Standard Deviation of Excess Return

The variance and standard deviation of excess return are simply variance and standard deviation applied to the excess return series e₁, ... , e_n.

Var(e₁, ..., e_n) =

StdDev(e₁, ..., e_n) =

AnnStdDev(e₁, ..., e_n) = StdDev(e₁, ..., e_n) *

Standard deviation of excess returns measures the deviations of an excess returns series from its mean.

Related Statistics:
Annualized Excess Return
Cumulative Excess Return
Information Ratio