:
Annualized standard deviation = SQRT(252) * Daily standard deviation
The above excel with 'show formula' is given below: