Portfolio Analytics
Historical Volatility
Definition
What is Historical Volatility?
VolatilityThe degree and frequency of price or return fluctuations. calculated from past price or return data.
Example in practice
How This Looks in Practice
The analyst measures the standard deviationA measure of how widely returns vary around their average. of daily returns over the last year.
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Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.