Hi all,
If I run a systematic strategy that targets a 1% probability of a -20% return or worse in any rolling one-month period. This equates to approximately a 36% annualized standard deviation.
Can someone please explain the math behind this statement and derivation of the 36% annualized standard deviation?
Thanks
Bernd
If I run a systematic strategy that targets a 1% probability of a -20% return or worse in any rolling one-month period. This equates to approximately a 36% annualized standard deviation.
Can someone please explain the math behind this statement and derivation of the 36% annualized standard deviation?
Thanks
Bernd