What is Standard Deviation?
Standard deviation measures how spread out the rolling returns are around the average. Higher std dev = more volatile = wider range of outcomes. A fund with 12% avg return and 8% std dev is more predictable than one with 12% avg and 20% std dev.
How We Compute It
We use sample standard deviation (divide by n−1), which matches DuckDB's STDDEV function. With hundreds or thousands of observations, the difference between sample and population std dev is negligible.
This is computed over the rolling return observations, not daily NAV changes.
How to Interpret
Two funds with same average return
Fund A: Avg 15%, StdDev 6% → Returns typically range 9% to 21%
Fund B: Avg 15%, StdDev 14% → Returns typically range 1% to 29%
Same average, but Fund B has a much wider range of outcomes. The "typical range" is roughly avg ± 1 std dev.
Related metrics
More Returns methodology from the MFPRO analytics tool: