Annualize a Periodic Return / Volatility
Convert periodic returns and volatilities to annual figures using √T scaling and compound conversion.
Details
- category: Performance Math
- formula: R_ann = (1 + R_period)^(periods/year) - 1 σ_ann = σ_period × √(periods/year)
- formula latex: R_{\text{ann}} = (1 + R_p)^{N} - 1,\quad \sigma_{\text{ann}} = \sigma_p \sqrt{N}
- limitations: √T scaling assumes i.i.d. returns; serial correlation distorts annual vol
- related terms: annualization, cagr, volatility
Formula
R_ann = (1 + R_period)^(periods/year) - 1 σ_ann = σ_period × √(periods/year)