Measure

Standard deviation

Dispersion of returns around their mean, usually annualised. Formula: σ_annual = σ_period × √(periods per year).

also called volatility · σ

Definition

Dispersion of returns around their mean, usually annualised.

Formula

σ_annual = σ_period × √(periods per year)

How to read it

It is the most common single-number summary of how much a holding moves.

Measured on real funds

Annualised standard deviation of monthly total return, over each fund's full history.

Fund	Annualised volatility	Sample
SMH	31.3%	315 months
QQQ	23.2%	330 months
XLK	23.1%	333 months
VWO	20.1%	258 months
VGT	19.5%	272 months
VEA	17.7%	230 months
VT	16.5%	219 months
VUG	16.4%	272 months
VTI	15.3%	303 months
VXUS	14.9%	188 months
VTV	14.4%	272 months
VOO	14%	192 months
SCHD	13.5%	179 months
VIG	13.2%	244 months
BND	4.5%	233 months
AGG	4.4%	276 months

Computed from Yahoo Finance monthly total return, recomputed with every update of the site. How these figures are produced.

What it does not tell you

Annualising by √time assumes returns are independent and identically distributed. Real return series have fat tails and clustered volatility, so the figure systematically understates how bad the worst days get.

Applied in 124 articles

124

Every figure computed with this measure on this site follows the conventions set out in the methodology. All measures →