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I want to calculate the SD
of monthly returns, as well as the SD of only the positive monthly returns and
negative monthly returns.
The SD of the monthly
returns is easy, but the SD of the positive or negative returns is in error
because I do not know how to calculate them, at least in
AFL.
If MnGain is the monthly
return
Then SDMonthly =
StDev(MnGain, LastValue(Period));
However, to determine
positive monthly gains I use
MnGainUp = IIF(MnGain>0,
MnGain, 0);
MnGainDn =
IIF(MnGain<=0,MnGain,0);
Then SDUpMonthly =
StDev(MnGainUp,Period);
is
overstated because of the zeros which are within the
range of gains on which the SD function operates.
Take out the zeros in a
column of MnUpGains within Excel and then take the SD of the resulting series,
and you get lower SDs compared to those with the zeros in the
series.
But, using
MnGainUp = IIF(MnGain>0,
MnGain, Null);
MnGainDn =
IIF(MnGain<=0,MnGain,Null);
(which is the same as
taking out the zeros manually in Excel) blows up the StDev calculation in
AB (values in the millions).
The internal AB calculation
of StDev apparently does not like Nulls within the series---or else I am doing
it wrong.
Anyone have a suggestion on
getting the correctly calculated standard deviations of just the up gains and
down gains??
Ken
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