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Portfolio standard deviation in the detailed data window

Posted: Mon Nov 20, 2017 10:01 pm
by Packjac2000
How accurate is the sd listed in the detailed window? It would be incredibly helpful if it were based on the actual investment data (mean, sd, of each investment plus covariance between each investment.) Obviously that don't happening. So I assume there's an implicit assumption here that the three asset types (taxable, tax deferred, tax free) are independent and uncorrelated, so the variances add. If so, the sd value is wrong unless sd statistic is very robust or the correlations are close to zero.

So how is that standard deviation value calculated and how is it used?

Re: Portfolio standard deviation in the detailed data window

Posted: Tue Nov 21, 2017 7:54 am
by jimr
The return/SD values in the detailed view table echo back the inputs that were used in the simulation. For the summary view, the default return/standard deviation is shown. These are used for all portfolio types in years when there are no portfolio type specific values set up in additional inputs. To see the full set of inputs, click the 'show more detail' radio button then right-click on any column title and select 'show all columns'