standard deviation

In statistics, a measure of how much the data in a certain collection are scattered around the mean. A low standard deviation means that the data are tightly clustered; a high standard deviation means that they are widely scattered.

Note: About sixty-eight percent of the data are within one standard deviation of the mean.

Standard Deviation

1. A measure of the dispersion of a set of data from its mean. The more spread apart the data is, the higher the deviation.

2. In finance, standard deviation is applied to the annual rate of return of an investment to measure the investment's volatility (risk).

Investopedia Commentary

A volatile stock would have a high standard deviation. In mutual funds, the standard deviation tells us how much the return on the fund is deviating from the expected normal returns.

Standard deviation can also be calculated as the square root of the variance.

Related Links

The Uses And Limits Of Volatility
Introduction to Value at Risk (VAR) - Part 1
Understanding Volatility Measurements

See also: Beta, Bollinger Bands, Covariance, Mean, Tracking Error, Variance, Volatility

standard deviation

A statistical measure of the variability of a distribution. An analyst may wish to calculate the standard deviation of historical returns on a stock or a portfolio as a measure of the investment's riskiness. The higher the standard deviation of an investment's returns, the greater the relative riskiness because of uncertainty in the amount of return. See also risk, variance.

standard deviation n.
Symbol σ
A statistic used as a measure of the dispersion or variation in a distribution, equal to the square root of the arithmetic mean of the squares of the deviations from the arithmetic mean.

standard deviation statistics
(SD) A measure of the range of values in a set of numbers. Standard deviation is a statistic used as a measure of the dispersion or variation in a distribution, equal to the square root of the arithmetic mean of the squares of the deviations from the arithmetic mean.
The standard deviation of a random variable or list of numbers (the lowercase greek sigma) is the square of the variance. The standard deviation of the list x1, x2, x3...xn is given by the formula:
sigma = sqrt(((x1-(avg(x)))^2 + (x1-(avg(x)))^2 + ... + (xn(avg(x)))^2)/n)
The formula is used when all of the values in the population are known. If the values x1...xn are a random sample chosen from the population, then the sample Standard Deviation is calculated with same formula, except that (n-1) is used as the denominator.
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["Barrons Dictionary of Mathematical Terms, second edition"].
(2003-05-06)

standard deviation

in statistics, a measure of the variability (dispersion or spread) of any set of numerical values about their arithmetic mean (average; denoted by mu). It is specifically defined as the positive square root of the variance (sigma2); in symbols, sigma2=Sigma(xImu)2/n, where Sigma is a compact notation used to indicate that as the index (I) changes from 1 to n (the number of elements in the data set), the square of the difference between each element xI and the mean, divided by n, is calculated and these values are added together.

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