Portfolio standard deviation in the detailed data window

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Packjac2000
Posts: 3
Joined: Mon Nov 20, 2017 9:21 pm

Portfolio standard deviation in the detailed data window

Post 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?
jimr
Posts: 821
Joined: Thu Feb 28, 2008 6:48 pm

Re: Portfolio standard deviation in the detailed data window

Post 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'
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